diff --git a/docs/advanced/alpha.rst b/docs/advanced/alpha.rst index 88d65074c..c98a0765c 100644 --- a/docs/advanced/alpha.rst +++ b/docs/advanced/alpha.rst @@ -42,7 +42,7 @@ Example .. math:: - DEA = \frac{EMA(DIF, 9)}{CLOSE} + DEA = EMA(DIF, 9) Users can use ``Data Handler`` to build formulaic alphas `MACD` in qlib: @@ -51,7 +51,7 @@ Users can use ``Data Handler`` to build formulaic alphas `MACD` in qlib: .. code-block:: python >> from qlib.data.dataset.loader import QlibDataLoader - >> MACD_EXP = '(EMA($close, 12) - EMA($close, 26))/$close - EMA((EMA($close, 12) - EMA($close, 26))/$close, 9)/$close' + >> MACD_EXP = '2 * ((EMA($close, 12) - EMA($close, 26))/$close - EMA((EMA($close, 12) - EMA($close, 26))/$close, 9))' >> fields = [MACD_EXP] # MACD >> names = ['MACD'] >> labels = ['Ref($close, -2)/Ref($close, -1) - 1'] # label @@ -66,17 +66,17 @@ Users can use ``Data Handler`` to build formulaic alphas `MACD` in qlib: feature label MACD LABEL datetime instrument - 2010-01-04 SH600000 -0.011547 -0.019672 - SH600004 0.002745 -0.014721 - SH600006 0.010133 0.002911 - SH600008 -0.001113 0.009818 - SH600009 0.025878 -0.017758 + 2010-01-04 SH600000 0.008781 -0.019672 + SH600004 0.006699 -0.014721 + SH600006 0.005714 0.002911 + SH600008 0.000798 0.009818 + SH600009 0.017015 -0.017758 ... ... ... - 2017-12-29 SZ300124 0.007306 -0.005074 - SZ300136 -0.013492 0.056352 - SZ300144 -0.000966 0.011853 - SZ300251 0.004383 0.021739 - SZ300315 -0.030557 0.012455 + 2017-12-29 SZ300124 0.015071 -0.005074 + SZ300136 -0.015466 0.056352 + SZ300144 0.013082 0.011853 + SZ300251 -0.001026 0.021739 + SZ300315 -0.007559 0.012455 Reference =========