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update example 1

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Showing with 383 additions and 37 deletions
notebooks/Example 1 - Factor IC analysis.ipynb
View file @ 6bdfa6c6
...@@ -2,7 +2,7 @@ ...@@ -2,7 +2,7 @@
"cells": [ "cells": [
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 4,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -19,7 +19,7 @@ ...@@ -19,7 +19,7 @@
}, },
{ {
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"execution_count": null, "execution_count": 5,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -27,7 +27,7 @@ ...@@ -27,7 +27,7 @@
"Back test parameter settings\n", "Back test parameter settings\n",
"\"\"\"\n", "\"\"\"\n",
"\n", "\n",
"start_date = '2010-01-01'\n", "start_date = '2017-01-01'\n",
"end_date = '2018-02-24'\n", "end_date = '2018-02-24'\n",
"\n", "\n",
"frequency = '10b'\n", "frequency = '10b'\n",
...@@ -35,7 +35,7 @@ ...@@ -35,7 +35,7 @@
"industry_upper = 1.0\n", "industry_upper = 1.0\n",
"method = 'risk_neutral'\n", "method = 'risk_neutral'\n",
"neutralize_risk = industry_styles\n", "neutralize_risk = industry_styles\n",
"industry_name = 'sw_adj'\n", "industry_name = 'sw'\n",
"industry_level = 1\n", "industry_level = 1\n",
"benchmark_total_lower = 0.8\n", "benchmark_total_lower = 0.8\n",
"benchmark_total_upper = 1.0\n", "benchmark_total_upper = 1.0\n",
...@@ -53,7 +53,7 @@ ...@@ -53,7 +53,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 6,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -88,7 +88,7 @@ ...@@ -88,7 +88,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 7,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -222,37 +222,392 @@ ...@@ -222,37 +222,392 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 8,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
"%%time\n", "factors = ['EPS', 'ROE']"
"\n",
"df = engine.fetch_factor_coverage(start_date='2011-01-01',\n",
" end_date='2018-02-12',\n",
" universe=universe_name[0])\n",
"df = df[df.source != 'risk_exposure']\n",
"df = df.groupby('factor').mean()\n",
"df = df[df.coverage >= 0.95]"
] ]
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 9,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [
{
"name": "stderr",
"output_type": "stream",
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]
},
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-03-22 14:40:43,046 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 is finished\n",
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"2018-03-22 14:40:50,737 - ALPHA_MIND - INFO - 2017-01-17 00:00:00 is finished\n",
"2018-03-22 14:40:50,746 - ALPHA_MIND - INFO - 2017-02-07 00:00:00: 800\n",
"2018-03-22 14:40:50,754 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 full re-balance\n",
"2018-03-22 14:40:50,780 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 is finished\n",
"2018-03-22 14:40:50,790 - ALPHA_MIND - INFO - 2017-02-21 00:00:00: 799\n",
"2018-03-22 14:40:50,797 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 full re-balance\n",
"2018-03-22 14:40:50,824 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 is finished\n",
"2018-03-22 14:40:50,833 - ALPHA_MIND - INFO - 2017-03-07 00:00:00: 800\n",
"2018-03-22 14:40:50,841 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 full re-balance\n",
"2018-03-22 14:40:50,867 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 is finished\n",
"2018-03-22 14:40:50,878 - ALPHA_MIND - INFO - 2017-03-21 00:00:00: 800\n",
"2018-03-22 14:40:50,886 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 full re-balance\n",
"2018-03-22 14:40:50,912 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 is finished\n",
"2018-03-22 14:40:50,924 - ALPHA_MIND - INFO - 2017-04-06 00:00:00: 800\n",
"2018-03-22 14:40:50,932 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 full re-balance\n",
"2018-03-22 14:40:50,958 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 is finished\n",
"2018-03-22 14:40:50,969 - ALPHA_MIND - INFO - 2017-04-20 00:00:00: 800\n",
"2018-03-22 14:40:50,976 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,002 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 is finished\n",
"2018-03-22 14:40:51,011 - ALPHA_MIND - INFO - 2017-05-05 00:00:00: 800\n",
