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a7d5a9b500
* nested data loader * Amend * add data loder test * fix pylint error * fix pytest error * fix pytest error * delete comments * Update qlib/contrib/data/handler.py --------- Co-authored-by: Linlang <Lv.Linlang@hotmail.com>
311 lines
16 KiB
Python
311 lines
16 KiB
Python
from qlib.data.dataset.loader import QlibDataLoader
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class Alpha360DL(QlibDataLoader):
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"""Dataloader to get Alpha360"""
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def __init__(self, config=None, **kwargs):
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_config = {
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"feature": self.get_feature_config(),
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}
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if config is not None:
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_config.update(config)
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super().__init__(config=_config, **kwargs)
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@staticmethod
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def get_feature_config():
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# NOTE:
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# Alpha360 tries to provide a dataset with original price data
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# the original price data includes the prices and volume in the last 60 days.
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# To make it easier to learn models from this dataset, all the prices and volume
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# are normalized by the latest price and volume data ( dividing by $close, $volume)
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# So the latest normalized $close will be 1 (with name CLOSE0), the latest normalized $volume will be 1 (with name VOLUME0)
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# If further normalization are executed (e.g. centralization), CLOSE0 and VOLUME0 will be 0.
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fields = []
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names = []
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for i in range(59, 0, -1):
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fields += ["Ref($close, %d)/$close" % i]
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names += ["CLOSE%d" % i]
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fields += ["$close/$close"]
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names += ["CLOSE0"]
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for i in range(59, 0, -1):
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fields += ["Ref($open, %d)/$close" % i]
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names += ["OPEN%d" % i]
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fields += ["$open/$close"]
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names += ["OPEN0"]
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for i in range(59, 0, -1):
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fields += ["Ref($high, %d)/$close" % i]
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names += ["HIGH%d" % i]
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fields += ["$high/$close"]
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names += ["HIGH0"]
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for i in range(59, 0, -1):
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fields += ["Ref($low, %d)/$close" % i]
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names += ["LOW%d" % i]
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fields += ["$low/$close"]
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names += ["LOW0"]
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for i in range(59, 0, -1):
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fields += ["Ref($vwap, %d)/$close" % i]
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names += ["VWAP%d" % i]
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fields += ["$vwap/$close"]
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names += ["VWAP0"]
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for i in range(59, 0, -1):
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fields += ["Ref($volume, %d)/($volume+1e-12)" % i]
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names += ["VOLUME%d" % i]
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fields += ["$volume/($volume+1e-12)"]
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names += ["VOLUME0"]
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return fields, names
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class Alpha158DL(QlibDataLoader):
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"""Dataloader to get Alpha158"""
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def __init__(self, config=None, **kwargs):
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_config = {
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"feature": self.get_feature_config(),
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}
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if config is not None:
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_config.update(config)
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super().__init__(config=_config, **kwargs)
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@staticmethod
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def get_feature_config(
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config={
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"kbar": {},
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"price": {
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"windows": [0],
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"feature": ["OPEN", "HIGH", "LOW", "VWAP"],
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},
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"rolling": {},
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}
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):
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"""create factors from config
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config = {
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'kbar': {}, # whether to use some hard-code kbar features
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'price': { # whether to use raw price features
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'windows': [0, 1, 2, 3, 4], # use price at n days ago
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'feature': ['OPEN', 'HIGH', 'LOW'] # which price field to use
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},
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'volume': { # whether to use raw volume features
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'windows': [0, 1, 2, 3, 4], # use volume at n days ago
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},
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'rolling': { # whether to use rolling operator based features
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'windows': [5, 10, 20, 30, 60], # rolling windows size
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'include': ['ROC', 'MA', 'STD'], # rolling operator to use
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#if include is None we will use default operators
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'exclude': ['RANK'], # rolling operator not to use
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}
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}
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"""
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fields = []
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names = []
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if "kbar" in config:
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fields += [
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"($close-$open)/$open",
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"($high-$low)/$open",
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"($close-$open)/($high-$low+1e-12)",
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"($high-Greater($open, $close))/$open",
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"($high-Greater($open, $close))/($high-$low+1e-12)",
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"(Less($open, $close)-$low)/$open",
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"(Less($open, $close)-$low)/($high-$low+1e-12)",
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"(2*$close-$high-$low)/$open",
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"(2*$close-$high-$low)/($high-$low+1e-12)",
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]
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names += [
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"KMID",
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"KLEN",
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"KMID2",
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"KUP",
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"KUP2",
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"KLOW",
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"KLOW2",
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"KSFT",
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"KSFT2",
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]
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if "price" in config:
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windows = config["price"].get("windows", range(5))
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feature = config["price"].get("feature", ["OPEN", "HIGH", "LOW", "CLOSE", "VWAP"])
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for field in feature:
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field = field.lower()
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fields += ["Ref($%s, %d)/$close" % (field, d) if d != 0 else "$%s/$close" % field for d in windows]
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names += [field.upper() + str(d) for d in windows]
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if "volume" in config:
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windows = config["volume"].get("windows", range(5))
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fields += ["Ref($volume, %d)/($volume+1e-12)" % d if d != 0 else "$volume/($volume+1e-12)" for d in windows]
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names += ["VOLUME" + str(d) for d in windows]
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if "rolling" in config:
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windows = config["rolling"].get("windows", [5, 10, 20, 30, 60])
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include = config["rolling"].get("include", None)
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exclude = config["rolling"].get("exclude", [])
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# `exclude` in dataset config unnecessary filed
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# `include` in dataset config necessary field
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def use(x):
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return x not in exclude and (include is None or x in include)
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# Some factor ref: https://guorn.com/static/upload/file/3/134065454575605.pdf
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if use("ROC"):
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# https://www.investopedia.com/terms/r/rateofchange.asp
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# Rate of change, the price change in the past d days, divided by latest close price to remove unit
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fields += ["Ref($close, %d)/$close" % d for d in windows]
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names += ["ROC%d" % d for d in windows]
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if use("MA"):
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# https://www.investopedia.com/ask/answers/071414/whats-difference-between-moving-average-and-weighted-moving-average.asp
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# Simple Moving Average, the simple moving average in the past d days, divided by latest close price to remove unit
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fields += ["Mean($close, %d)/$close" % d for d in windows]
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names += ["MA%d" % d for d in windows]
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if use("STD"):
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# The standard diviation of close price for the past d days, divided by latest close price to remove unit
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fields += ["Std($close, %d)/$close" % d for d in windows]
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names += ["STD%d" % d for d in windows]
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if use("BETA"):
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# The rate of close price change in the past d days, divided by latest close price to remove unit
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# For example, price increase 10 dollar per day in the past d days, then Slope will be 10.
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fields += ["Slope($close, %d)/$close" % d for d in windows]
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names += ["BETA%d" % d for d in windows]
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if use("RSQR"):
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# The R-sqaure value of linear regression for the past d days, represent the trend linear
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fields += ["Rsquare($close, %d)" % d for d in windows]
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names += ["RSQR%d" % d for d in windows]
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if use("RESI"):
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# The redisdual for linear regression for the past d days, represent the trend linearity for past d days.
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fields += ["Resi($close, %d)/$close" % d for d in windows]
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names += ["RESI%d" % d for d in windows]
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if use("MAX"):
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# The max price for past d days, divided by latest close price to remove unit
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fields += ["Max($high, %d)/$close" % d for d in windows]
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names += ["MAX%d" % d for d in windows]
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if use("LOW"):
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# The low price for past d days, divided by latest close price to remove unit
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fields += ["Min($low, %d)/$close" % d for d in windows]
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names += ["MIN%d" % d for d in windows]
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if use("QTLU"):
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# The 80% quantile of past d day's close price, divided by latest close price to remove unit
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# Used with MIN and MAX
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fields += ["Quantile($close, %d, 0.8)/$close" % d for d in windows]
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names += ["QTLU%d" % d for d in windows]
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if use("QTLD"):
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# The 20% quantile of past d day's close price, divided by latest close price to remove unit
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fields += ["Quantile($close, %d, 0.2)/$close" % d for d in windows]
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names += ["QTLD%d" % d for d in windows]
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if use("RANK"):
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# Get the percentile of current close price in past d day's close price.
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# Represent the current price level comparing to past N days, add additional information to moving average.
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fields += ["Rank($close, %d)" % d for d in windows]
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names += ["RANK%d" % d for d in windows]
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if use("RSV"):
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# Represent the price position between upper and lower resistent price for past d days.
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fields += ["($close-Min($low, %d))/(Max($high, %d)-Min($low, %d)+1e-12)" % (d, d, d) for d in windows]
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names += ["RSV%d" % d for d in windows]
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if use("IMAX"):
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# The number of days between current date and previous highest price date.
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# Part of Aroon Indicator https://www.investopedia.com/terms/a/aroon.asp
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# The indicator measures the time between highs and the time between lows over a time period.
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# The idea is that strong uptrends will regularly see new highs, and strong downtrends will regularly see new lows.
