optimizers.Adam(lr=0.0002, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) median 夏普= 98特征 optimizers.Adam(lr=0.0002, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) median 特征变成105，夏普=0.29 optimizers.Adam(lr=0.0002, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.37 optimizers.Adam(lr=0.0002, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) 0 特征变成105，夏普=0.27 optimizers.Adam(lr=0.00025, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.28 optimizers.Adam(lr=0.00015, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.38，kerel—size=6,drop=0.1,batch=1024 optimizers.Adam(lr=0.0002, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.25，kerel—size=6 optimizers.Adam(lr=0.0001, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.21，kerel—size=6 optimizers.Adam(lr=0.0001, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.4，kerel—size=6,drop=0.2,batch=256 optimizers.Adam(lr=0.0001, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.37，kerel—size=2-5,drop=0.2,batch=256 optimizers.Adam(lr=0.0001, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.44/0.34，kerel—size=2-4,drop=0.2,batch=256,中证800，去除ST退市 optimizers.Adam(lr=0.0002, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.56，kerel—size=2-4,drop=0.2,batch=256,中证800，非退市含ST，去极3 optimizers.Adam(lr=0.0002, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.57，kerel—size=2-4,drop=0.2,batch=128,中证800，非退市含ST，去极3 optimizers.Adam(lr=0.0001, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.47，kerel—size=2-4,drop=0.2,batch=256,中证800，非退市含ST，去极3 optimizers.Adam(lr=0.0003, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.41，kerel—size=2-4,drop=0.2,batch=256,中证800，非退市含ST，去极3 optimizers.Adam(lr=0.00025, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False) mean 特征变成105，夏普=0.32，kerel—size=2-4,drop=0.2,batch=256,中证800，非退市含ST，去极3
import tensorflow as tf
gpus = tf.config.list_physical_devices("GPU")
tf.config.experimental.set_memory_growth(gpus[0], True)
from tensorflow.keras import optimizers
# 本代码由可视化策略环境自动生成 2021年12月22日 19:14
# 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。
# Python 代码入口函数，input_1/2/3 对应三个输入端，data_1/2/3 对应三个输出端
def m4_run_bigquant_run(input_1, input_2, input_3):
# 示例代码如下。在这里编写您的代码
from sklearn.model_selection import train_test_split
data = input_1.read()
x_train, x_val, y_train, y_val = train_test_split(data["x"], data['y'], shuffle=False, test_size=0.2)
data_1 = DataSource.write_pickle({'x': x_train, 'y': y_train})
data_2 = DataSource.write_pickle({'x': x_val, 'y': y_val})
return Outputs(data_1=data_1, data_2=data_2, data_3=None)
# 后处理函数，可选。输入是主函数的输出，可以在这里对数据做处理，或者返回更友好的outputs数据格式。此函数输出不会被缓存。
def m4_post_run_bigquant_run(outputs):
return outputs
from tensorflow.keras.callbacks import EarlyStopping
m35_earlystop_bigquant_run=EarlyStopping(monitor='val_mse', min_delta=0.0001, patience=5)
# 用户的自定义层需要写到字典中，比如
# {
# "MyLayer": MyLayer
# }
m35_custom_objects_bigquant_run = {
}
# Python 代码入口函数，input_1/2/3 对应三个输入端，data_1/2/3 对应三个输出端
def m24_run_bigquant_run(input_1, input_2, input_3):
# 示例代码如下。在这里编写您的代码
pred_label = input_1.read_pickle()
df = input_2.read_df()
df = pd.DataFrame({'pred_label':pred_label[:,0], 'instrument':df.instrument, 'date':df.date})
df.sort_values(['date','pred_label'],inplace=True, ascending=[True,False])
return Outputs(data_1=DataSource.write_df(df), data_2=None, data_3=None)
# 后处理函数，可选。输入是主函数的输出，可以在这里对数据做处理，或者返回更友好的outputs数据格式。此函数输出不会被缓存。
def m24_post_run_bigquant_run(outputs):
return outputs
# 回测引擎：初始化函数，只执行一次
def m19_initialize_bigquant_run(context):
# 加载预测数据
context.ranker_prediction = context.options['data'].read_df()
# 系统已经设置了默认的交易手续费和滑点，要修改手续费可使用如下函数
context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0003, min_cost=5))
# 预测数据，通过options传入进来，使用 read_df 函数，加载到内存 (DataFrame)
# 设置买入的股票数量，这里买入预测股票列表排名靠前的5只
stock_count = 20
# 每只的股票的权重，如下的权重分配会使得靠前的股票分配多一点的资金，[0.339160, 0.213986, 0.169580, ..]
context.stock_weights = T.norm([1 / math.log(i + 2) for i in range(0, stock_count)])
# 设置每只股票占用的最大资金比例
context.max_cash_per_instrument = 0.05
context.options['hold_days'] = 5
# 回测引擎：每日数据处理函数，每天执行一次
def m19_handle_data_bigquant_run(context, data):
# 按日期过滤得到今日的预测数据
ranker_prediction = context.ranker_prediction[
context.ranker_prediction.date == data.current_dt.strftime('%Y-%m-%d')]
# 1. 资金分配
# 平均持仓时间是hold_days，每日都将买入股票，每日预期使用 1/hold_days 的资金
# 实际操作中，会存在一定的买入误差，所以在前hold_days天，等量使用资金；之后，尽量使用剩余资金（这里设置最多用等量的1.5倍）
is_staging = context.trading_day_index < context.options['hold_days'] # 是否在建仓期间（前 hold_days 天）
cash_avg = context.portfolio.portfolio_value / context.options['hold_days']
cash_for_buy = min(context.portfolio.cash, (1 if is_staging else 1.5) * cash_avg)
cash_for_sell = cash_avg - (context.portfolio.cash - cash_for_buy)
positions = {e.symbol: p.amount * p.last_sale_price
for e, p in context.perf_tracker.position_tracker.positions.items()}
# 2. 生成卖出订单：hold_days天之后才开始卖出；对持仓的股票，按机器学习算法预测的排序末位淘汰
if not is_staging and cash_for_sell > 0:
equities = {e.symbol: e for e, p in context.perf_tracker.position_tracker.positions.items()}
instruments = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(
lambda x: x in equities and not context.has_unfinished_sell_order(equities[x]))])))
# print('rank order for sell %s' % instruments)
for instrument in instruments:
context.order_target(context.symbol(instrument), 0)
cash_for_sell -= positions[instrument]
if cash_for_sell <= 0:
break
# 3. 生成买入订单：按机器学习算法预测的排序，买入前面的stock_count只股票
buy_cash_weights = context.stock_weights
buy_instruments = list(ranker_prediction.instrument[:len(buy_cash_weights)])
max_cash_per_instrument = context.portfolio.portfolio_value * context.max_cash_per_instrument
for i, instrument in enumerate(buy_instruments):
cash = cash_for_buy * buy_cash_weights[i]
if cash > max_cash_per_instrument - positions.get(instrument, 0):
# 确保股票持仓量不会超过每次股票最大的占用资金量
cash = max_cash_per_instrument - positions.get(instrument, 0)
if cash > 0:
