短周期因子124模拟交易的时候报错

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(archer64) #1

https://bigquant.com/experimentshare/3f8f70be66e74a9283fa9afe40ccf87a

日志报错:
[2021-08-15 19:05:39.231987] INFO moduleinvoker: dl_convert_to_bin.v2 开始运行…
[2021-08-15 19:05:39.257722] ERROR moduleinvoker: module name: dl_convert_to_bin, module version: v2, trackeback: KeyError: “None of [Index([‘rank(std(volume_0, 5))’, ‘return_1’, ‘volatility_10_0’,\n ‘volatility_5_0’, ‘close_0/mean(close_0,5)’, ‘close_0/mean(close_0,10)’,\n ‘close_0/mean(close_0,20)’, ‘close_0/open_0’, ‘(close_0/close_1-1)’,\n ‘(close_0-close_1)/(close_1*volume_0)’, ‘std(turn_0, 5)’,\n ‘mean(deal_number_0,30)’,\n ‘(close_0-(high_0+low_0)/2)/decay_linear(rank(ts_max(close_0,30)), 2)’],\n dtype=‘object’)] are in the [columns]”

估计是(close_0-(high_0+low_0)/2)/decay_linear(rank(ts_max(close_0,30)), 2)这个因子的问题导致报错,怎么解决呢?


(Qxiao) #3

可以重新运行一下试一试


(archer64) #4

运行没问题,实盘模拟报错了


(yvan0617) #5

你的基础特征模块往前取天数少了,这个是自然天数,不够计算你的特征,改大一些即可,例如60.
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