liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-15 16:56:54 +08:00
Code Activity

Add docs for CSRankNorm (#1032)

Browse Source
This commit is contained in:
you-n-g
2022-04-06 19:57:27 +08:00
committed by GitHub
parent 962751c72d
commit 73438807f9
1 changed files with 14 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files

14
qlib/data/dataset/processor.py
View File

@@ -318,6 +318,20 @@ class CSRankNorm(Processor):
The operations across different stocks are often called Cross Sectional Operation. The operations across different stocks are often called Cross Sectional Operation.
For example, CSRankNorm is an operation that grouping the data by each day and rank `across` all the stocks in each day. For example, CSRankNorm is an operation that grouping the data by each day and rank `across` all the stocks in each day.
Explanation about 3.46 & 0.5
.. code-block:: python
import numpy as np
import pandas as pd
x = np.random.random(10000) # for any variable
x_rank = pd.Series(x).rank(pct=True) # if it is converted to rank, it will be a uniform distributed
x_rank_norm = (x_rank - x_rank.mean()) / x_rank.std() # Normally, we will normalize it to make it like normal distribution
x_rank.mean() # accounts for 0.5
1 / x_rank.std() # accounts for 3.46
""" """
def __init__(self, fields_group=None): def __init__(self, fields_group=None):