context.order_value(context.symbol(instrument), cash)
# 回测引擎：准备数据，只执行一次
def m19_prepare_bigquant_run(context):
pass
g = T.Graph({
'm1': 'M.instruments.v2',
'm1.start_date': '2010-01-01',
'm1.end_date': '2017-12-31',
'm1.market': 'CN_STOCK_A',
'm1.instrument_list': '',
'm1.max_count': 0,
'm2': 'M.advanced_auto_labeler.v2',
'm2.instruments': T.Graph.OutputPort('m1.data'),
'm2.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/data_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/big_expr.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) - 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))
# 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)
""",
'm2.start_date': '',
'm2.end_date': '',
'm2.benchmark': '000300.SHA',
'm2.drop_na_label': True,
'm2.cast_label_int': False,
'm13': 'M.standardlize.v8',
'm13.input_1': T.Graph.OutputPort('m2.data'),
'm13.columns_input': 'label',
'm3': 'M.input_features.v1',
'm3.features': """close_0
open_0
high_0
low_0
amount_0
turn_0
return_0
close_1
open_1
high_1
low_1
return_1
amount_1
turn_1
close_2
open_2
high_2
low_2
amount_2
turn_2
return_2
close_3
open_3
high_3
low_3
amount_3
turn_3
return_3
close_4
open_4
high_4
low_4
amount_4
turn_4
return_4
mean(close_0, 5)
mean(low_0, 5)
mean(open_0, 5)
mean(high_0, 5)
mean(turn_0, 5)
mean(amount_0, 5)
mean(return_0, 5)
ts_max(close_0, 5)
ts_max(low_0, 5)
ts_max(open_0, 5)
ts_max(high_0, 5)
ts_max(turn_0, 5)
ts_max(amount_0, 5)
ts_max(return_0, 5)
ts_min(close_0, 5)
ts_min(low_0, 5)
ts_min(open_0, 5)
ts_min(high_0, 5)
ts_min(turn_0, 5)
ts_min(amount_0, 5)
ts_min(return_0, 5)
std(close_0, 5)
std(low_0, 5)
std(open_0, 5)
std(high_0, 5)
std(turn_0, 5)
std(amount_0, 5)
std(return_0, 5)
ts_rank(close_0, 5)
ts_rank(low_0, 5)
ts_rank(open_0, 5)
ts_rank(high_0, 5)
ts_rank(turn_0, 5)
ts_rank(amount_0, 5)
ts_rank(return_0, 5)
decay_linear(close_0, 5)
decay_linear(low_0, 5)
decay_linear(open_0, 5)
decay_linear(high_0, 5)
decay_linear(turn_0, 5)
decay_linear(amount_0, 5)
decay_linear(return_0, 5)
correlation(volume_0, return_0, 5)
correlation(volume_0, high_0, 5)
correlation(volume_0, low_0, 5)
correlation(volume_0, close_0, 5)
correlation(volume_0, open_0, 5)
correlation(volume_0, turn_0, 5)
correlation(return_0, high_0, 5)
correlation(return_0, low_0, 5)
correlation(return_0, close_0, 5)
correlation(return_0, open_0, 5)
correlation(return_0, turn_0, 5)
correlation(high_0, low_0, 5)
correlation(high_0, close_0, 5)
correlation(high_0, open_0, 5)
correlation(high_0, turn_0, 5)
correlation(low_0, close_0, 5)
correlation(low_0, open_0, 5)
correlation(low_0, turn_0, 5)
correlation(close_0, open_0, 5)
correlation(close_0, turn_0, 5)
correlation(open_0, turn_0, 5)
delta(close_0, 5)
delta(low_0, 5)
delta(open_0, 5)
delta(high_0, 5)
delta(turn_0, 5)
delta(amount_0, 5)
delta(return_0, 5)""",
'm15': 'M.general_feature_extractor.v7',
'm15.instruments': T.Graph.OutputPort('m1.data'),
'm15.features': T.Graph.OutputPort('m3.data'),
'm15.start_date': '',
'm15.end_date': '',
'm15.before_start_days': 10,
'm16': 'M.derived_feature_extractor.v3',
'm16.input_data': T.Graph.OutputPort('m15.data'),
'm16.features': T.Graph.OutputPort('m3.data'),
'm16.date_col': 'date',
'm16.instrument_col': 'instrument',
'm16.drop_na': True,
'm16.remove_extra_columns': False,
'm5': 'M.chinaa_stock_filter.v1',
'm5.input_data': T.Graph.OutputPort('m16.data'),
'm5.index_constituent_cond': ['中证800'],
'm5.board_cond': ['全部'],
'm5.industry_cond': ['全部'],
'm5.st_cond': ['全部'],
'm5.delist_cond': ['非退市'],
'm5.output_left_data': False,
'm14': 'M.standardlize.v8',
'm14.input_1': T.Graph.OutputPort('m5.data'),
'm14.input_2': T.Graph.OutputPort('m3.data'),
'm14.columns_input': '',
'm10': 'M.winsorize.v6',
'm10.input_data': T.Graph.OutputPort('m14.data'),
'm10.features': T.Graph.OutputPort('m3.data'),
'm10.columns_input': '',
'm10.median_deviate': 3,
'm21': 'M.fillnan.v1',
'm21.input_data': T.Graph.OutputPort('m10.data'),
'm21.features': T.Graph.OutputPort('m3.data'),
'm21.fill_value': 'mean',
'm7': 'M.join.v3',
'm7.data1': T.Graph.OutputPort('m13.data'),
'm7.data2': T.Graph.OutputPort('m21.data'),
'm7.on': 'date,instrument',
'm7.how': 'inner',
'm7.sort': False,
'm26': 'M.dl_convert_to_bin.v2',
'm26.input_data': T.Graph.OutputPort('m7.data'),
'm26.features': T.Graph.OutputPort('m3.data'),
'm26.window_size': 1,
'm26.feature_clip': 5,
'm26.flatten': True,
'm26.window_along_col': 'instrument',
'm4': 'M.cached.v3',
'm4.input_1': T.Graph.OutputPort('m26.data'),
'm4.input_2': T.Graph.OutputPort('m3.data'),
'm4.run': m4_run_bigquant_run,
'm4.post_run': m4_post_run_bigquant_run,
'm4.input_ports': '',
'm4.params': '{}',
'm4.output_ports': '',
'm9': 'M.instruments.v2',
'm9.start_date': T.live_run_param('trading_date', '2018-01-01'),
'm9.end_date': T.live_run_param('trading_date', '2021-10-31'),
'm9.market': 'CN_STOCK_A',
'm9.instrument_list': '',
'm9.max_count': 0,
'm17': 'M.general_feature_extractor.v7',
'm17.instruments': T.Graph.OutputPort('m9.data'),
'm17.features': T.Graph.OutputPort('m3.data'),
'm17.start_date': '',
'm17.end_date': '',
'm17.before_start_days': 10,
'm18': 'M.derived_feature_extractor.v3',
'm18.input_data': T.Graph.OutputPort('m17.data'),
'm18.features': T.Graph.OutputPort('m3.data'),
'm18.date_col': 'date',
'm18.instrument_col': 'instrument',
'm18.drop_na': True,
'm18.remove_extra_columns': False,
'm8': 'M.chinaa_stock_filter.v1',
'm8.input_data': T.Graph.OutputPort('m18.data'),
'm8.index_constituent_cond': ['中证800'],
'm8.board_cond': ['全部'],
'm8.industry_cond': ['全部'],
'm8.st_cond': ['全部'],
'm8.delist_cond': ['非退市'],
'm8.output_left_data': False,
'm25': 'M.standardlize.v8',
'm25.input_1': T.Graph.OutputPort('m8.data'),
'm25.input_2': T.Graph.OutputPort('m3.data'),
'm25.columns_input': '',
'm20': 'M.winsorize.v6',
'm20.input_data': T.Graph.OutputPort('m25.data'),
'm20.features': T.Graph.OutputPort('m3.data'),
'm20.columns_input': '',
'm20.median_deviate': 3,
