liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-06-06 05:51:17 +08:00
Code Activity

add CSRankNorm impl

Browse Source
This commit is contained in:
Dong Zhou
2020-11-24 10:20:29 +08:00
parent 641e7f38bc
commit e2485bcf2b
1 changed files with 4 additions and 1 deletions
Download Patch File Download Diff File Expand all files Collapse all files

5
qlib/data/dataset/processor.py
View File

@@ -215,5 +215,8 @@ class CSRankNorm(Processor):
def __call__(self, df):
# try not modify original dataframe
cols = get_group_columns(df, self.fields_group)
df[cols] = df[cols].groupby("datetime").apply(lambda df: (df - df.mean()).div(df.std()))
t = df[cols].groupby("datetime").rank(pct=True)
t -= 0.5
t *= 3.46 # NOTE: towards unit std
df[cols] = t
return df