update factor analysis

171f1d75 · Dr.李 · d96ccbbc · 171f1d75
Commit 171f1d75 authored Aug 22, 2017 by Dr.李
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factoranalysis.py alphamind/analysis/factoranalysis.py +1 -1

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--- a/alphamind/analysis/factoranalysis.py
+++ b/alphamind/analysis/factoranalysis.py
@@ -42,7 +42,7 @@ def factor_analysis(factors: pd.DataFrame,
        post_process = kwargs['post_process']
        del kwargs['post_process']
    else:
-        post_process = [standardize]
+        post_process = [winsorize_normal, standardize]
    er = factor_processing(factors.values, pre_process, risk_exp, post_process) @ factor_weights