M.add_columns¶
定义¶
-
M.add_columns.v1(self, data, eval_list)¶ 对于部分组合的特征(如：return_5/return_0)，计算并添加到数据中。
参数: - data (DataSource) – 输入数据
- eval_list (字符串数组) – 特征列表
返回: 特征数据
- .data: DataSource, 包含新特征的数据
返回类型: Outputs
示例代码¶
对特征进行计算¶
In [6]:
features = ['close_5/close_0', 'close_10/close_0', 'close_20/close_0']
m1 = M.general_feature_extractor.v5(
instruments=['000001.SZA', '600519.SHA'],
start_date='2017-01-01', end_date='2017-02-01',
features=features)
m2 = M.add_columns.v1(data=m1.data, eval_list=features)
[2017-06-23 10:48:22.202427] INFO: bigquant: general_feature_extractor.v5 start ..
[2017-06-23 10:48:22.205489] INFO: bigquant: hit cache
[2017-06-23 10:48:22.206661] INFO: bigquant: general_feature_extractor.v5 end [0.004331s].
[2017-06-23 10:48:22.210953] INFO: bigquant: add_columns.v1 start ..
[2017-06-23 10:48:22.252066] INFO: add_columns: add columns for /y_2017
[2017-06-23 10:48:22.258453] INFO: bigquant: add_columns.v1 end [0.04743s].
In [7]:
m2.data.read_df().head()
Out[7]:
| instrument | close_20 | close_10 | close_0 | date | close_5 | close_5/close_0 | close_10/close_0 | close_20/close_0 | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | 000001.SZA | 991.013062 | 963.775940 | 959.585571 | 2017-01-03 | 955.395264 | 0.995633 | 1.004367 | 1.032751 |
| 1 | 600519.SHA | 2213.081543 | 2283.341309 | 2343.583984 | 2017-01-03 | 2272.973877 | 0.969871 | 0.974295 | 0.944315 |
| 2 | 000001.SZA | 994.155823 | 954.347656 | 959.585571 | 2017-01-04 | 951.204956 | 0.991266 | 0.994541 | 1.036026 |
| 3 | 600519.SHA | 2286.563721 | 2286.983887 | 2465.120361 | 2017-01-04 | 2284.742432 | 0.926828 | 0.927737 | 0.927567 |
| 4 | 000001.SZA | 993.108215 | 959.585571 | 960.633179 | 2017-01-05 | 949.109802 | 0.988004 | 0.998909 | 1.033806 |