"E:\\workarea\\software\\conda3\\lib\\site-packages\\h5py\\__init__.py:36: FutureWarning: Conversion of the second argument of issubdtype from `float` to `np.floating` is deprecated. In future, it will be treated as `np.float64 == np.dtype(float).type`.\n",
" from ._conv import register_converters as _register_converters\n"
"E:\\workarea\\software\\conda3\\lib\\site-packages\\alpha_mind-0.2.0-py3.6-win-amd64.egg\\alphamind\\data\\transformer.py:76: FutureWarning: Method .as_matrix will be removed in a future version. Use .values instead.\n",
" dropna=False)\n"
]
},
{
"name": "stdout",
"output_type": "stream",
"text": [
"Optimization finished ......\n",
"Training cost = 0.012139828875660896, W = [[ 0.9230019 ]\n",
"2018-08-09 11:13:07,623 - ALPHA_MIND - INFO - Starting data package fetching ...\n",
"E:\\workarea\\software\\conda3\\lib\\site-packages\\alpha_mind-0.2.0-py3.6-win-amd64.egg\\alphamind\\data\\transformer.py:76: FutureWarning: Method .as_matrix will be removed in a future version. Use .values instead.\n",
" dropna=False)\n",
"2018-08-09 11:13:08,138 - ALPHA_MIND - INFO - factor data loading finished\n",
"2018-08-09 11:13:57,280 - ALPHA_MIND - INFO - fit target data loading finished\n",
"2018-08-09 11:13:58,303 - ALPHA_MIND - INFO - industry data loading finished\n",
"2018-08-09 11:13:58,486 - ALPHA_MIND - INFO - benchmark data loading finished\n",
"2018-08-09 11:13:59,791 - ALPHA_MIND - INFO - data merging finished\n",
"2018-08-09 11:13:59,862 - ALPHA_MIND - INFO - Loading data is finished\n",
"2018-08-09 11:13:59,885 - ALPHA_MIND - INFO - Data processing is finished\n"
]
}
],
"source": [
"start_date = '2011-01-01'\n",
"end_date = '2012-01-01'\n",
"\n",
"data_package2 = fetch_data_package(engine,\n",
" alpha_factors=[kernal_feature],\n",
" start_date=start_date,\n",
" end_date=end_date,\n",
" frequency=freq,\n",
" universe=universe,\n",
" benchmark=906,\n",
" warm_start=warm_start,\n",
" batch=1,\n",
" neutralized_risk=neutralized_risk,\n",
" pre_process=pre_process,\n",
" post_process=post_process)\n",
"\n",
"model_dates = [d.strftime('%Y-%m-%d') for d in list(data_package2['predict']['x'].keys())]\n",
"2018-08-09 11:26:33,244 - ALPHA_MIND - INFO - 2011-01-04 full re-balance: 799\n",
"E:\\workarea\\software\\conda3\\lib\\site-packages\\alpha_mind-0.2.0-py3.6-win-amd64.egg\\alphamind\\data\\transformer.py:76: FutureWarning: Method .as_matrix will be removed in a future version. Use .values instead.\n",
" dropna=False)\n",
"2018-08-09 11:26:37,099 - ALPHA_MIND - INFO - 2011-01-04 is finished\n",
"2018-08-09 11:26:37,109 - ALPHA_MIND - INFO - 2011-04-07 full re-balance: 798\n",
"2018-08-09 11:26:41,181 - ALPHA_MIND - INFO - 2011-04-07 is finished\n",
"2018-08-09 11:26:41,191 - ALPHA_MIND - INFO - 2011-07-04 full re-balance: 798\n",
"2018-08-09 11:26:45,093 - ALPHA_MIND - INFO - 2011-07-04 is finished\n",
"2018-08-09 11:26:45,104 - ALPHA_MIND - INFO - 2011-09-27 full re-balance: 797\n",