'm22': 'M.fillnan.v1',
'm22.input_data': T.Graph.OutputPort('m20.data'),
'm22.features': T.Graph.OutputPort('m3.data'),
'm22.fill_value': 'mean',
'm27': 'M.dl_convert_to_bin.v2',
'm27.input_data': T.Graph.OutputPort('m22.data'),
'm27.features': T.Graph.OutputPort('m3.data'),
'm27.window_size': 1,
'm27.feature_clip': 5,
'm27.flatten': True,
'm27.window_along_col': 'instrument',
'm6': 'M.dl_layer_input.v1',
'm6.shape': '105,1',
'm6.batch_shape': '',
'm6.dtype': 'float32',
'm6.sparse': False,
'm6.name': '',
'm37': 'M.dl_layer_batchnormalization.v1',
'm37.inputs': T.Graph.OutputPort('m6.data'),
'm37.axis': -1,
'm37.momentum': 0.99,
'm37.epsilon': 0.001,
'm37.center': True,
'm37.scale': True,
'm37.beta_initializer': 'Zeros',
'm37.gamma_initializer': 'Ones',
'm37.moving_mean_initializer': 'Zeros',
'm37.moving_variance_initializer': 'Ones',
'm37.beta_regularizer': 'None',
'm37.beta_regularizer_l1': 0,
'm37.beta_regularizer_l2': 0,
'm37.gamma_regularizer': 'None',
'm37.gamma_regularizer_l1': 0,
'm37.gamma_regularizer_l2': 0,
'm37.beta_constraint': 'None',
'm37.gamma_constraint': 'None',
'm37.name': '',
'm43': 'M.dl_layer_conv1d.v1',
'm43.inputs': T.Graph.OutputPort('m37.data'),
'm43.filters': 64,
'm43.kernel_size': '2',
'm43.strides': '1',
'm43.padding': 'same',
'm43.dilation_rate': 1,
'm43.activation': 'relu',
'm43.use_bias': True,
'm43.kernel_initializer': 'glorot_uniform',
'm43.bias_initializer': 'Zeros',
'm43.kernel_regularizer': 'None',
'm43.kernel_regularizer_l1': 0,
'm43.kernel_regularizer_l2': 0,
'm43.bias_regularizer': 'None',
'm43.bias_regularizer_l1': 0,
'm43.bias_regularizer_l2': 0,
'm43.activity_regularizer': 'None',
'm43.activity_regularizer_l1': 0,
'm43.activity_regularizer_l2': 0,
'm43.kernel_constraint': 'None',
'm43.bias_constraint': 'None',
'm43.name': '',
'm44': 'M.dl_layer_conv1d.v1',
'm44.inputs': T.Graph.OutputPort('m43.data'),
'm44.filters': 64,
'm44.kernel_size': '2',
'm44.strides': '1',
'm44.padding': 'same',
'm44.dilation_rate': 1,
'm44.activation': 'relu',
'm44.use_bias': True,
'm44.kernel_initializer': 'glorot_uniform',
'm44.bias_initializer': 'Zeros',
'm44.kernel_regularizer': 'None',
'm44.kernel_regularizer_l1': 0,
'm44.kernel_regularizer_l2': 0,
'm44.bias_regularizer': 'None',
'm44.bias_regularizer_l1': 0,
'm44.bias_regularizer_l2': 0,
'm44.activity_regularizer': 'None',
'm44.activity_regularizer_l1': 0,
'm44.activity_regularizer_l2': 0,
'm44.kernel_constraint': 'None',
'm44.bias_constraint': 'None',
'm44.name': '',
'm41': 'M.dl_layer_maxpooling1d.v1',
'm41.inputs': T.Graph.OutputPort('m44.data'),
'm41.pool_size': 2,
'm41.padding': 'valid',
'm41.name': '',
'm45': 'M.dl_layer_conv1d.v1',
'm45.inputs': T.Graph.OutputPort('m41.data'),
'm45.filters': 128,
'm45.kernel_size': '4',
'm45.strides': '1',
'm45.padding': 'same',
'm45.dilation_rate': 1,
'm45.activation': 'relu',
'm45.use_bias': True,
'm45.kernel_initializer': 'glorot_uniform',
'm45.bias_initializer': 'Zeros',
'm45.kernel_regularizer': 'None',
'm45.kernel_regularizer_l1': 0,
'm45.kernel_regularizer_l2': 0,
'm45.bias_regularizer': 'None',
'm45.bias_regularizer_l1': 0,
'm45.bias_regularizer_l2': 0,
'm45.activity_regularizer': 'None',
'm45.activity_regularizer_l1': 0,
'm45.activity_regularizer_l2': 0,
'm45.kernel_constraint': 'None',
'm45.bias_constraint': 'None',
'm45.name': '',
'm47': 'M.dl_layer_conv1d.v1',
'm47.inputs': T.Graph.OutputPort('m45.data'),
'm47.filters': 128,
'm47.kernel_size': '4',
'm47.strides': '1',
'm47.padding': 'same',
'm47.dilation_rate': 1,
'm47.activation': 'relu',
'm47.use_bias': True,
'm47.kernel_initializer': 'glorot_uniform',
'm47.bias_initializer': 'Zeros',
'm47.kernel_regularizer': 'None',
'm47.kernel_regularizer_l1': 0,
'm47.kernel_regularizer_l2': 0,
'm47.bias_regularizer': 'None',
'm47.bias_regularizer_l1': 0,
'm47.bias_regularizer_l2': 0,
'm47.activity_regularizer': 'None',
'm47.activity_regularizer_l1': 0,
'm47.activity_regularizer_l2': 0,
'm47.kernel_constraint': 'None',
'm47.bias_constraint': 'None',
'm47.name': '',
'm48': 'M.dl_layer_batchnormalization.v1',
'm48.inputs': T.Graph.OutputPort('m47.data'),
'm48.axis': -1,
'm48.momentum': 0.99,
'm48.epsilon': 0.001,
'm48.center': True,
'm48.scale': True,
'm48.beta_initializer': 'Zeros',
'm48.gamma_initializer': 'Ones',
'm48.moving_mean_initializer': 'Zeros',
'm48.moving_variance_initializer': 'Ones',
'm48.beta_regularizer': 'None',
'm48.beta_regularizer_l1': 0,
'm48.beta_regularizer_l2': 0,
'm48.gamma_regularizer': 'None',
'm48.gamma_regularizer_l1': 0,
'm48.gamma_regularizer_l2': 0,
'm48.beta_constraint': 'None',
'm48.gamma_constraint': 'None',
'm48.name': '',
'm50': 'M.dl_layer_conv1d.v1',
'm50.inputs': T.Graph.OutputPort('m48.data'),
'm50.filters': 128,
'm50.kernel_size': '2',
'm50.strides': '1',
'm50.padding': 'same',
'm50.dilation_rate': 1,
'm50.activation': 'relu',
'm50.use_bias': True,
'm50.kernel_initializer': 'glorot_uniform',
'm50.bias_initializer': 'Zeros',
'm50.kernel_regularizer': 'None',
'm50.kernel_regularizer_l1': 0,
'm50.kernel_regularizer_l2': 0,
'm50.bias_regularizer': 'None',
'm50.bias_regularizer_l1': 0,
'm50.bias_regularizer_l2': 0,
'm50.activity_regularizer': 'None',
'm50.activity_regularizer_l1': 0,
'm50.activity_regularizer_l2': 0,
'm50.kernel_constraint': 'None',
'm50.bias_constraint': 'None',
'm50.name': '',
'm51': 'M.dl_layer_batchnormalization.v1',
'm51.inputs': T.Graph.OutputPort('m50.data'),
'm51.axis': -1,
'm51.momentum': 0.99,
'm51.epsilon': 0.001,
'm51.center': True,
'm51.scale': True,
'm51.beta_initializer': 'Zeros',
'm51.gamma_initializer': 'Ones',
'm51.moving_mean_initializer': 'Zeros',
'm51.moving_variance_initializer': 'Ones',
'm51.beta_regularizer': 'None',
'm51.beta_regularizer_l1': 0,
'm51.beta_regularizer_l2': 0,
'm51.gamma_regularizer': 'None',
'm51.gamma_regularizer_l1': 0,
'm51.gamma_regularizer_l2': 0,
'm51.beta_constraint': 'None',
'm51.gamma_constraint': 'None',
'm51.name': '',
'm53': 'M.dl_layer_conv1d.v1',
