训练时显示数据有问题

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标签: #<Tag:0x00007fc0713151d0>

(zxbylx) #1
克隆策略

    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    In [24]:
    # 本代码由可视化策略环境自动生成 2019年7月12日 17:55
    # 本代码单元只能在可视化模式下编辑。您也可以拷贝代码,粘贴到新建的代码单元或者策略,然后修改。
    
    
    m1 = M.instruments.v2(
        start_date='2013-01-01',
        end_date='2016-12-31',
        market='CN_STOCK_A',
        instrument_list="""600887.SHA
    002415.SZA""",
        max_count=0
    )
    
    m3 = M.advanced_auto_labeler.v2(
        instruments=m1.data,
        label_expr="""# #号开始的表示注释
    # 0. 每行一个,顺序执行,从第二个开始,可以使用label字段
    # 1. 可用数据字段见 https://bigquant.com/docs/develop/datasource/deprecated/history_data.html
    #   添加benchmark_前缀,可使用对应的benchmark数据
    # 2. 可用操作符和函数见 `表达式引擎 <https://bigquant.com/docs/develop/bigexpr/usage.html>`_
    
    # 计算收益:5日收盘价(作为卖出价格)除以明日开盘价(作为买入价格)
    shift(close, -5) / shift(open, -1)
    
    # 极值处理:用1%和99%分位的值做clip
    clip(label, all_quantile(label, 0.01), all_quantile(label, 0.99))
    
    # 将分数映射到分类,这里使用20个分类
    all_wbins(label, 20)
    
    # 过滤掉一字涨停的情况 (设置label为NaN,在后续处理和训练中会忽略NaN的label)
    where(shift(high, -1) == shift(low, -1), NaN, label)
    """,
        start_date='',
        end_date='',
        benchmark='000300.SHA',
        drop_na_label=True,
        cast_label_int=True,
        user_functions={}
    )
    
    m2 = M.instruments.v2(
        start_date='2017-01-01',
        end_date='2018-12-31',
        market='CN_STOCK_A',
        instrument_list="""600887.SHA
    002415.SZA""",
        max_count=0
    )
    
    m4 = M.input_features.v1(
        features="""
    # #号开始的表示注释,注释需单独一行
    # 多个特征,每行一个,可以包含基础特征和衍生特征,特征须为本平台特征
    return_5
    return_10
    return_20
    avg_amount_0/avg_amount_5
    avg_amount_5/avg_amount_20
    rank_avg_amount_0/rank_avg_amount_5
    rank_avg_amount_5/rank_avg_amount_10
    rank_return_0
    rank_return_5
    rank_return_10
    rank_return_0/rank_return_5
    rank_return_5/rank_return_10
    pe_ttm_0
    """
    )
    
    m5 = M.general_feature_extractor.v7(
        instruments=m1.data,
        features=m4.data,
        start_date='2013-01-01',
        end_date='2016-12-31',
        before_start_days=20
    )
    
    m7 = M.general_feature_extractor.v7(
        instruments=m4.data,
        features=m2.data,
        start_date='2017-01-01',
        end_date='2018-12-31',
        before_start_days=20
    )
    
    m8 = M.derived_feature_extractor.v3(
        input_data=m4.data,
        features=m7.data,
        date_col='date',
        instrument_col='instrument',
        drop_na=False,
        remove_extra_columns=False,
        user_functions={}
    )
    
    m11 = M.dropnan.v1(
        input_data=m8.data
    )
    
    m6 = M.derived_feature_extractor.v3(
        input_data=m5.data,
        features=m4.data,
        date_col='date',
        instrument_col='instrument',
        drop_na=False,
        remove_extra_columns=False,
        user_functions={}
    )
    
    m9 = M.join.v3(
        data1=m3.data,
        data2=m6.data,
        on='date,instrument',
        how='inner',
        sort=False
    )
    
    m10 = M.dropnan.v1(
        input_data=m9.data
    )
    
    m12 = M.stock_ranker_train.v5(
        training_ds=m10.data,
        features=m4.data,
        learning_algorithm='排序',
        number_of_leaves=30,
        minimum_docs_per_leaf=1000,
        number_of_trees=20,
        learning_rate=0.1,
        max_bins=1023,
        feature_fraction=1,
        m_lazy_run=False
    )
    
    m13 = M.stock_ranker_predict.v5(
        m_lazy_run=False
    )
    

    (iQuant) #2

    有问题的地方可以截个图吗?我们便于分析


    (iQuant) #3

    您好,应该是因为股票池内选择的股票数量太少, StockRanker难以对股票进行排序。
    建议您将m1证券代码列表模块中的股票代码列表内的数据清空,然后将最大数量改成比较大的数字,比如200,具体如下图所示:

    11

    如果您需要选择特定的股票池,建议您在股票代码列表中输入至少50-100个股票代码。


    (zxbylx) #4

    嗯,我去掉后发现可以了