克隆策略

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    In [10]:
    # 本代码由可视化策略环境自动生成 2021年5月13日16:56
# 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='2010-01-01',
    end_date='2015-01-01',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m3 = M.input_features.v1(
    features="""# 原始因子
volume_0 

# 行业平均值调整
volume_0 - group_mean(industry_sw_level1_0, volume_0)

    
# 市值中性处理
neutralize(volume_0, [market_cap_float_0])


# 市值分组平均值调整
rank_market_cap = rank(market_cap_0)
market_group = where(rank_market_cap > 0.8, 4, where(rank_market_cap > 0.6,3, where(rank_market_cap > 0.4,2, where(rank_market_cap > 0.2,1,0))))

volume_0 - group_mean(market_group, volume_0)
"""
)

m15 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m16 = M.derived_feature_extractor.v3(
    input_data=m15.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False
)