'm53.inputs': T.Graph.OutputPort('m51.data'),
'm53.filters': 128,
'm53.kernel_size': '4',
'm53.strides': '1',
'm53.padding': 'same',
'm53.dilation_rate': 1,
'm53.activation': 'relu',
'm53.use_bias': True,
'm53.kernel_initializer': 'glorot_uniform',
'm53.bias_initializer': 'Zeros',
'm53.kernel_regularizer': 'None',
'm53.kernel_regularizer_l1': 0,
'm53.kernel_regularizer_l2': 0,
'm53.bias_regularizer': 'None',
'm53.bias_regularizer_l1': 0,
'm53.bias_regularizer_l2': 0,
'm53.activity_regularizer': 'None',
'm53.activity_regularizer_l1': 0,
'm53.activity_regularizer_l2': 0,
'm53.kernel_constraint': 'None',
'm53.bias_constraint': 'None',
'm53.name': '',
'm46': 'M.dl_layer_batchnormalization.v1',
'm46.inputs': T.Graph.OutputPort('m53.data'),
'm46.axis': -1,
'm46.momentum': 0.99,
'm46.epsilon': 0.001,
'm46.center': True,
'm46.scale': True,
'm46.beta_initializer': 'Zeros',
'm46.gamma_initializer': 'Ones',
'm46.moving_mean_initializer': 'Zeros',
'm46.moving_variance_initializer': 'Ones',
'm46.beta_regularizer': 'None',
'm46.beta_regularizer_l1': 0,
'm46.beta_regularizer_l2': 0,
'm46.gamma_regularizer': 'None',
'm46.gamma_regularizer_l1': 0,
'm46.gamma_regularizer_l2': 0,
'm46.beta_constraint': 'None',
'm46.gamma_constraint': 'None',
'm46.name': '',
'm49': 'M.dl_layer_conv1d.v1',
'm49.inputs': T.Graph.OutputPort('m46.data'),
'm49.filters': 128,
'm49.kernel_size': '2',
'm49.strides': '1',
'm49.padding': 'same',
'm49.dilation_rate': 1,
'm49.activation': 'relu',
'm49.use_bias': True,
'm49.kernel_initializer': 'glorot_uniform',
'm49.bias_initializer': 'Zeros',
'm49.kernel_regularizer': 'None',
'm49.kernel_regularizer_l1': 0,
'm49.kernel_regularizer_l2': 0,
'm49.bias_regularizer': 'None',
'm49.bias_regularizer_l1': 0,
'm49.bias_regularizer_l2': 0,
'm49.activity_regularizer': 'None',
'm49.activity_regularizer_l1': 0,
'm49.activity_regularizer_l2': 0,
'm49.kernel_constraint': 'None',
'm49.bias_constraint': 'None',
'm49.name': '',
'm62': 'M.dl_layer_add.v1',
'm62.input1': T.Graph.OutputPort('m49.data'),
'm62.input2': T.Graph.OutputPort('m47.data'),
'm62.name': '',
'm38': 'M.dl_layer_globalmaxpooling1d.v1',
'm38.inputs': T.Graph.OutputPort('m62.data'),
'm38.name': '',
'm61': 'M.dl_layer_dropout.v1',
'm61.inputs': T.Graph.OutputPort('m38.data'),
'm61.rate': 0.15,
'm61.noise_shape': '',
'm61.name': '',
'm57': 'M.dl_layer_dense.v1',
'm57.inputs': T.Graph.OutputPort('m61.data'),
'm57.units': 1,
'm57.activation': 'linear',
'm57.use_bias': True,
'm57.kernel_initializer': 'glorot_uniform',
'm57.bias_initializer': 'Zeros',
'm57.kernel_regularizer': 'None',
'm57.kernel_regularizer_l1': 0,
'm57.kernel_regularizer_l2': 0,
'm57.bias_regularizer': 'None',
'm57.bias_regularizer_l1': 0,
'm57.bias_regularizer_l2': 0,
'm57.activity_regularizer': 'None',
'm57.activity_regularizer_l1': 0,
'm57.activity_regularizer_l2': 0,
'm57.kernel_constraint': 'None',
'm57.bias_constraint': 'None',
'm57.name': '',
'm34': 'M.dl_model_init.v1',
'm34.inputs': T.Graph.OutputPort('m6.data'),
'm34.outputs': T.Graph.OutputPort('m57.data'),
'm35': 'M.dl_model_train.v1',
'm35.input_model': T.Graph.OutputPort('m34.data'),
'm35.training_data': T.Graph.OutputPort('m4.data_1'),
'm35.validation_data': T.Graph.OutputPort('m4.data_2'),
'm35.optimizer': '自定义',
'm35.user_optimizer': optimizers.Adam(lr=0.0002, beta_1=0.9, beta_2=0.999, epsilon=None, decay=0.00, amsgrad=False),
'm35.loss': 'mean_squared_error',
'm35.metrics': 'mse',
'm35.batch_size': 512,
'm35.epochs': 10000,
'm35.earlystop': m35_earlystop_bigquant_run,
'm35.custom_objects': m35_custom_objects_bigquant_run,
'm35.n_gpus': 1,
'm35.verbose': '2:每个epoch输出一行记录',
'm35.m_cached': False,
'm11': 'M.dl_model_predict.v1',
'm11.trained_model': T.Graph.OutputPort('m35.data'),
'm11.input_data': T.Graph.OutputPort('m27.data'),
'm11.batch_size': 1024,
'm11.n_gpus': 1,
'm11.verbose': '2:每个epoch输出一行记录',
'm24': 'M.cached.v3',
'm24.input_1': T.Graph.OutputPort('m11.data'),
'm24.input_2': T.Graph.OutputPort('m22.data'),
'm24.run': m24_run_bigquant_run,
'm24.post_run': m24_post_run_bigquant_run,
'm24.input_ports': '',
'm24.params': '{}',
'm24.output_ports': '',
'm19': 'M.trade.v4',
'm19.instruments': T.Graph.OutputPort('m9.data'),
'm19.options_data': T.Graph.OutputPort('m24.data_1'),
'm19.start_date': '',
'm19.end_date': '',
'm19.initialize': m19_initialize_bigquant_run,
'm19.handle_data': m19_handle_data_bigquant_run,
'm19.prepare': m19_prepare_bigquant_run,
'm19.volume_limit': 0.025,
'm19.order_price_field_buy': 'open',
'm19.order_price_field_sell': 'close',
'm19.capital_base': 1000000,
'm19.auto_cancel_non_tradable_orders': True,
'm19.data_frequency': 'daily',
'm19.price_type': '后复权',
'm19.product_type': '股票',
'm19.plot_charts': True,
'm19.backtest_only': False,
'm19.benchmark': '000905.SHA',
})
# g.run({})
def m12_run_bigquant_run(bq_graph, inputs):
test_years = ['2014','2015','2016','2017','2018','2019','2020','2021']
# test_years = ['2020','2021']
parameters_list = []
for i in test_years:
train_start_date = str(int(i) -3)+'-01'+'-01'
train_end_date = str(int(i) - 1)+'-12'+'-31'
test_start_date = i+'-01'+'-01'
if i == test_years[-1]:
test_end_date = i+'-10'+'-31'
else:
test_end_date = i+'-12'+'-31'
parameters = {'m1.start_date':train_start_date,
'm1.end_date':train_end_date,
'm9.start_date':test_start_date,
'm9.end_date':test_end_date
}
parameters_list.append({'parameters': parameters})
print(len(parameters_list), parameters_list)
def run(parameters):
try:
print(parameters)
return g.run(parameters)
except Exception as e:
print('ERROR --------', e)
return None
# results = T.parallel_map(run, parameters_list, max_workers=4, remote_run=True, silent=False)
results = T.parallel_map(run, parameters_list, max_workers=1, remote_run=False, silent=False)
return results
m12 = M.hyper_run.v1(
run=m12_run_bigquant_run,
run_now=True,
bq_graph=g
)
[2021-12-22 13:13:24.309722] INFO: AI: 开始并行运算, remote_run=False, workers=1 ..
