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Update processor.py

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you-n-g
2021-12-20 18:18:59 +08:00
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parent 0552120a2e
commit 92ff3d20b9
1 changed files with 7 additions and 1 deletions
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qlib/data/dataset/processor.py
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@@ -302,7 +302,13 @@ class CSZScoreNorm(Processor):
class CSRankNorm(Processor):
"""Cross Sectional Rank Normalization"""
"""
Cross Sectional Rank Normalization.
"Cross Sectional" is often used to describe data operations.
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.
"""
def __init__(self, fields_group=None):
self.fields_group = fields_group