From e2485bcf2b5edf71e301bac13766f329f048ec08 Mon Sep 17 00:00:00 2001
From: Dong Zhou <Zhou.Dong@microsoft.com>
Date: Tue, 24 Nov 2020 10:20:29 +0800
Subject: [PATCH] add CSRankNorm impl

---
 qlib/data/dataset/processor.py | 5 ++++-
 1 file changed, 4 insertions(+), 1 deletion(-)

diff --git a/qlib/data/dataset/processor.py b/qlib/data/dataset/processor.py
index 9c45b8bcd..2201c0891 100755
--- a/qlib/data/dataset/processor.py
+++ b/qlib/data/dataset/processor.py
@@ -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