"2018-03-22 14:40:51,019 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,045 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 is finished\n",
"2018-03-22 14:40:51,054 - ALPHA_MIND - INFO - 2017-05-19 00:00:00: 800\n",
"2018-03-22 14:40:51,062 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,087 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 is finished\n",
"2018-03-22 14:40:51,097 - ALPHA_MIND - INFO - 2017-06-06 00:00:00: 800\n",
"2018-03-22 14:40:51,105 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,131 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 is finished\n",
"2018-03-22 14:40:51,142 - ALPHA_MIND - INFO - 2017-06-20 00:00:00: 800\n",
"2018-03-22 14:40:51,150 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,193 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 is finished\n",
"2018-03-22 14:40:51,212 - ALPHA_MIND - INFO - 2017-07-04 00:00:00: 800\n",
"2018-03-22 14:40:51,229 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,276 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 is finished\n",
"2018-03-22 14:40:51,295 - ALPHA_MIND - INFO - 2017-07-18 00:00:00: 800\n",
"2018-03-22 14:40:51,309 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,342 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 is finished\n",
"2018-03-22 14:40:51,355 - ALPHA_MIND - INFO - 2017-08-01 00:00:00: 800\n",
"2018-03-22 14:40:51,363 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,390 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 is finished\n",
"2018-03-22 14:40:51,401 - ALPHA_MIND - INFO - 2017-08-15 00:00:00: 800\n"
]
},
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-03-22 14:40:51,409 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,438 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 is finished\n",
"2018-03-22 14:40:51,450 - ALPHA_MIND - INFO - 2017-08-29 00:00:00: 800\n",
"2018-03-22 14:40:51,460 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,487 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 is finished\n",
"2018-03-22 14:40:51,499 - ALPHA_MIND - INFO - 2017-09-12 00:00:00: 800\n",
"2018-03-22 14:40:51,507 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,534 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 is finished\n",
"2018-03-22 14:40:51,544 - ALPHA_MIND - INFO - 2017-09-26 00:00:00: 800\n",
"2018-03-22 14:40:51,553 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,582 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 is finished\n",
"2018-03-22 14:40:51,592 - ALPHA_MIND - INFO - 2017-10-17 00:00:00: 800\n",
"2018-03-22 14:40:51,600 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,627 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 is finished\n",
"2018-03-22 14:40:51,638 - ALPHA_MIND - INFO - 2017-10-31 00:00:00: 800\n",
"2018-03-22 14:40:51,646 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,672 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 is finished\n",
"2018-03-22 14:40:51,683 - ALPHA_MIND - INFO - 2017-11-14 00:00:00: 800\n",
"2018-03-22 14:40:51,692 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,718 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 is finished\n",
"2018-03-22 14:40:51,729 - ALPHA_MIND - INFO - 2017-11-28 00:00:00: 800\n",
"2018-03-22 14:40:51,737 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,763 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 is finished\n",
"2018-03-22 14:40:51,774 - ALPHA_MIND - INFO - 2017-12-12 00:00:00: 800\n",
"2018-03-22 14:40:51,782 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,810 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 is finished\n",
"2018-03-22 14:40:51,821 - ALPHA_MIND - INFO - 2017-12-26 00:00:00: 800\n",
"2018-03-22 14:40:51,829 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,856 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 is finished\n",
"2018-03-22 14:40:51,866 - ALPHA_MIND - INFO - 2018-01-10 00:00:00: 800\n",
"2018-03-22 14:40:51,874 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,901 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 is finished\n",
"2018-03-22 14:40:51,911 - ALPHA_MIND - INFO - 2018-01-24 00:00:00: 800\n",
"2018-03-22 14:40:51,920 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,946 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 is finished\n",
