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3db22452fb
* add ChangeInstrument to ops Adding Change instrument OP. This op allows one to use features of a different instrument. * Update __init__.py update parse_field to accommodate ChangeInstrument * Propose test * Add test case and fix bug * Update ops.py * Update ops.py * simplify the operator further * implement abstract method * fix arg bug * clean test Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
93 lines
3.6 KiB
Python
93 lines
3.6 KiB
Python
import unittest
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from qlib.data import D
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from qlib.data.dataset.loader import QlibDataLoader
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from qlib.data.ops import ChangeInstrument, Cov, Feature, Ref, Var
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from qlib.tests import TestOperatorData
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class TestOperatorDataSetting(TestOperatorData):
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def test_setting(self):
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# All the query below passes
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df = D.features(["SH600519"], ["ChangeInstrument('SH000300', $close)"])
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# get market return for "SH600519"
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df = D.features(["SH600519"], ["ChangeInstrument('SH000300', Feature('close')/Ref(Feature('close'),1) -1)"])
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df = D.features(["SH600519"], ["ChangeInstrument('SH000300', $close/Ref($close,1) -1)"])
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# excess return
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df = D.features(
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["SH600519"], ["($close/Ref($close,1) -1) - ChangeInstrument('SH000300', $close/Ref($close,1) -1)"]
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)
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print(df)
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def test_case2(self):
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def test_case(instruments, queries, note=None):
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if note:
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print(note)
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print(f"checking {instruments} with queries {queries}")
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df = D.features(instruments, queries)
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print(df)
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return df
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test_case(["SH600519"], ["ChangeInstrument('SH000300', $close)"], "get market index close")
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test_case(
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["SH600519"],
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["ChangeInstrument('SH000300', Feature('close')/Ref(Feature('close'),1) -1)"],
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"get market index return with Feature",
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)
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test_case(
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["SH600519"],
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["ChangeInstrument('SH000300', $close/Ref($close,1) -1)"],
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"get market index return with expression",
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)
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test_case(
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["SH600519"],
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["($close/Ref($close,1) -1) - ChangeInstrument('SH000300', $close/Ref($close,1) -1)"],
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"get excess return with expression with beta=1",
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)
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ret = "Feature('close') / Ref(Feature('close'), 1) - 1"
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benchmark = "SH000300"
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n_period = 252
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marketRet = f"ChangeInstrument('{benchmark}', Feature('close') / Ref(Feature('close'), 1) - 1)"
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marketVar = f"ChangeInstrument('{benchmark}', Var({marketRet}, {n_period}))"
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beta = f"Cov({ret}, {marketRet}, {n_period}) / {marketVar}"
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excess_return = f"{ret} - {beta}*({marketRet})"
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fields = [
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"Feature('close')",
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f"ChangeInstrument('{benchmark}', Feature('close'))",
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ret,
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marketRet,
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beta,
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excess_return,
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]
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test_case(["SH600519"], fields[5:], "get market beta and excess_return with estimated beta")
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instrument = "sh600519"
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ret = Feature("close") / Ref(Feature("close"), 1) - 1
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benchmark = "sh000300"
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n_period = 252
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marketRet = ChangeInstrument(benchmark, Feature("close") / Ref(Feature("close"), 1) - 1)
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marketVar = ChangeInstrument(benchmark, Var(marketRet, n_period))
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beta = Cov(ret, marketRet, n_period) / marketVar
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fields = [
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Feature("close"),
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ChangeInstrument(benchmark, Feature("close")),
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ret,
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marketRet,
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beta,
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ret - beta * marketRet,
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]
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names = ["close", "marketClose", "ret", "marketRet", f"beta_{n_period}", "excess_return"]
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data_loader_config = {"feature": (fields, names)}
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data_loader = QlibDataLoader(config=data_loader_config)
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df = data_loader.load(instruments=[instrument]) # , start_time=start_time)
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print(df)
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# test_case(["sh600519"],fields,
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# "get market beta and excess_return with estimated beta")
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if __name__ == "__main__":
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unittest.main()
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