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add CSRankNorm impl

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Dong Zhou
2020-11-24 10:20:29 +08:00
parent 641e7f38bc
commit e2485bcf2b
1 changed files with 4 additions and 1 deletions
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5
qlib/data/dataset/processor.py
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@@ -215,5 +215,8 @@ class CSRankNorm(Processor):
def __call__(self, df): def __call__(self, df):
# try not modify original dataframe # try not modify original dataframe
cols = get_group_columns(df, self.fields_group) 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 return df