fixed bug for linear regression model

alphamind/api.py

@@ -27,6 +27,7 @@ from alphamind.model.linearmodel import LinearRegression
 from alphamind.model.linearmodel import ConstLinearModel
 from alphamind.model.loader import load_model
 from alphamind.model.data_preparing import fetch_data_package
+from alphamind.model.data_preparing import fetch_train_phase
 
 from alphamind.execution.naiveexecutor import NaiveExecutor
 from alphamind.execution.thresholdexecutor import ThresholdExecutor
@@ -75,6 +76,7 @@ __all__ = [
     'neutralize',
     'factor_tables',
     'fetch_data_package',
+    'fetch_train_phase',
     'LinearRegression',
     'ConstLinearModel',
     'load_model',

alphamind/examples/train_one_day_model.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-11-8
+
+@author: cheng.li
+"""
+
+from alphamind.api import *
+
+ref_date = '2017-11-21'
+universe_name = ['zz500', 'hs300']
+universe = Universe(universe_name, universe_name)
+frequency = '5b'
+batch = 8
+neutralize_risk = ['SIZE'] + industry_styles
+
+engine = SqlEngine()
+
+linear_model_features = ['eps_q', 'roe_q', 'BDTO', 'CFinc1', 'CHV', 'IVR', 'VAL', 'GREV']
+
+training_data = fetch_train_phase(engine,
+                                  linear_model_features,
+                                  ref_date,
+                                  frequency,
+                                  universe,
+                                  batch,
+                                  neutralize_risk,
+                                  pre_process=[winsorize_normal, standardize],
+                                  post_process=[winsorize_normal, standardize],
+                                  warm_start=batch)
+
+model = LinearRegression(linear_model_features, fit_intercept=False)
+
+x = training_data['train']['x']
+y = training_data['train']['y'].flatten()
+
+model.fit(x, y)
+print(model.impl.coef_)
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