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alpha-mind
Commit 271d017e authored by Dr.李's avatar Dr.李
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keep fixing

parent b654d26d
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alphamind/analysis/crosssetctions.py
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...@@ -43,8 +43,8 @@ def cs_impl(ref_date, ...@@ -43,8 +43,8 @@ def cs_impl(ref_date,
target_pos['weight'] = target_pos['weight'] / target_pos['weight'].abs().sum() target_pos['weight'] = target_pos['weight'] / target_pos['weight'].abs().sum()
target_pos = pd.merge(target_pos, dx_returns, on=['code']) target_pos = pd.merge(target_pos, dx_returns, on=['code'])
target_pos = pd.merge(target_pos, total_data[['code'] + constraint_risk], on=['code']) target_pos = pd.merge(target_pos, total_data[['code'] + constraint_risk], on=['code'])
activate_weight = target_pos[['weight']].values activate_weight = target_pos['weight'].values
excess_return = np.exp(target_pos.dx.values) - 1. excess_return = np.exp(target_pos[['dx']].values) - 1.
excess_return = factor_processing(excess_return, [winsorize_normal, standardize], total_risk_exp.values, [winsorize_normal, standardize]).flatten() excess_return = factor_processing(excess_return, [winsorize_normal, standardize], total_risk_exp.values, [winsorize_normal, standardize]).flatten()
port_ret = np.log(activate_weight @ excess_return + 1.) port_ret = np.log(activate_weight @ excess_return + 1.)
ic = np.corrcoef(excess_return, activate_weight)[0, 1] ic = np.corrcoef(excess_return, activate_weight)[0, 1]
......
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