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Dr.李
alpha-mind
Commits
55e8b676
Commit
55e8b676
authored
Mar 24, 2018
by
Dr.李
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fixing miss match
parent
271d017e
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crosssetctions.py
alphamind/analysis/crosssetctions.py
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alphamind/analysis/crosssetctions.py
View file @
55e8b676
...
@@ -43,6 +43,7 @@ def cs_impl(ref_date,
...
@@ -43,6 +43,7 @@ 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'
])
total_risk_exp
=
target_pos
[
constraint_risk
]
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
()
...
...
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