[2021-12-22 13:13:24.323380] INFO: AI: [ParallelEx(n_jobs=1)]: Using backend SequentialBackend with 1 concurrent workers.
[2021-12-22 13:13:24.347517] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 13:13:24.360646] INFO: moduleinvoker: 命中缓存
[2021-12-22 13:13:24.362916] INFO: moduleinvoker: instruments.v2 运行完成[0.015416s].
[2021-12-22 13:13:24.370057] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-12-22 13:13:24.413847] INFO: moduleinvoker: input_features.v1 运行完成[0.043799s].
[2021-12-22 13:13:24.420532] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 13:13:24.431612] INFO: moduleinvoker: 命中缓存
[2021-12-22 13:13:24.434150] INFO: moduleinvoker: instruments.v2 运行完成[0.013626s].
[2021-12-22 13:13:24.460005] INFO: moduleinvoker: dl_layer_input.v1 运行完成[0.00994s].
[2021-12-22 13:13:24.472092] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
[2021-12-22 13:13:26.108093] INFO: 自动标注(股票): 加载历史数据: 1641298 行
[2021-12-22 13:13:26.110491] INFO: 自动标注(股票): 开始标注 ..
[2021-12-22 13:13:28.629764] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[4.157671s].
[2021-12-22 13:13:28.647902] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 13:13:29.617290] INFO: 基础特征抽取: 年份 2010, 特征行数=15459
[2021-12-22 13:13:32.779131] INFO: 基础特征抽取: 年份 2011, 特征行数=511455
[2021-12-22 13:13:37.404531] INFO: 基础特征抽取: 年份 2012, 特征行数=565675
[2021-12-22 13:13:40.497470] INFO: 基础特征抽取: 年份 2013, 特征行数=564168
[2021-12-22 13:13:40.802424] INFO: 基础特征抽取: 总行数: 1656757
[2021-12-22 13:13:40.809480] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[12.161591s].
[2021-12-22 13:13:40.831286] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 13:14:09.847850] INFO: 基础特征抽取: 年份 2013, 特征行数=16433
[2021-12-22 13:15:04.251514] INFO: 基础特征抽取: 年份 2014, 特征行数=569948
[2021-12-22 13:15:04.338068] INFO: 基础特征抽取: 总行数: 586381
[2021-12-22 13:15:04.348519] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[83.517253s].
[2021-12-22 13:15:09.360199] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[4.988025s].
[2021-12-22 13:15:09.376062] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 13:15:26.794314] INFO: moduleinvoker: standardlize.v8 运行完成[17.418252s].
[2021-12-22 13:15:26.813001] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 13:15:33.902507] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.398s
[2021-12-22 13:15:35.153339] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.249s
[2021-12-22 13:15:36.704897] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.549s
[2021-12-22 13:15:38.216732] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.510s
[2021-12-22 13:15:39.489315] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.270s
[2021-12-22 13:15:41.109405] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.617s
[2021-12-22 13:15:42.442770] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.331s
[2021-12-22 13:15:43.848484] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.404s
[2021-12-22 13:15:45.032558] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.182s
[2021-12-22 13:15:46.192028] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.157s
[2021-12-22 13:15:47.588623] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.394s
[2021-12-22 13:15:48.968542] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.378s
[2021-12-22 13:15:50.293533] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.323s
[2021-12-22 13:15:51.693147] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.397s
[2021-12-22 13:15:53.069408] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.374s
[2021-12-22 13:15:54.549018] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.477s
[2021-12-22 13:15:55.783787] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.233s
[2021-12-22 13:15:56.977054] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.192s
[2021-12-22 13:15:58.168187] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.189s
[2021-12-22 13:15:59.403010] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.233s
[2021-12-22 13:16:00.543702] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.139s
[2021-12-22 13:16:01.707610] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.162s
[2021-12-22 13:16:02.838852] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.129s
[2021-12-22 13:16:04.033724] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.193s
[2021-12-22 13:16:05.207681] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.172s
[2021-12-22 13:16:06.474598] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.265s
[2021-12-22 13:16:07.697741] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.221s
[2021-12-22 13:16:09.094355] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.395s
[2021-12-22 13:16:16.537292] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 7.441s
[2021-12-22 13:16:23.425332] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 6.886s
[2021-12-22 13:16:31.902690] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 8.475s
[2021-12-22 13:16:39.198603] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 7.293s
[2021-12-22 13:16:46.158562] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 6.958s
[2021-12-22 13:16:52.717623] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 6.557s
[2021-12-22 13:16:59.135541] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 6.416s
[2021-12-22 13:17:04.009697] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 4.872s
[2021-12-22 13:17:08.574636] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 4.563s
[2021-12-22 13:17:13.450994] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 4.874s
[2021-12-22 13:17:18.142243] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 4.685s
[2021-12-22 13:17:22.282491] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 4.138s
[2021-12-22 13:17:26.488855] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 4.205s
[2021-12-22 13:17:30.971186] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 4.480s
[2021-12-22 13:17:52.689651] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 21.717s
[2021-12-22 13:18:11.936888] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 19.245s
[2021-12-22 13:18:29.336981] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 17.398s
[2021-12-22 13:18:50.227647] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 20.889s
[2021-12-22 13:19:09.288717] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 19.059s
[2021-12-22 13:19:28.384152] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 19.094s
[2021-12-22 13:19:46.568312] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 18.182s
[2021-12-22 13:20:04.293458] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 17.723s
[2021-12-22 13:20:21.867834] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 17.573s
[2021-12-22 13:20:40.333288] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 18.463s
[2021-12-22 13:20:57.768880] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 17.434s
[2021-12-22 13:21:14.655824] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 16.885s
[2021-12-22 13:21:32.895638] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 18.238s
[2021-12-22 13:21:50.454686] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 17.557s
[2021-12-22 13:22:08.597914] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 18.142s
[2021-12-22 13:22:26.575310] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 17.976s
[2021-12-22 13:22:46.897994] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 20.321s
[2021-12-22 13:23:05.666909] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 18.767s
[2021-12-22 13:23:24.249286] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 18.578s
[2021-12-22 13:23:41.460757] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 17.210s
[2021-12-22 13:23:59.225501] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 17.763s
[2021-12-22 13:23:59.446678] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.219s
[2021-12-22 13:23:59.671007] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.223s
[2021-12-22 13:23:59.913663] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.241s
[2021-12-22 13:24:00.151683] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.236s
[2021-12-22 13:24:00.433389] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.280s
[2021-12-22 13:24:00.765072] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.329s
[2021-12-22 13:24:00.994715] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.228s
[2021-12-22 13:24:02.684662] INFO: derived_feature_extractor: /y_2010, 15459
[2021-12-22 13:24:04.130130] INFO: derived_feature_extractor: /y_2011, 511455
[2021-12-22 13:24:08.489657] INFO: derived_feature_extractor: /y_2012, 565675
[2021-12-22 13:24:14.161399] INFO: derived_feature_extractor: /y_2013, 564168
[2021-12-22 13:24:18.548389] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[531.735383s].
