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fixed a problem with multi index caused by the default value of groupkey (#1917)

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* fixed a problem with multi index caused by the default value of groupkey

* modify group_key default value

* limit pandas verion

* format with black

* fix docs error

* fix docs error

* fixed bugs caused by pandas upgrade

* remove needless code

* reformat with black

* limit version & add docs
This commit is contained in:
Linlang
2025-05-13 16:02:49 +08:00
committed by GitHub
parent df557d29d5
commit fbba768006
43 changed files with 153 additions and 98 deletions
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qlib/contrib/model/double_ensemble.py
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@@ -166,7 +166,7 @@ class DEnsembleModel(Model, FeatureInt):
# calculate weights
h["bins"] = pd.cut(h["h_value"], self.bins_sr)
h_avg = h.groupby("bins")["h_value"].mean()
h_avg = h.groupby("bins", group_keys=False, observed=False)["h_value"].mean()
weights = pd.Series(np.zeros(N, dtype=float))
for b in h_avg.index:
weights[h["bins"] == b] = 1.0 / (self.decay**k_th * h_avg[b] + 0.1)