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Jactus
2020-11-24 16:42:32 +08:00
parent acae9087e9
commit 93ce9a4cb2
4 changed files with 30 additions and 35 deletions
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8
qlib/contrib/eva/alpha.py
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@@ -8,9 +8,7 @@ import pandas as pd
from typing import Tuple
def calc_ic(
pred: pd.Series, label: pd.Series, date_col="datetime", dropna=False
) -> Tuple[pd.Series, pd.Series]:
def calc_ic(pred: pd.Series, label: pd.Series, date_col="datetime", dropna=False) -> Tuple[pd.Series, pd.Series]:
"""calc_ic.
Parameters
@@ -29,9 +27,7 @@ def calc_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")
)
ric = df.groupby(date_col).apply(lambda df: df["pred"].corr(df["label"], method="spearman"))
if dropna:
return ic.dropna(), ric.dropna()
else: