Adding ChangeInstrument op (#1005)

* add ChangeInstrument to ops Adding Change instrument OP. This op allows one to use features of a different instrument. * Update __init__.py update parse_field to accommodate ChangeInstrument * Propose test * Add test case and fix bug * Update ops.py * Update ops.py * simplify the operator further * implement abstract method * fix arg bug * clean test Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
2026-06-06 05:51:17 +08:00 · 2022-07-03 20:45:26 -04:00
parent b655f90511
commit 3db22452fb
3 changed files with 128 additions and 1 deletions
--- a/tests/ops/test_special_ops.py
+++ b/tests/ops/test_special_ops.py
@@ -0,0 +1,92 @@
+import unittest
+
+from qlib.data import D
+from qlib.data.dataset.loader import QlibDataLoader
+from qlib.data.ops import ChangeInstrument, Cov, Feature, Ref, Var
+from qlib.tests import TestOperatorData
+
+
+class TestOperatorDataSetting(TestOperatorData):
+    def test_setting(self):
+        # All the query below passes
+        df = D.features(["SH600519"], ["ChangeInstrument('SH000300', $close)"])
+
+        # get market return for "SH600519"
+        df = D.features(["SH600519"], ["ChangeInstrument('SH000300', Feature('close')/Ref(Feature('close'),1) -1)"])
+        df = D.features(["SH600519"], ["ChangeInstrument('SH000300', $close/Ref($close,1) -1)"])
+        # excess return
+        df = D.features(
+            ["SH600519"], ["($close/Ref($close,1) -1) - ChangeInstrument('SH000300', $close/Ref($close,1) -1)"]
+        )
+        print(df)
+
+    def test_case2(self):
+        def test_case(instruments, queries, note=None):
+            if note:
+                print(note)
+            print(f"checking {instruments} with queries {queries}")
+            df = D.features(instruments, queries)
+            print(df)
+            return df
+
+        test_case(["SH600519"], ["ChangeInstrument('SH000300', $close)"], "get market index close")
+        test_case(
+            ["SH600519"],
+            ["ChangeInstrument('SH000300', Feature('close')/Ref(Feature('close'),1) -1)"],
+            "get market index return with Feature",
+        )
+        test_case(
+            ["SH600519"],
+            ["ChangeInstrument('SH000300', $close/Ref($close,1) -1)"],
+            "get market index return with expression",
+        )
+        test_case(
+            ["SH600519"],
+            ["($close/Ref($close,1) -1) - ChangeInstrument('SH000300', $close/Ref($close,1) -1)"],
+            "get excess return with expression with beta=1",
+        )
+
+        ret = "Feature('close') / Ref(Feature('close'), 1) - 1"
+        benchmark = "SH000300"
+        n_period = 252
+        marketRet = f"ChangeInstrument('{benchmark}', Feature('close') / Ref(Feature('close'), 1) - 1)"
+        marketVar = f"ChangeInstrument('{benchmark}', Var({marketRet}, {n_period}))"
+        beta = f"Cov({ret}, {marketRet}, {n_period}) / {marketVar}"
+        excess_return = f"{ret} - {beta}*({marketRet})"
+        fields = [
+            "Feature('close')",
+            f"ChangeInstrument('{benchmark}', Feature('close'))",
+            ret,
+            marketRet,
+            beta,
+            excess_return,
+        ]
+        test_case(["SH600519"], fields[5:], "get market beta and excess_return with estimated beta")
+
+        instrument = "sh600519"
+        ret = Feature("close") / Ref(Feature("close"), 1) - 1
+        benchmark = "sh000300"
+        n_period = 252
+        marketRet = ChangeInstrument(benchmark, Feature("close") / Ref(Feature("close"), 1) - 1)
+        marketVar = ChangeInstrument(benchmark, Var(marketRet, n_period))
+        beta = Cov(ret, marketRet, n_period) / marketVar
+        fields = [
+            Feature("close"),
+            ChangeInstrument(benchmark, Feature("close")),
+            ret,
+            marketRet,
+            beta,
+            ret - beta * marketRet,
+        ]
+        names = ["close", "marketClose", "ret", "marketRet", f"beta_{n_period}", "excess_return"]
+        data_loader_config = {"feature": (fields, names)}
+        data_loader = QlibDataLoader(config=data_loader_config)
+        df = data_loader.load(instruments=[instrument])  # , start_time=start_time)
+        print(df)
+
+        # test_case(["sh600519"],fields,
+        # "get market beta and excess_return with estimated beta")
+
+
+if __name__ == "__main__":
+    unittest.main()