liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-12 15:26:54 +08:00
Code Activity

remove vwap related feature

Browse Source
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
Download Patch File Download Diff File Expand all files Collapse all files

14
qlib/contrib/data/handler.py
View File

@@ -90,7 +90,7 @@ class Alpha158(DataHandlerLP):
"kbar": {}, "kbar": {},
"price": { "price": {
"windows": [0], "windows": [0],
"feature": ["OPEN", "HIGH", "LOW", "VWAP"], "feature": ["OPEN", "HIGH", "LOW"],
}, },
"rolling": {}, "rolling": {},
} }
@@ -281,5 +281,17 @@ class Alpha158(DataHandlerLP):
class Alpha158vwap(Alpha158): 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): def get_label_config(self):
return (["Ref($vwap, -2)/Ref($vwap, -1) - 1"], ["LABEL0"]) return (["Ref($vwap, -2)/Ref($vwap, -1) - 1"], ["LABEL0"])