Skip to content

Bug fix for Rank and WMA operators #1228

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
you-n-g merged 13 commits into from
Nov 13, 2022
Merged

Bug fix for Rank and WMA operators #1228

Changes from all commits
Commits
Show all changes
13 commits
Select commit Hold shift + click to select a range
2f3edf1
bug fix: 1) 100 should be used to scale down percentileofscore return…
qianyun210603 Jul 24, 2022
9e88ac3
use native pandas fucntion for rank
qianyun210603 Aug 13, 2022
11785c9
remove useless import
qianyun210603 Aug 13, 2022
5e7b9f0
Merge branch 'microsoft:main' into main
qianyun210603 Aug 13, 2022
e28fdb3
Merge branch 'microsoft:main' into main
qianyun210603 Aug 23, 2022
b4f8408
require pandas 1.4+
qianyun210603 Aug 23, 2022
bef38c4
Merge branch 'main' of github.com:qianyun210603/qlib
qianyun210603 Aug 23, 2022
223f2c7
rank for py37+pandas 1.3.5 compatibility
qianyun210603 Aug 23, 2022
ad05334
lint improvement
qianyun210603 Aug 23, 2022
33ed6c3
lint black fix
qianyun210603 Aug 23, 2022
ee68adc
use hasattr instead of version to check whether rolling.rank is imple…
qianyun210603 Aug 30, 2022
c6533ff
Merge branch 'microsoft:main' into main
qianyun210603 Aug 30, 2022
1669bf9
Merge branch 'microsoft:main' into main
qianyun210603 Oct 31, 2022
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
24 changes: 9 additions & 15 deletions qlib/data/ops.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -34,8 +34,6 @@


#################### Element-Wise Operator ####################


class ElemOperator(ExpressionOps):
"""Element-wise Operator

Expand Down Expand Up @@ -216,9 +214,7 @@ class Not(NpElemOperator):

Parameters
----------
feature_left : Expression
feature instance
feature_right : Expression
feature : Expression
feature instance

Returns
Expand All @@ -241,8 +237,6 @@ class PairOperator(ExpressionOps):
feature instance or numeric value
feature_right : Expression
feature instance or numeric value
func : str
operator function

Returns
----------
Expand Down Expand Up @@ -1155,23 +1149,23 @@ class Rank(Rolling):
def __init__(self, feature, N):
super(Rank, self).__init__(feature, N, "rank")

# for compatiblity of python 3.7, which doesn't support pandas 1.4.0+ which implements Rolling.rank
def _load_internal(self, instrument, start_index, end_index, *args):
series = self.feature.load(instrument, start_index, end_index, *args)
# TODO: implement in Cython

rolling_or_expending = series.expanding(min_periods=1) if self.N == 0 else series.rolling(self.N, min_periods=1)
if hasattr(rolling_or_expending, "rank"):
return rolling_or_expending.rank(pct=True)

def rank(x):
if np.isnan(x[-1]):
return np.nan
x1 = x[~np.isnan(x)]
if x1.shape[0] == 0:
return np.nan
return percentileofscore(x1, x1[-1]) / len(x1)
return percentileofscore(x1, x1[-1]) / 100

if self.N == 0:
series = series.expanding(min_periods=1).apply(rank, raw=True)
else:
series = series.rolling(self.N, min_periods=1).apply(rank, raw=True)
return series
return rolling_or_expending.apply(rank, raw=True)


class Count(Rolling):
Expand Down Expand Up @@ -1341,7 +1335,7 @@ def _load_internal(self, instrument, start_index, end_index, *args):
# TODO: implement in Cython

def weighted_mean(x):
w = np.arange(len(x))
w = np.arange(len(x)) + 1
w = w / w.sum()
return np.nanmean(w * x)

Expand Down