From e33de44cb98768e207da19e1f14c71dcb2e63c33 Mon Sep 17 00:00:00 2001 From: you-n-g Date: Sat, 25 Dec 2021 18:07:44 +0800 Subject: [PATCH] Update Docs of Alpha360 (#777) --- qlib/contrib/data/handler.py | 8 +++++++- 1 file changed, 7 insertions(+), 1 deletion(-) diff --git a/qlib/contrib/data/handler.py b/qlib/contrib/data/handler.py index ccd753006..1e82ed67e 100644 --- a/qlib/contrib/data/handler.py +++ b/qlib/contrib/data/handler.py @@ -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 = []