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update docs link & readme.md

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bxdd
2020-09-24 13:45:26 +08:00
parent 2572284d20
commit b2749d2e08
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docs/advanced/alpha.rst
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@@ -49,52 +49,53 @@ Users can use ``Data Handler`` to build formulaic alphas `MACD` in qlib:
.. code-block:: python
>>> from qlib.contrib.estimator.handler import QLibDataHandler
>>> fields = ['(EMA($close, 12) - EMA($close, 26))/$close - EMA((EMA($close, 12) - EMA($close, 26))/$close, 9)/$close'] # MACD
>>> names = ['MACD']
>>> labels = ['Ref($vwap, -2)/Ref($vwap, -1) - 1'] # label
>>> label_names = ['LABEL']
>>> data_handler = QLibDataHandler(start_date='2010-01-01', end_date='2017-12-31', fields=fields, names=names, labels=labels, label_names=label_names)
>>> TRAINER_CONFIG = {
... "train_start_date": "2007-01-01",
... "train_end_date": "2014-12-31",
... "validate_start_date": "2015-01-01",
... "validate_end_date": "2016-12-31",
... "test_start_date": "2017-01-01",
... "test_end_date": "2020-08-01",
... }
>>> feature_train, label_train, feature_validate, label_validate, feature_test, label_test = data_handler.get_split_data(**TRAINER_CONFIG)
>>> print(feature_train, label_train)
MACD
>> from qlib.contrib.estimator.handler import QLibDataHandler
>> MACD_EXP = '(EMA($close, 12) - EMA($close, 26))/$close - EMA((EMA($close, 12) - EMA($close, 26))/$close, 9)/$close'
>> fields = [MACD_EXP] # MACD
>> names = ['MACD']
>> labels = ['$close'] # label
>> label_names = ['LABEL']
>> data_handler = QLibDataHandler(start_date='2010-01-01', end_date='2017-12-31', fields=fields, names=names, labels=labels, label_names=label_names)
>> TRAINER_CONFIG = {
.. "train_start_date": "2007-01-01",
.. "train_end_date": "2014-12-31",
.. "validate_start_date": "2015-01-01",
.. "validate_end_date": "2016-12-31",
.. "test_start_date": "2017-01-01",
.. "test_end_date": "2020-08-01",
.. }
>> feature_train, label_train, feature_validate, label_validate, feature_test, label_test = data_handler.get_split_data(**TRAINER_CONFIG)
>> print(feature_train, label_train)
MACD
instrument datetime
SH600004 2012-01-04 -0.030853
2012-01-05 -0.030452
2012-01-06 -0.028252
2012-01-09 -0.024507
2012-01-10 -0.019744
SH600000 2010-01-04 -0.008625
2010-01-05 -0.007234
2010-01-06 -0.007693
2010-01-07 -0.009633
2010-01-08 -0.009891
... ...
SZ300273 2014-12-25 0.031339
2014-12-26 0.029695
2014-12-29 0.025577
2014-12-30 0.020493
2014-12-31 0.017089
SZ300251 2014-12-25 0.043072
2014-12-26 0.041345
2014-12-29 0.042733
2014-12-30 0.042066
2014-12-31 0.036299
[605882 rows x 1 columns]
label
[322025 rows x 1 columns]
LABEL
instrument datetime
SH600004 2012-01-04 0.003021
2012-01-05 0.017434
2012-01-06 0.015490
2012-01-09 0.002324
2012-01-10 -0.002542
SH600000 2010-01-04 4.260015
2010-01-05 4.292182
2010-01-06 4.207747
2010-01-07 4.113258
2010-01-08 4.159496
... ...
SZ300273 2014-12-25 -0.032454
2014-12-26 -0.016638
2014-12-29 0.008263
2014-12-30 -0.011985
2014-12-31 0.047797
SZ300251 2014-12-25 4.343212
2014-12-26 4.470587
2014-12-29 4.762474
2014-12-30 4.369748
2014-12-31 4.182222
[605882 rows x 1 columns]
[322025 rows x 1 columns]
Reference
===========