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fix naming and code style

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This commit is contained in:
Alex Wang
2021-03-24 15:47:26 +08:00
parent 3bf6c7f95f
commit e3739bb980
4 changed files with 27 additions and 16 deletions
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29
qlib/contrib/eva/alpha.py
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@@ -8,12 +8,23 @@ import pandas as pd
from typing import Tuple
def calc_prec(
def calc_long_short_prec(
pred: pd.Series, label: pd.Series, date_col="datetime", quantile: float = 0.2, dropna=False, is_alpha=False
) -> Tuple[pd.Series, pd.Series]:
"""calculate the precision
pred :
pred
"""
calculate the precision for long and short operation
:param pred/label: index is **pd.MultiIndex**, index name is **[datetime, instruments]**; columns names is **[score]**.
.. code-block:: python
score
datetime instrument
2020-12-01 09:30:00 SH600068 0.553634
SH600195 0.550017
SH600276 0.540321
SH600584 0.517297
SH600715 0.544674
label :
label
date_col :
@@ -25,7 +36,7 @@ def calc_prec(
long precision and short precision in time level
"""
if is_alpha:
label = label - label.mean(level=0)
label = label - label.mean(level=date_col)
if int(1 / quantile) >= len(label.index.get_level_values(1).unique()):
raise ValueError("Need more instruments to calculate precision")
@@ -41,13 +52,13 @@ def calc_prec(
short = group.apply(lambda x: x.nsmallest(N(x), columns="pred").label).reset_index(level=0, drop=True)
groupll = long.groupby(date_col)
ll_ration = groupll.apply(lambda x: x > 0)
ll_c = groupll.count()
l_dom = groupll.apply(lambda x: x > 0)
l_c = groupll.count()
groups = short.groupby(date_col)
s_ration = groups.apply(lambda x: x < 0)
s_dom = groups.apply(lambda x: x < 0)
s_c = groups.count()
return (ll_ration.groupby(date_col).sum() / ll_c), (s_ration.groupby(date_col).sum() / s_c)
return (l_dom.groupby(date_col).sum() / l_c), (s_dom.groupby(date_col).sum() / s_c)
def calc_ic(pred: pd.Series, label: pd.Series, date_col="datetime", dropna=False) -> Tuple[pd.Series, pd.Series]: