made neutralize workable with groups

alphamind/data/neutralize.py

@@ -7,9 +7,21 @@ Created on 2017-4-25
 
 import numpy as np
 from numpy.linalg import solve
+from alphamind.aggregate import groupby
 
 
-def neutralize(x: np.ndarray, y: np.ndarray) -> np.ndarray:
+def neutralize(x: np.ndarray, y: np.ndarray, groups: np.ndarray=None) -> np.ndarray:
+    if groups is not None:
+        res = np.zeros(y.shape)
+        groups_ids = groupby(groups)
+
+        for curr_idx in groups_ids:
+            curr_x = x[curr_idx]
+            curr_y = y[curr_idx]
+            b = ls_fit(x[curr_idx], y[curr_idx])
+            res[curr_idx] = ls_res(curr_x, curr_y, b)
+        return res
+    else:
         b = ls_fit(x, y)
         return ls_res(x, y, b)
 
@@ -22,3 +34,12 @@ def ls_fit(x: np.ndarray, y: np.ndarray) -> np.ndarray:
 
 def ls_res(x: np.ndarray, y: np.ndarray, b: np.ndarray) -> np.ndarray:
     return y - x @ b
+
+
+if __name__ == '__main__':
+
+    x = np.random.randn(3000, 3)
+    y = np.random.randn(3000, 2)
+    groups = np.random.randint(30, size=3000)
+
+    print(neutralize(x, y, groups))
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