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fix(macd): remove extra division by close in DEA calculation to ensure dimension consistency (#2046)

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Linlang
2025-11-06 21:49:15 +08:00
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parent bb7ab1cf14
commit 66c36226aa
1 changed files with 12 additions and 12 deletions
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docs/advanced/alpha.rst
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@@ -42,7 +42,7 @@ Example
.. math:: .. math::
DEA = \frac{EMA(DIF, 9)}{CLOSE} DEA = EMA(DIF, 9)
Users can use ``Data Handler`` to build formulaic alphas `MACD` in qlib: 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 .. code-block:: python
>> from qlib.data.dataset.loader import QlibDataLoader >> 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))/$close, 9))'
>> fields = [MACD_EXP] # MACD >> fields = [MACD_EXP] # MACD
>> names = ['MACD'] >> names = ['MACD']
>> labels = ['Ref($close, -2)/Ref($close, -1) - 1'] # label >> labels = ['Ref($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 feature label
MACD LABEL MACD LABEL
datetime instrument datetime instrument
2010-01-04 SH600000 -0.011547 -0.019672 2010-01-04 SH600000 0.008781 -0.019672
SH600004 0.002745 -0.014721 SH600004 0.006699 -0.014721
SH600006 0.010133 0.002911 SH600006 0.005714 0.002911
SH600008 -0.001113 0.009818 SH600008 0.000798 0.009818
SH600009 0.025878 -0.017758 SH600009 0.017015 -0.017758
... ... ... ... ... ...
2017-12-29 SZ300124 0.007306 -0.005074 2017-12-29 SZ300124 0.015071 -0.005074
SZ300136 -0.013492 0.056352 SZ300136 -0.015466 0.056352
SZ300144 -0.000966 0.011853 SZ300144 0.013082 0.011853
SZ300251 0.004383 0.021739 SZ300251 -0.001026 0.021739
SZ300315 -0.030557 0.012455 SZ300315 -0.007559 0.012455
Reference Reference
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