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Update Docs of Alpha360 (#777)

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you-n-g
2021-12-25 18:07:44 +08:00
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commit e33de44cb9
1 changed files with 7 additions and 1 deletions
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qlib/contrib/data/handler.py
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@@ -90,7 +90,13 @@ class Alpha360(DataHandlerLP):
return (["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])
def get_feature_config(self):
# NOTE:
# Alpha360 tries to provide a dataset with original price data
# the original price data includes the prices and volume in the last 60 days.
# To make it easier to learn models from this dataset, all the prices and volume
# are normalized by the latest price and volume data ( dividing by $close, $volume)
# So the latest normalized $close will be 1 (with name CLOSE0), the latest normalized $volume will be 1 (with name VOLUME0)
# If further normalization are executed (e.g. centralization), CLOSE0 and VOLUME0 will be 0.
fields = []
names = []