[2021-12-22 13:24:18.557853] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 13:24:21.032466] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.656s
[2021-12-22 13:24:21.555946] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.521s
[2021-12-22 13:24:22.055637] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.498s
[2021-12-22 13:24:22.606679] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.549s
[2021-12-22 13:24:23.095878] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.487s
[2021-12-22 13:24:23.629127] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.531s
[2021-12-22 13:24:24.072067] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.441s
[2021-12-22 13:24:24.633169] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.559s
[2021-12-22 13:24:25.104420] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.469s
[2021-12-22 13:24:25.666099] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.560s
[2021-12-22 13:24:26.165357] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.497s
[2021-12-22 13:24:26.784021] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.617s
[2021-12-22 13:24:27.420359] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.634s
[2021-12-22 13:24:28.092594] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.670s
[2021-12-22 13:24:28.729069] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.634s
[2021-12-22 13:24:29.207992] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.476s
[2021-12-22 13:24:29.908474] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.699s
[2021-12-22 13:24:30.465324] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.555s
[2021-12-22 13:24:30.975781] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.508s
[2021-12-22 13:24:31.505625] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.528s
[2021-12-22 13:24:32.014821] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.507s
[2021-12-22 13:24:32.541214] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.524s
[2021-12-22 13:24:33.090090] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.546s
[2021-12-22 13:24:33.864162] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.772s
[2021-12-22 13:24:34.401837] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.536s
[2021-12-22 13:24:34.886560] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.483s
[2021-12-22 13:24:35.373429] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.485s
[2021-12-22 13:24:35.840327] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.465s
[2021-12-22 13:24:37.779919] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 1.938s
[2021-12-22 13:24:39.700100] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 1.919s
[2021-12-22 13:24:41.475542] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 1.773s
[2021-12-22 13:24:43.166491] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 1.689s
[2021-12-22 13:24:44.900025] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 1.732s
[2021-12-22 13:24:46.809507] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 1.908s
[2021-12-22 13:24:48.733501] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 1.922s
[2021-12-22 13:24:50.141506] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 1.406s
[2021-12-22 13:24:51.576952] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 1.434s
[2021-12-22 13:24:52.779744] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 1.201s
[2021-12-22 13:24:54.174457] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 1.393s
[2021-12-22 13:24:55.337168] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 1.161s
[2021-12-22 13:24:56.550092] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 1.211s
[2021-12-22 13:24:57.940060] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 1.388s
[2021-12-22 13:25:16.142424] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 18.201s
[2021-12-22 13:25:36.682622] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 20.538s
[2021-12-22 13:25:55.854769] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 19.170s
[2021-12-22 13:26:14.838870] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 18.982s
[2021-12-22 13:26:34.660374] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 19.820s
[2021-12-22 13:26:53.414146] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 18.751s
[2021-12-22 13:27:11.887599] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 18.472s
[2021-12-22 13:27:30.598517] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 18.709s
[2021-12-22 13:27:50.000002] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 19.400s
[2021-12-22 13:28:12.255839] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 22.253s
[2021-12-22 13:28:33.932555] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 21.675s
[2021-12-22 13:28:56.182943] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 22.249s
[2021-12-22 13:29:16.950635] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 20.765s
[2021-12-22 13:29:37.951344] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 20.999s
[2021-12-22 13:29:59.339066] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 21.386s
[2021-12-22 13:30:19.560603] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 20.219s
[2021-12-22 13:30:41.323620] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 21.760s
[2021-12-22 13:31:03.440290] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 22.114s
[2021-12-22 13:31:24.888218] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 21.446s
[2021-12-22 13:31:45.831508] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 20.941s
[2021-12-22 13:32:07.354805] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 21.522s
[2021-12-22 13:32:07.446946] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.091s
[2021-12-22 13:32:07.562948] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.114s
[2021-12-22 13:32:07.656018] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.091s
[2021-12-22 13:32:07.767770] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.110s
[2021-12-22 13:32:07.881750] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.111s
[2021-12-22 13:32:07.973106] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.089s
[2021-12-22 13:32:08.082307] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.107s
[2021-12-22 13:32:08.632867] INFO: derived_feature_extractor: /y_2013, 16433
[2021-12-22 13:32:10.504382] INFO: derived_feature_extractor: /y_2014, 569948
[2021-12-22 13:32:14.485499] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[475.927632s].
[2021-12-22 13:32:40.713833] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[26.200146s].
[2021-12-22 13:32:40.739496] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 13:32:41.238784] INFO: A股股票过滤: 过滤 /y_2010, 2216/0/5597
[2021-12-22 13:32:50.954671] INFO: A股股票过滤: 过滤 /y_2011, 186428/0/509525
[2021-12-22 13:32:57.650566] INFO: A股股票过滤: 过滤 /y_2012, 188185/0/564615
[2021-12-22 13:33:32.232249] INFO: A股股票过滤: 过滤 /y_2013, 185063/0/564023
[2021-12-22 13:33:32.237701] INFO: A股股票过滤: 过滤完成, 561892 + 0
[2021-12-22 13:33:32.263166] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[51.523664s].
[2021-12-22 13:33:32.282812] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 13:33:32.659051] INFO: A股股票过滤: 过滤 /y_2013, 1543/0/4635
[2021-12-22 13:33:38.732499] INFO: A股股票过滤: 过滤 /y_2014, 186615/0/568518
[2021-12-22 13:33:38.738045] INFO: A股股票过滤: 过滤完成, 188158 + 0
[2021-12-22 13:33:38.791422] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[6.508623s].
[2021-12-22 13:33:38.832462] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.031234s].
[2021-12-22 13:33:38.838312] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 13:35:41.798374] INFO: moduleinvoker: standardlize.v8 运行完成[122.960049s].
[2021-12-22 13:35:41.806211] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 13:36:21.629269] INFO: moduleinvoker: standardlize.v8 运行完成[39.823057s].
[2021-12-22 13:36:21.654180] INFO: moduleinvoker: dl_layer_maxpooling1d.v1 运行完成[0.010045s].
[2021-12-22 13:36:21.667857] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 13:40:43.912426] INFO: moduleinvoker: winsorize.v6 运行完成[262.244561s].
[2021-12-22 13:40:43.921542] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 13:41:44.116038] INFO: moduleinvoker: winsorize.v6 运行完成[60.194491s].
[2021-12-22 13:41:44.153409] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.028572s].
[2021-12-22 13:41:44.178203] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 13:41:56.206562] INFO: moduleinvoker: fillnan.v1 运行完成[12.02833s].
[2021-12-22 13:41:56.224894] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 13:41:58.272594] INFO: moduleinvoker: fillnan.v1 运行完成[2.047658s].
[2021-12-22 13:41:58.316651] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.030858s].
[2021-12-22 13:41:58.330032] INFO: moduleinvoker: join.v3 开始运行..
[2021-12-22 13:42:14.939783] INFO: join: /data, 行数=555369/561892, 耗时=13.414548s
[2021-12-22 13:42:15.035760] INFO: join: 最终行数: 555369
[2021-12-22 13:42:15.047748] INFO: moduleinvoker: join.v3 运行完成[16.717718s].
[2021-12-22 13:42:15.073215] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 13:42:16.546728] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[1.473543s].
[2021-12-22 13:42:16.588553] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.034927s].
[2021-12-22 13:42:16.606792] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 13:42:21.394429] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[4.787662s].
[2021-12-22 13:42:21.436438] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.024005s].
[2021-12-22 13:42:21.489269] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 13:42:23.355730] INFO: moduleinvoker: cached.v3 运行完成[1.866484s].
[2021-12-22 13:42:23.389756] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.027599s].
[2021-12-22 13:42:23.421895] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.025413s].
[2021-12-22 13:42:23.451774] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.022428s].
[2021-12-22 13:42:23.483840] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.026392s].
[2021-12-22 13:42:23.511779] INFO: moduleinvoker: dl_layer_add.v1 运行完成[0.008252s].
[2021-12-22 13:42:23.540886] INFO: moduleinvoker: dl_layer_globalmaxpooling1d.v1 运行完成[0.00853s].
[2021-12-22 13:42:23.560169] INFO: moduleinvoker: dl_layer_dropout.v1 运行完成[0.006414s].
[2021-12-22 13:42:23.598240] INFO: moduleinvoker: dl_layer_dense.v1 运行完成[0.019917s].
[2021-12-22 13:42:23.717680] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 13:42:23.797816] INFO: moduleinvoker: cached.v3 运行完成[0.080137s].
[2021-12-22 13:42:23.804951] INFO: moduleinvoker: dl_model_init.v1 运行完成[0.193184s].
[2021-12-22 13:42:23.821342] INFO: moduleinvoker: dl_model_train.v1 开始运行..
[2021-12-22 13:42:24.793826] INFO: dl_model_train: 准备训练，训练样本个数：444295，迭代次数：10000
[2021-12-22 13:56:53.450479] INFO: dl_model_train: 训练结束，耗时：868.65s
[2021-12-22 13:56:53.508768] INFO: moduleinvoker: dl_model_train.v1 运行完成[869.687395s].
[2021-12-22 13:56:53.519866] INFO: moduleinvoker: dl_model_predict.v1 开始运行..
[2021-12-22 13:56:57.443945] INFO: moduleinvoker: dl_model_predict.v1 运行完成[3.924098s].
[2021-12-22 13:56:57.455490] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 13:56:58.880708] INFO: moduleinvoker: cached.v3 运行完成[1.425223s].
[2021-12-22 13:57:00.921826] INFO: moduleinvoker: backtest.v8 开始运行..
[2021-12-22 13:57:00.928907] INFO: backtest: biglearning backtest:V8.6.0
[2021-12-22 13:57:00.930436] INFO: backtest: product_type:stock by specified
[2021-12-22 13:57:01.038351] INFO: moduleinvoker: cached.v2 开始运行..
[2021-12-22 13:57:04.607188] INFO: backtest: 读取股票行情完成:1352832
[2021-12-22 13:57:07.126856] INFO: moduleinvoker: cached.v2 运行完成[6.088537s].
[2021-12-22 13:57:08.262869] INFO: algo: TradingAlgorithm V1.8.6
[2021-12-22 13:57:08.816788] INFO: algo: trading transform...
[2021-12-22 13:57:26.992867] INFO: Performance: Simulated 245 trading days out of 245.
[2021-12-22 13:57:26.995113] INFO: Performance: first open: 2014-01-02 09:30:00+00:00
[2021-12-22 13:57:26.997392] INFO: Performance: last close: 2014-12-31 15:00:00+00:00
[2021-12-22 13:57:31.928256] INFO: moduleinvoker: backtest.v8 运行完成[31.006436s].
[2021-12-22 13:57:31.930175] INFO: moduleinvoker: trade.v4 运行完成[33.035689s].
[2021-12-22 13:57:31.931936] INFO: AI: [ParallelEx(n_jobs=1)]: Done 1 out of 1 | elapsed: 44.1min remaining: 0.0s
[2021-12-22 13:57:31.957587] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 13:57:32.056064] INFO: moduleinvoker: instruments.v2 运行完成[0.098492s].
[2021-12-22 13:57:32.060294] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-12-22 13:57:32.068307] INFO: moduleinvoker: 命中缓存
[2021-12-22 13:57:32.070432] INFO: moduleinvoker: input_features.v1 运行完成[0.010114s].
[2021-12-22 13:57:32.092434] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 13:57:32.104395] INFO: moduleinvoker: 命中缓存
[2021-12-22 13:57:32.106507] INFO: moduleinvoker: instruments.v2 运行完成[0.014093s].
[2021-12-22 13:57:32.116488] INFO: moduleinvoker: dl_layer_input.v1 运行完成[0.002309s].
[2021-12-22 13:57:32.125607] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
[2021-12-22 13:57:33.524950] INFO: 自动标注(股票): 加载历史数据: 1699791 行
[2021-12-22 13:57:33.526466] INFO: 自动标注(股票): 开始标注 ..
[2021-12-22 13:57:35.828958] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[3.703348s].
[2021-12-22 13:57:35.845941] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 13:57:36.868776] INFO: 基础特征抽取: 年份 2011, 特征行数=15438
[2021-12-22 13:57:40.169149] INFO: 基础特征抽取: 年份 2012, 特征行数=565675
[2021-12-22 13:57:43.541205] INFO: 基础特征抽取: 年份 2013, 特征行数=564168
[2021-12-22 13:57:47.172627] INFO: 基础特征抽取: 年份 2014, 特征行数=569948
[2021-12-22 13:57:47.405283] INFO: 基础特征抽取: 总行数: 1715229
[2021-12-22 13:57:47.414180] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[11.568252s].
[2021-12-22 13:57:47.430254] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 13:57:48.650198] INFO: 基础特征抽取: 年份 2014, 特征行数=18612
[2021-12-22 13:57:51.696706] INFO: 基础特征抽取: 年份 2015, 特征行数=569698
[2021-12-22 13:57:51.761011] INFO: 基础特征抽取: 总行数: 588310
[2021-12-22 13:57:51.770371] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[4.340112s].
[2021-12-22 13:57:51.830543] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.050918s].
[2021-12-22 13:57:51.836166] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 13:58:08.599348] INFO: moduleinvoker: standardlize.v8 运行完成[16.763171s].
