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remove vwap related feature

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This commit is contained in:
Young
2020-11-05 12:30:43 +00:00
parent e37950d636
commit 65a009acb2
1 changed files with 13 additions and 1 deletions
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14
qlib/contrib/data/handler.py
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@@ -90,7 +90,7 @@ class Alpha158(DataHandlerLP):
"kbar": {},
"price": {
"windows": [0],
"feature": ["OPEN", "HIGH", "LOW", "VWAP"],
"feature": ["OPEN", "HIGH", "LOW"],
},
"rolling": {},
}
@@ -281,5 +281,17 @@ class Alpha158(DataHandlerLP):
class Alpha158vwap(Alpha158):
def get_feature_config(self):
conf = {
"kbar": {},
"price": {
"windows": [0],
"feature": ["OPEN", "HIGH", "LOW", "VWAP"],
},
"rolling": {},
}
return self.parse_config_to_fields(conf)
def get_label_config(self):
return (["Ref($vwap, -2)/Ref($vwap, -1) - 1"], ["LABEL0"])