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Young
2020-11-21 15:34:15 +00:00
parent e5923333f5
commit 89977320e3
5 changed files with 20 additions and 18 deletions
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12
qlib/contrib/eva/alpha.py
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@@ -1,12 +1,12 @@
'''
"""
Here is a batch of evaluation functions.
The interface should be redesigned carefully in the future.
'''
"""
import pandas as pd
def calc_ic(pred: pd.Series, label: pd.Series, date_col='datetime', dropna=False) -> (pd.Series, pd.Series):
def calc_ic(pred: pd.Series, label: pd.Series, date_col="datetime", dropna=False) -> (pd.Series, pd.Series):
"""calc_ic.
Parameters
@@ -23,9 +23,9 @@ def calc_ic(pred: pd.Series, label: pd.Series, date_col='datetime', dropna=False
(pd.Series, pd.Series)
ic and rank ic
"""
df = pd.DataFrame({'pred': pred, 'label': label})
ic = df.groupby(date_col).apply(lambda df: df['pred'].corr(df['label']))
ric = df.groupby(date_col).apply(lambda df: df['pred'].corr(df['label'], method='spearman'))
df = pd.DataFrame({"pred": pred, "label": label})
ic = df.groupby(date_col).apply(lambda df: df["pred"].corr(df["label"]))
ric = df.groupby(date_col).apply(lambda df: df["pred"].corr(df["label"], method="spearman"))
if dropna:
return ic.dropna(), ric.dropna()
else: