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32c3070b73
* Run ddg-da successfully * Support include valid; More parameters * Support L2 reg & visualization * Blackformat * Enable fill_method * Support specify handler & optim dataset * Fix Pylint
76 lines
3.1 KiB
Python
76 lines
3.1 KiB
Python
# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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import unittest
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import numpy as np
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from qlib.data import D
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from qlib.tests import TestAutoData
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from qlib.data.dataset.processor import MinMaxNorm, ZScoreNorm, CSZScoreNorm, CSZFillna
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class TestProcessor(TestAutoData):
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TEST_INST = "SH600519"
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def test_MinMaxNorm(self):
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def normalize(df):
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min_val = np.nanmin(df.values, axis=0)
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max_val = np.nanmax(df.values, axis=0)
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ignore = min_val == max_val
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for _i, _con in enumerate(ignore):
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if _con:
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max_val[_i] = 1
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min_val[_i] = 0
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df.loc(axis=1)[df.columns] = (df.values - min_val) / (max_val - min_val)
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return df
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origin_df = D.features([self.TEST_INST], ["$high", "$open", "$low", "$close"]).tail(10)
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origin_df["test"] = 0
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df = origin_df.copy()
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mmn = MinMaxNorm(fields_group=None, fit_start_time="2021-05-31", fit_end_time="2021-06-11")
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mmn.fit(df)
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mmn.__call__(df)
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origin_df = normalize(origin_df)
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assert (df == origin_df).all().all()
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def test_ZScoreNorm(self):
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def normalize(df):
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mean_train = np.nanmean(df.values, axis=0)
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std_train = np.nanstd(df.values, axis=0)
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ignore = std_train == 0
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for _i, _con in enumerate(ignore):
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if _con:
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std_train[_i] = 1
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mean_train[_i] = 0
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df.loc(axis=1)[df.columns] = (df.values - mean_train) / std_train
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return df
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origin_df = D.features([self.TEST_INST], ["$high", "$open", "$low", "$close"]).tail(10)
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origin_df["test"] = 0
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df = origin_df.copy()
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zsn = ZScoreNorm(fields_group=None, fit_start_time="2021-05-31", fit_end_time="2021-06-11")
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zsn.fit(df)
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zsn.__call__(df)
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origin_df = normalize(origin_df)
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assert (df == origin_df).all().all()
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def test_CSZFillna(self):
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origin_df = D.features(D.instruments(market="csi300"), fields=["$high", "$open", "$low", "$close"])
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origin_df = origin_df.groupby("datetime", group_keys=False).apply(lambda x: x[97:99])[228:238]
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df = origin_df.copy()
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CSZFillna(fields_group=None).__call__(df)
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assert ~df[1:2].isna().all().all() and origin_df[1:2].isna().all().all()
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def test_CSZScoreNorm(self):
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origin_df = D.features(D.instruments(market="csi300"), fields=["$high", "$open", "$low", "$close"])
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origin_df = origin_df.groupby("datetime", group_keys=False).apply(lambda x: x[10:12])[50:60]
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df = origin_df.copy()
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CSZScoreNorm(fields_group=None).__call__(df)
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# If we use the formula directly on the original data, we cannot get the correct result,
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# because the original data is processed by `groupby`, so we use the method of slicing,
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# taking the 2nd group of data from the original data, to calculate and compare.
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assert (df[2:4] == ((origin_df[2:4] - origin_df[2:4].mean()).div(origin_df[2:4].std()))).all().all()
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if __name__ == "__main__":
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unittest.main()
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