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fields += ["IdxMax($high, %d)/%d" % (d, d) for d in windows]
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names += ["IMAX%d" % d for d in windows]
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if use("IMIN"):
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# The number of days between current date and previous lowest price date.
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# Part of Aroon Indicator https://www.investopedia.com/terms/a/aroon.asp
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# The indicator measures the time between highs and the time between lows over a time period.
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# The idea is that strong uptrends will regularly see new highs, and strong downtrends will regularly see new lows.
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fields += ["IdxMin($low, %d)/%d" % (d, d) for d in windows]
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names += ["IMIN%d" % d for d in windows]
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if use("IMXD"):
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# The time period between previous lowest-price date occur after highest price date.
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# Large value suggest downward momemtum.
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fields += ["(IdxMax($high, %d)-IdxMin($low, %d))/%d" % (d, d, d) for d in windows]
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names += ["IMXD%d" % d for d in windows]
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if use("CORR"):
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# The correlation between absolute close price and log scaled trading volume
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fields += ["Corr($close, Log($volume+1), %d)" % d for d in windows]
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names += ["CORR%d" % d for d in windows]
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if use("CORD"):
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# The correlation between price change ratio and volume change ratio
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fields += ["Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), %d)" % d for d in windows]
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names += ["CORD%d" % d for d in windows]
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if use("CNTP"):
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# The percentage of days in past d days that price go up.
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fields += ["Mean($close>Ref($close, 1), %d)" % d for d in windows]
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names += ["CNTP%d" % d for d in windows]
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if use("CNTN"):
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# The percentage of days in past d days that price go down.
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fields += ["Mean($close<Ref($close, 1), %d)" % d for d in windows]
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names += ["CNTN%d" % d for d in windows]
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if use("CNTD"):
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# The diff between past up day and past down day
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fields += ["Mean($close>Ref($close, 1), %d)-Mean($close<Ref($close, 1), %d)" % (d, d) for d in windows]
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names += ["CNTD%d" % d for d in windows]
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if use("SUMP"):
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# The total gain / the absolute total price changed
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# Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
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fields += [
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"Sum(Greater($close-Ref($close, 1), 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
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for d in windows
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]
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names += ["SUMP%d" % d for d in windows]
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if use("SUMN"):
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# The total lose / the absolute total price changed
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# Can be derived from SUMP by SUMN = 1 - SUMP
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# Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
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fields += [
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"Sum(Greater(Ref($close, 1)-$close, 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
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for d in windows
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]
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names += ["SUMN%d" % d for d in windows]
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if use("SUMD"):
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# The diff ratio between total gain and total lose
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# Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
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fields += [
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"(Sum(Greater($close-Ref($close, 1), 0), %d)-Sum(Greater(Ref($close, 1)-$close, 0), %d))"
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"/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d, d)
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for d in windows
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]
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names += ["SUMD%d" % d for d in windows]
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if use("VMA"):
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# Simple Volume Moving average: https://www.barchart.com/education/technical-indicators/volume_moving_average
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fields += ["Mean($volume, %d)/($volume+1e-12)" % d for d in windows]
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names += ["VMA%d" % d for d in windows]
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if use("VSTD"):
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# The standard deviation for volume in past d days.
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fields += ["Std($volume, %d)/($volume+1e-12)" % d for d in windows]
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names += ["VSTD%d" % d for d in windows]
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if use("WVMA"):
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# The volume weighted price change volatility
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fields += [
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"Std(Abs($close/Ref($close, 1)-1)*$volume, %d)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, %d)+1e-12)"
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% (d, d)
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for d in windows
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]
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names += ["WVMA%d" % d for d in windows]
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if use("VSUMP"):
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# The total volume increase / the absolute total volume changed
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fields += [
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"Sum(Greater($volume-Ref($volume, 1), 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
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% (d, d)
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for d in windows
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]
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names += ["VSUMP%d" % d for d in windows]
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if use("VSUMN"):
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# The total volume increase / the absolute total volume changed
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# Can be derived from VSUMP by VSUMN = 1 - VSUMP
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fields += [
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"Sum(Greater(Ref($volume, 1)-$volume, 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
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% (d, d)
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for d in windows
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]
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names += ["VSUMN%d" % d for d in windows]
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if use("VSUMD"):
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# The diff ratio between total volume increase and total volume decrease
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# RSI indicator for volume
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fields += [
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"(Sum(Greater($volume-Ref($volume, 1), 0), %d)-Sum(Greater(Ref($volume, 1)-$volume, 0), %d))"
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"/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d, d)
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for d in windows
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]
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names += ["VSUMD%d" % d for d in windows]
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return fields, names
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