{"description":"实验创建于2020/4/11","graph":{"edges":[{"to_node_id":"-526:instruments","from_node_id":"-513:data"},{"to_node_id":"-565:instruments","from_node_id":"-513:data"},{"to_node_id":"-526:features","from_node_id":"-521:data"},{"to_node_id":"-541:features","from_node_id":"-521:data"},{"to_node_id":"-548:features","from_node_id":"-521:data"},{"to_node_id":"-557:features","from_node_id":"-521:data"},{"to_node_id":"-334:features","from_node_id":"-521:data"},{"to_node_id":"-548:input_data","from_node_id":"-526:data"},{"to_node_id":"-541:instruments","from_node_id":"-532:data"},{"to_node_id":"-614:instruments","from_node_id":"-532:data"},{"to_node_id":"-557:input_data","from_node_id":"-541:data"},{"to_node_id":"-576:data2","from_node_id":"-548:data"},{"to_node_id":"-898:input_data","from_node_id":"-557:data"},{"to_node_id":"-576:data1","from_node_id":"-565:data"},{"to_node_id":"-590:input_data","from_node_id":"-576:data"},{"to_node_id":"-334:training_ds","from_node_id":"-590:data"},{"to_node_id":"-614:options_data","from_node_id":"-635:sorted_data"},{"to_node_id":"-635:input_ds","from_node_id":"-334:predictions"},{"to_node_id":"-334:predict_ds","from_node_id":"-898:data"}],"nodes":[{"node_id":"-513","module_id":"BigQuantSpace.instruments.instruments-v2","parameters":[{"name":"start_date","value":"2010-01-01","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"2014-12-31","type":"Literal","bound_global_parameter":null},{"name":"market","value":"CN_STOCK_A","type":"Literal","bound_global_parameter":null},{"name":"instrument_list","value":"","type":"Literal","bound_global_parameter":null},{"name":"max_count","value":0,"type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"rolling_conf","node_id":"-513"}],"output_ports":[{"name":"data","node_id":"-513"}],"cacheable":true,"seq_num":1,"comment":"","comment_collapsed":true},{"node_id":"-521","module_id":"BigQuantSpace.input_features.input_features-v1","parameters":[{"name":"features","value":"\n# #号开始的表示注释,注释需单独一行\n# 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\nreturn_5\nreturn_10\nreturn_20\navg_amount_0/avg_amount_5\navg_amount_5/avg_amount_20\nrank_avg_amount_0/rank_avg_amount_5\nrank_avg_amount_5/rank_avg_amount_10\nrank_return_0\nrank_return_5\nrank_return_10\nrank_return_0/rank_return_5\nrank_return_5/rank_return_10\npe_ttm_0\n","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"features_ds","node_id":"-521"}],"output_ports":[{"name":"data","node_id":"-521"}],"cacheable":true,"seq_num":2,"comment":"","comment_collapsed":true},{"node_id":"-526","module_id":"BigQuantSpace.general_feature_extractor.general_feature_extractor-v7","parameters":[{"name":"start_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"before_start_days","value":90,"type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"instruments","node_id":"-526"},{"name":"features","node_id":"-526"}],"output_ports":[{"name":"data","node_id":"-526"}],"cacheable":true,"seq_num":3,"comment":"","comment_collapsed":true},{"node_id":"-532","module_id":"BigQuantSpace.instruments.instruments-v2","parameters":[{"name":"start_date","value":"2015-01-01","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"2017-01-01","type":"Literal","bound_global_parameter":null},{"name":"market","value":"CN_STOCK_A","type":"Literal","bound_global_parameter":null},{"name":"instrument_list","value":"","type":"Literal","bound_global_parameter":null},{"name":"max_count","value":0,"type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"rolling_conf","node_id":"-532"}],"output_ports":[{"name":"data","node_id":"-532"}],"cacheable":true,"seq_num":4,"comment":"","comment_collapsed":true},{"node_id":"-541","module_id":"BigQuantSpace.general_feature_extractor.general_feature_extractor-v7","parameters":[{"name":"start_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"before_start_days","value":90,"type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"instruments","node_id":"-541"},{"name":"features","node_id":"-541"}],"output_ports":[{"name":"data","node_id":"-541"}],"cacheable":true,"seq_num":5,"comment":"","comment_collapsed":true},{"node_id":"-548","module_id":"BigQuantSpace.derived_feature_extractor.derived_feature_extractor-v3","parameters":[{"name":"date_col","value":"date","type":"Literal","bound_global_parameter":null},{"name":"instrument_col","value":"instrument","type":"Literal","bound_global_parameter":null},{"name":"drop_na","value":"False","type":"Literal","bound_global_parameter":null},{"name":"remove_extra_columns","value":"False","type":"Literal","bound_global_parameter":null},{"name":"user_functions","value":"{}","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"input_data","node_id":"-548"},{"name":"features","node_id":"-548"}],"output_ports":[{"name":"data","node_id":"-548"}],"cacheable":true,"seq_num":6,"comment":"","comment_collapsed":true},{"node_id":"-557","module_id":"BigQuantSpace.derived_feature_extractor.derived_feature_extractor-v3","parameters":[{"name":"date_col","value":"date","type":"Literal","bound_global_parameter":null},{"name":"instrument_col","value":"instrument","type":"Literal","bound_global_parameter":null},{"name":"drop_na","value":"False","type":"Literal","bound_global_parameter":null},{"name":"remove_extra_columns","value":"False","type":"Literal","bound_global_parameter":null},{"name":"user_functions","value":"{}","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"input_data","node_id":"-557"},{"name":"features","node_id":"-557"}],"output_ports":[{"name":"data","node_id":"-557"}],"cacheable":true,"seq_num":7,"comment":"","comment_collapsed":true},{"node_id":"-565","module_id":"BigQuantSpace.advanced_auto_labeler.advanced_auto_labeler-v2","parameters":[{"name":"label_expr","value":"# 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[2021-10-22 10:45:35.768304] INFO: moduleinvoker: instruments.v2 开始运行..
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[2021-10-22 10:45:41.873885] INFO: moduleinvoker: trade.v4 运行完成[5.646586s].
- 收益率12.38%
- 年化收益率6.21%
- 基准收益率-6.33%
- 阿尔法0.09
- 贝塔0.79
- 夏普比率0.25
- 胜率0.55
- 盈亏比0.92
- 收益波动率29.07%
- 信息比率0.03
- 最大回撤41.29%
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