"2018-03-22 14:40:51,956 - ALPHA_MIND - INFO - 2018-02-07 00:00:00: 800\n",
"2018-03-22 14:40:51,964 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 full re-balance\n",
"2018-03-22 14:40:51,991 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 is finished\n",
"2018-03-22 14:40:58,929 - ALPHA_MIND - INFO - 2017-01-03 00:00:00: 800\n",
"2018-03-22 14:40:58,939 - ALPHA_MIND - INFO - 2017-01-03 00:00:00 full re-balance\n",
"2018-03-22 14:40:58,966 - ALPHA_MIND - INFO - 2017-01-03 00:00:00 is finished\n",
"2018-03-22 14:40:58,976 - ALPHA_MIND - INFO - 2017-01-17 00:00:00: 800\n",
"2018-03-22 14:40:58,983 - ALPHA_MIND - INFO - 2017-01-17 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,008 - ALPHA_MIND - INFO - 2017-01-17 00:00:00 is finished\n",
"2018-03-22 14:40:59,018 - ALPHA_MIND - INFO - 2017-02-07 00:00:00: 800\n",
"2018-03-22 14:40:59,025 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,051 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 is finished\n",
"2018-03-22 14:40:59,061 - ALPHA_MIND - INFO - 2017-02-21 00:00:00: 799\n",
"2018-03-22 14:40:59,068 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,094 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 is finished\n",
"2018-03-22 14:40:59,103 - ALPHA_MIND - INFO - 2017-03-07 00:00:00: 800\n",
"2018-03-22 14:40:59,111 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,136 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 is finished\n",
"2018-03-22 14:40:59,146 - ALPHA_MIND - INFO - 2017-03-21 00:00:00: 800\n",
"2018-03-22 14:40:59,154 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,179 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 is finished\n",
"2018-03-22 14:40:59,188 - ALPHA_MIND - INFO - 2017-04-06 00:00:00: 800\n",
"2018-03-22 14:40:59,196 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,220 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 is finished\n",
"2018-03-22 14:40:59,230 - ALPHA_MIND - INFO - 2017-04-20 00:00:00: 800\n",
"2018-03-22 14:40:59,238 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,263 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 is finished\n",
"2018-03-22 14:40:59,273 - ALPHA_MIND - INFO - 2017-05-05 00:00:00: 800\n",
"2018-03-22 14:40:59,281 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,306 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 is finished\n",
"2018-03-22 14:40:59,316 - ALPHA_MIND - INFO - 2017-05-19 00:00:00: 800\n",
"2018-03-22 14:40:59,324 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,349 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 is finished\n",
"2018-03-22 14:40:59,359 - ALPHA_MIND - INFO - 2017-06-06 00:00:00: 800\n",
"2018-03-22 14:40:59,366 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,392 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 is finished\n",
"2018-03-22 14:40:59,402 - ALPHA_MIND - INFO - 2017-06-20 00:00:00: 800\n",
"2018-03-22 14:40:59,409 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,435 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 is finished\n",
"2018-03-22 14:40:59,447 - ALPHA_MIND - INFO - 2017-07-04 00:00:00: 800\n",
"2018-03-22 14:40:59,456 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,483 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 is finished\n",
"2018-03-22 14:40:59,493 - ALPHA_MIND - INFO - 2017-07-18 00:00:00: 800\n",
"2018-03-22 14:40:59,501 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,528 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 is finished\n",
"2018-03-22 14:40:59,538 - ALPHA_MIND - INFO - 2017-08-01 00:00:00: 800\n",
"2018-03-22 14:40:59,546 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,573 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 is finished\n",
"2018-03-22 14:40:59,584 - ALPHA_MIND - INFO - 2017-08-15 00:00:00: 800\n",
"2018-03-22 14:40:59,591 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,616 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 is finished\n",
"2018-03-22 14:40:59,626 - ALPHA_MIND - INFO - 2017-08-29 00:00:00: 800\n",
"2018-03-22 14:40:59,633 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,659 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 is finished\n",
