Skip to content

A
alpha-mind
Commit 6916c684 authored by Dr.李's avatar Dr.李
Browse files
Options

remove winsorize in post process

parent e1fa6d8a
Hide whitespace changes
Inline Side-by-side
Showing with 1 addition and 1 deletion
alphamind/analysis/crosssetctions.py
View file @ 6916c684
...@@ -33,7 +33,7 @@ def cs_impl(ref_date, ...@@ -33,7 +33,7 @@ def cs_impl(ref_date,
total_risk_exp = total_data[constraint_risk] total_risk_exp = total_data[constraint_risk]
er = total_data[[factor_name]].values.astype(float) er = total_data[[factor_name]].values.astype(float)
er = factor_processing(er, [winsorize_normal, standardize], total_risk_exp.values, [winsorize_normal, standardize]).flatten() er = factor_processing(er, [winsorize_normal, standardize], total_risk_exp.values, [standardize]).flatten()
industry = total_data.industry_name.values industry = total_data.industry_name.values
codes = total_data.code.tolist() codes = total_data.code.tolist()
......
Markdown is supported
0% or
You are about to add 0 people to the discussion. Proceed with caution.
Finish editing this message first!
Please register or to comment