"2018-08-09 11:26:49,010 - ALPHA_MIND - INFO - 2011-09-27 is finished\n",
"2018-08-09 11:26:49,021 - ALPHA_MIND - INFO - 2011-12-27 full re-balance: 798\n",
"2018-08-09 11:26:52,937 - ALPHA_MIND - INFO - 2011-12-27 is finished\n"
"E:\\workarea\\software\\conda3\\lib\\site-packages\\alpha_mind-0.2.0-py3.6-win-amd64.egg\\alphamind\\data\\transformer.py:76: FutureWarning: Method .as_matrix will be removed in a future version. Use .values instead.\n",
"2018-08-09 13:35:24,689 - ALPHA_MIND - INFO - Starting data package fetching ...\n",
"E:\\workarea\\software\\conda3\\lib\\site-packages\\alpha_mind-0.2.0-py3.6-win-amd64.egg\\alphamind\\data\\transformer.py:76: FutureWarning: Method .as_matrix will be removed in a future version. Use .values instead.\n",
" dropna=False)\n",
"2018-08-09 13:35:25,457 - ALPHA_MIND - INFO - factor data loading finished\n",
"2018-08-09 13:36:15,526 - ALPHA_MIND - INFO - fit target data loading finished\n",
"2018-08-09 13:36:15,774 - ALPHA_MIND - INFO - industry data loading finished\n",
"2018-08-09 13:36:15,918 - ALPHA_MIND - INFO - benchmark data loading finished\n",
"2018-08-09 13:36:16,656 - ALPHA_MIND - INFO - data merging finished\n",
"2018-08-09 13:36:16,714 - ALPHA_MIND - INFO - Loading data is finished\n",
"2018-08-09 13:36:16,748 - ALPHA_MIND - INFO - Data processing is finished\n"
]
}
],
"source": [
"start_date = '2011-01-01'\n",
"end_date = '2012-01-01'\n",
"\n",
"data_package2 = fetch_data_package(engine,\n",
" alpha_factors=[kernal_feature],\n",
" start_date=start_date,\n",
" end_date=end_date,\n",
" frequency=freq,\n",
" universe=universe,\n",
" benchmark=906,\n",
" warm_start=warm_start,\n",
" batch=1,\n",
" neutralized_risk=neutralized_risk,\n",
" pre_process=pre_process,\n",
" post_process=post_process)\n",
"\n",
"model_dates = [d.strftime('%Y-%m-%d') for d in list(data_package2['predict']['x'].keys())]\n",
"2018-08-09 13:36:59,018 - ALPHA_MIND - INFO - 2011-01-04 full re-balance: 799\n",
"E:\\workarea\\software\\conda3\\lib\\site-packages\\alpha_mind-0.2.0-py3.6-win-amd64.egg\\alphamind\\data\\transformer.py:76: FutureWarning: Method .as_matrix will be removed in a future version. Use .values instead.\n",
" dropna=False)\n",
"2018-08-09 13:37:03,020 - ALPHA_MIND - INFO - 2011-01-04 is finished\n",
"2018-08-09 13:37:03,028 - ALPHA_MIND - INFO - 2011-04-07 full re-balance: 798\n",
"2018-08-09 13:37:06,784 - ALPHA_MIND - INFO - 2011-04-07 is finished\n",
"2018-08-09 13:37:06,794 - ALPHA_MIND - INFO - 2011-07-04 full re-balance: 798\n",
"2018-08-09 13:37:10,646 - ALPHA_MIND - INFO - 2011-07-04 is finished\n",
"2018-08-09 13:37:10,655 - ALPHA_MIND - INFO - 2011-09-27 full re-balance: 797\n",
"2018-08-09 13:37:14,539 - ALPHA_MIND - INFO - 2011-09-27 is finished\n",
"2018-08-09 13:37:14,548 - ALPHA_MIND - INFO - 2011-12-27 full re-balance: 798\n",
"2018-08-09 13:37:18,448 - ALPHA_MIND - INFO - 2011-12-27 is finished\n"