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Fix $volume normalization issue (#792)

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* Fix $volume normalization issue

Fix: https://github.com/microsoft/qlib/issues/765

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安阁锐
2022-01-01 10:44:17 -05:00
committed by GitHub
parent 3e79a088ef
commit e76b409d9a
1 changed files with 3 additions and 3 deletions
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6
qlib/contrib/data/handler.py
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@@ -126,9 +126,9 @@ class Alpha360(DataHandlerLP):
fields += ["$vwap/$close"] fields += ["$vwap/$close"]
names += ["VWAP0"] names += ["VWAP0"]
for i in range(59, 0, -1): for i in range(59, 0, -1):
fields += ["Ref($volume, %d)/$volume" % (i)] fields += ["Ref($volume, %d)/($volume+1e-12)" % (i)]
names += ["VOLUME%d" % (i)] names += ["VOLUME%d" % (i)]
fields += ["$volume/$volume"] fields += ["$volume/($volume+1e-12)"]
names += ["VOLUME0"] names += ["VOLUME0"]
return fields, names return fields, names
@@ -249,7 +249,7 @@ class Alpha158(DataHandlerLP):
names += [field.upper() + str(d) for d in windows] names += [field.upper() + str(d) for d in windows]
if "volume" in config: if "volume" in config:
windows = config["volume"].get("windows", range(5)) windows = config["volume"].get("windows", range(5))
fields += ["Ref($volume, %d)/$volume" % d if d != 0 else "$volume/$volume" for d in windows] fields += ["Ref($volume, %d)/($volume+1e-12)" % d if d != 0 else "$volume/($volume+1e-12)" for d in windows]
names += ["VOLUME" + str(d) for d in windows] names += ["VOLUME" + str(d) for d in windows]
if "rolling" in config: if "rolling" in config:
windows = config["rolling"].get("windows", [5, 10, 20, 30, 60]) windows = config["rolling"].get("windows", [5, 10, 20, 30, 60])