"2018-03-22 14:40:59,669 - ALPHA_MIND - INFO - 2017-09-12 00:00:00: 800\n",
"2018-03-22 14:40:59,676 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,701 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 is finished\n",
"2018-03-22 14:40:59,713 - ALPHA_MIND - INFO - 2017-09-26 00:00:00: 800\n",
"2018-03-22 14:40:59,720 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,745 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 is finished\n",
"2018-03-22 14:40:59,755 - ALPHA_MIND - INFO - 2017-10-17 00:00:00: 800\n",
"2018-03-22 14:40:59,762 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,788 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 is finished\n",
"2018-03-22 14:40:59,797 - ALPHA_MIND - INFO - 2017-10-31 00:00:00: 800\n",
"2018-03-22 14:40:59,805 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,830 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 is finished\n",
"2018-03-22 14:40:59,840 - ALPHA_MIND - INFO - 2017-11-14 00:00:00: 800\n",
"2018-03-22 14:40:59,847 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,872 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 is finished\n",
"2018-03-22 14:40:59,882 - ALPHA_MIND - INFO - 2017-11-28 00:00:00: 800\n",
"2018-03-22 14:40:59,889 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 full re-balance\n"
]
},
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-03-22 14:40:59,914 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 is finished\n",
"2018-03-22 14:40:59,926 - ALPHA_MIND - INFO - 2017-12-12 00:00:00: 799\n",
"2018-03-22 14:40:59,934 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 full re-balance\n",
"2018-03-22 14:40:59,959 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 is finished\n",
"2018-03-22 14:40:59,969 - ALPHA_MIND - INFO - 2017-12-26 00:00:00: 799\n",
"2018-03-22 14:40:59,977 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 full re-balance\n",
"2018-03-22 14:41:00,002 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 is finished\n",
"2018-03-22 14:41:00,012 - ALPHA_MIND - INFO - 2018-01-10 00:00:00: 799\n",
"2018-03-22 14:41:00,019 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 full re-balance\n",
"2018-03-22 14:41:00,044 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 is finished\n",
"2018-03-22 14:41:00,054 - ALPHA_MIND - INFO - 2018-01-24 00:00:00: 799\n",
"2018-03-22 14:41:00,062 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 full re-balance\n",
"2018-03-22 14:41:00,087 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 is finished\n",
"2018-03-22 14:41:00,097 - ALPHA_MIND - INFO - 2018-02-07 00:00:00: 799\n",
"2018-03-22 14:41:00,104 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 full re-balance\n",
"2018-03-22 14:41:00,129 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 is finished\n"
]
},
{
"name": "stdout",
"output_type": "stream",
"text": [
"CPU times: user 45.9 s, sys: 44.7 s, total: 1min 30s\n",
"Wall time: 32.2 s\n"
]
}
],
"source": [ "source": [
"%%time\n", "%%time\n",
"\n", "\n",
"from dask.distributed import Client\n", "res1 = [worker_func_positive(factor) for factor in factors]\n",
"\n", "res2 = [worker_func_negative(factor) for factor in factors]\n",
"client = Client('10.63.6.176:8786')\n",
"\n",
"tasks = client.map(worker_func_positive, df.index.tolist(), pure=False)\n",
"res1 = client.gather(tasks)\n",
"\n",
"tasks = client.map(worker_func_negative, df.index.tolist(), pure=False)\n",
"res2 = client.gather(tasks)\n",
"\n", "\n",
"factor_df = pd.DataFrame()\n", "factor_df = pd.DataFrame()\n",
"ic_df = pd.DataFrame()\n", "ic_df = pd.DataFrame()\n",
...@@ -268,7 +623,7 @@ ...@@ -268,7 +623,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 10,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -281,7 +636,7 @@ ...@@ -281,7 +636,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 11,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -292,15 +647,6 @@ ...@@ -292,15 +647,6 @@
" ic_res.to_excel(writer, sheet_name='ic_stat')" " ic_res.to_excel(writer, sheet_name='ic_stat')"
] ]
}, },
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"client.close()"
]
},
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": null,
......
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