liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-07 13:00:58 +08:00
Code Activity

Format with black

Browse Source
This commit is contained in:
Jactus
2020-10-29 13:22:49 +08:00
parent 490dbd908b
commit da9d1c8ac6
20 changed files with 290 additions and 251 deletions
Download Patch File Download Diff File Expand all files Collapse all files

76
qlib/contrib/data/handler.py
View File

@@ -16,21 +16,16 @@ class ALPHA360(DataHandlerLP):
"kwargs": {
"config": {
"feature": {
"price": {
"windows": range(60)
},
"volume": {
"windows": range(60)
},
"price": {"windows": range(60)},
"volume": {"windows": range(60)},
},
"label": self.get_label_config()
"label": self.get_label_config(),
},
}
},
}
infer_processors = [{
"class": "ConfigSectionProcessor",
"module_path": "qlib.contrib.data.processor"
}] # ConfigSectionProcessor will normalize LABEL0
infer_processors = [
{"class": "ConfigSectionProcessor", "module_path": "qlib.contrib.data.processor"}
] # ConfigSectionProcessor will normalize LABEL0
super().__init__(instruments, start_time, end_time, data_loader=data_loader, infer_processors=infer_processors)
def get_label_config(self):
@@ -49,12 +44,7 @@ class Alpha158(DataHandlerLP):
start_time=None,
end_time=None,
infer_processors=[],
learn_processors=["DropnaLabel", {
"class": "CSZScoreNorm",
"kwargs": {
"fields_group": "label"
}
}],
learn_processors=["DropnaLabel", {"class": "CSZScoreNorm", "kwargs": {"fields_group": "label"}}],
fit_start_time=None,
fit_end_time=None,
):
@@ -65,11 +55,13 @@ class Alpha158(DataHandlerLP):
klass, pkwargs = get_cls_kwargs(p, processor_module)
# FIXME: It's hard code here!!!!!
if isinstance(klass, (MinMaxNorm, ZscoreNorm)):
assert (fit_start_time is not None and fit_end_time is not None)
pkwargs.update({
"fit_start_time": fit_start_time,
"fit_end_time": fit_end_time,
})
assert fit_start_time is not None and fit_end_time is not None
pkwargs.update(
{
"fit_start_time": fit_start_time,
"fit_end_time": fit_end_time,
}
)
new_l.append({"class": klass.__name__, "kwargs": pkwargs})
else:
new_l.append(p)
@@ -81,18 +73,17 @@ class Alpha158(DataHandlerLP):
data_loader = {
"class": "QlibDataLoader",
"kwargs": {
"config": {
"feature": self.get_feature_config(),
"label": self.get_label_config()
},
}
"config": {"feature": self.get_feature_config(), "label": self.get_label_config()},
},
}
super().__init__(instruments,
start_time,
end_time,
data_loader=data_loader,
infer_processors=infer_processors,
learn_processors=learn_processors)
super().__init__(
instruments,
start_time,
end_time,
data_loader=data_loader,
infer_processors=infer_processors,
learn_processors=learn_processors,
)
def get_feature_config(self):
conf = {
@@ -247,7 +238,8 @@ class Alpha158(DataHandlerLP):
if use("SUMD"):
fields += [
"(Sum(Greater($close-Ref($close, 1), 0), %d)-Sum(Greater(Ref($close, 1)-$close, 0), %d))"
"/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d, d) for d in windows
"/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d, d)
for d in windows
]
names += ["SUMD%d" % d for d in windows]
if use("VMA"):
@@ -258,26 +250,30 @@ class Alpha158(DataHandlerLP):
names += ["VSTD%d" % d for d in windows]
if use("WVMA"):
fields += [
"Std(Abs($close/Ref($close, 1)-1)*$volume, %d)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, %d)+1e-12)" %
(d, d) for d in windows
"Std(Abs($close/Ref($close, 1)-1)*$volume, %d)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, %d)+1e-12)"
% (d, d)
for d in windows
]
names += ["WVMA%d" % d for d in windows]
if use("VSUMP"):
fields += [
"Sum(Greater($volume-Ref($volume, 1), 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d)
"Sum(Greater($volume-Ref($volume, 1), 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
% (d, d)
for d in windows
]
names += ["VSUMP%d" % d for d in windows]
if use("VSUMN"):
fields += [
"Sum(Greater(Ref($volume, 1)-$volume, 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d)
"Sum(Greater(Ref($volume, 1)-$volume, 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
% (d, d)
for d in windows
]
names += ["VSUMN%d" % d for d in windows]
if use("VSUMD"):
fields += [
"(Sum(Greater($volume-Ref($volume, 1), 0), %d)-Sum(Greater(Ref($volume, 1)-$volume, 0), %d))"
"/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d, d) for d in windows
"/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d, d)
for d in windows
]
names += ["VSUMD%d" % d for d in windows]