[2021-12-22 13:58:08.609224] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 13:58:15.201383] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.168s
[2021-12-22 13:58:16.346617] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.143s
[2021-12-22 13:58:17.466908] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.119s
[2021-12-22 13:58:18.653765] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.185s
[2021-12-22 13:58:19.837507] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.182s
[2021-12-22 13:58:20.969910] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.131s
[2021-12-22 13:58:22.145467] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.174s
[2021-12-22 13:58:23.383443] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.236s
[2021-12-22 13:58:24.763739] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.378s
[2021-12-22 13:58:26.187694] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.422s
[2021-12-22 13:58:27.346273] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.156s
[2021-12-22 13:58:28.521520] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.174s
[2021-12-22 13:58:29.772528] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.249s
[2021-12-22 13:58:31.127079] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.353s
[2021-12-22 13:58:32.475658] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.346s
[2021-12-22 13:58:33.686773] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.209s
[2021-12-22 13:58:35.074169] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.385s
[2021-12-22 13:58:36.443518] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.367s
[2021-12-22 13:58:37.843105] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.398s
[2021-12-22 13:58:39.208232] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.363s
[2021-12-22 13:58:40.523684] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.313s
[2021-12-22 13:58:41.883104] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.357s
[2021-12-22 13:58:43.147467] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.262s
[2021-12-22 13:58:44.465032] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.316s
[2021-12-22 13:58:45.721966] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.255s
[2021-12-22 13:58:47.016978] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.293s
[2021-12-22 13:58:48.278396] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.260s
[2021-12-22 13:58:49.577223] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.297s
[2021-12-22 13:58:55.562729] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 5.983s
[2021-12-22 13:59:01.809368] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 6.245s
[2021-12-22 13:59:08.133768] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 6.323s
[2021-12-22 13:59:14.734483] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 6.599s
[2021-12-22 13:59:20.431625] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 5.695s
[2021-12-22 13:59:25.947476] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 5.514s
[2021-12-22 13:59:31.499480] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 5.550s
[2021-12-22 13:59:35.239235] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 3.738s
[2021-12-22 13:59:39.070364] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 3.829s
[2021-12-22 13:59:43.122303] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 4.050s
[2021-12-22 13:59:47.726295] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 4.602s
[2021-12-22 13:59:51.482386] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 3.754s
[2021-12-22 13:59:55.285778] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 3.801s
[2021-12-22 13:59:59.047466] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 3.759s
[2021-12-22 14:00:18.965649] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 19.917s
[2021-12-22 14:00:39.603179] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 20.634s
[2021-12-22 14:00:58.558350] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 18.954s
[2021-12-22 14:01:17.837624] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 19.278s
[2021-12-22 14:01:37.218827] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 19.380s
[2021-12-22 14:02:06.147870] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 28.927s
[2021-12-22 14:02:32.738321] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 26.589s
[2021-12-22 14:02:51.609474] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 18.869s
[2021-12-22 14:03:21.492393] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 29.880s
[2021-12-22 14:03:50.271039] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 28.775s
[2021-12-22 14:04:26.654513] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 36.380s
[2021-12-22 14:04:59.482650] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 32.826s
[2021-12-22 14:05:27.142938] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 27.658s
[2021-12-22 14:05:46.807344] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 19.663s
[2021-12-22 14:06:08.160729] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 21.351s
[2021-12-22 14:06:29.744828] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 21.582s
[2021-12-22 14:06:48.203986] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 18.457s
[2021-12-22 14:07:06.589378] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 18.383s
[2021-12-22 14:07:27.099148] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 20.507s
[2021-12-22 14:07:46.716409] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 19.615s
[2021-12-22 14:08:07.031632] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 20.313s
[2021-12-22 14:08:07.274290] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.241s
[2021-12-22 14:08:07.532602] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.256s
[2021-12-22 14:08:07.783081] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.249s
[2021-12-22 14:08:08.032967] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.247s
[2021-12-22 14:08:08.276199] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.242s
[2021-12-22 14:08:08.550594] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.272s
[2021-12-22 14:08:08.810723] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.259s
[2021-12-22 14:08:10.903398] INFO: derived_feature_extractor: /y_2011, 15438
[2021-12-22 14:08:12.625457] INFO: derived_feature_extractor: /y_2012, 565675
[2021-12-22 14:08:18.517621] INFO: derived_feature_extractor: /y_2013, 564168
[2021-12-22 14:08:24.663309] INFO: derived_feature_extractor: /y_2014, 569948
[2021-12-22 14:08:29.177521] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[620.568293s].
[2021-12-22 14:08:29.187685] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 14:08:31.555368] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.588s
[2021-12-22 14:08:32.084385] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.527s
[2021-12-22 14:08:32.646676] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.560s
[2021-12-22 14:08:33.229046] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.580s
[2021-12-22 14:08:33.819064] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.588s
[2021-12-22 14:08:34.386100] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.565s
[2021-12-22 14:08:34.893584] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.505s
[2021-12-22 14:08:35.412534] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.517s
[2021-12-22 14:08:35.930787] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.516s
[2021-12-22 14:08:36.440192] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.508s
[2021-12-22 14:08:36.947072] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.505s
[2021-12-22 14:08:37.459378] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.511s
[2021-12-22 14:08:37.987807] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.527s
[2021-12-22 14:08:38.496631] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.507s
[2021-12-22 14:08:39.024314] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.526s
[2021-12-22 14:08:39.546487] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.521s
[2021-12-22 14:08:40.069284] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.521s
[2021-12-22 14:08:40.610236] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.539s
[2021-12-22 14:08:41.133732] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.522s
[2021-12-22 14:08:41.658518] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.523s
[2021-12-22 14:08:42.152407] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.492s
[2021-12-22 14:08:42.655758] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.502s
[2021-12-22 14:08:43.161078] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.504s
[2021-12-22 14:08:43.647899] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.485s
[2021-12-22 14:08:44.143055] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.494s
[2021-12-22 14:08:44.633313] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.489s
[2021-12-22 14:08:45.164717] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.530s
[2021-12-22 14:08:45.692003] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.525s
[2021-12-22 14:08:47.798875] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 2.105s
[2021-12-22 14:08:49.771847] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 1.970s
[2021-12-22 14:08:51.651200] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 1.878s
[2021-12-22 14:08:53.586671] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 1.934s
[2021-12-22 14:08:55.597028] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 2.008s
[2021-12-22 14:08:57.792832] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 2.193s
[2021-12-22 14:08:59.799477] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 2.005s
[2021-12-22 14:09:01.193268] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 1.392s
[2021-12-22 14:09:02.507727] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 1.312s
[2021-12-22 14:09:03.819197] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 1.309s
[2021-12-22 14:09:05.467085] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 1.645s
[2021-12-22 14:09:06.945964] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 1.476s
[2021-12-22 14:09:08.373676] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 1.426s
[2021-12-22 14:09:09.822143] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 1.446s
[2021-12-22 14:09:29.859786] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 20.036s
[2021-12-22 14:09:49.508497] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 19.647s
[2021-12-22 14:10:08.759699] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 19.249s
[2021-12-22 14:10:28.436762] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 19.676s
[2021-12-22 14:10:50.061688] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 21.623s
[2021-12-22 14:11:11.351410] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 21.288s
[2021-12-22 14:11:30.616156] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 19.263s
[2021-12-22 14:11:50.202454] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 19.584s
[2021-12-22 14:12:11.833258] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 21.629s
[2021-12-22 14:12:31.611212] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 19.776s
[2021-12-22 14:12:51.267190] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 19.654s
[2021-12-22 14:13:10.610502] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 19.341s
[2021-12-22 14:13:31.006154] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 20.394s
[2021-12-22 14:13:52.625697] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 21.617s
[2021-12-22 14:14:12.620880] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 19.993s
[2021-12-22 14:14:30.463919] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 17.841s
[2021-12-22 14:14:47.247869] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 16.782s
[2021-12-22 14:15:04.987829] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 17.738s
[2021-12-22 14:15:24.456215] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 19.467s
[2021-12-22 14:15:43.643665] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 19.186s
[2021-12-22 14:16:01.629599] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 17.984s
[2021-12-22 14:16:01.711871] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.081s
[2021-12-22 14:16:01.806549] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.090s
[2021-12-22 14:16:01.882918] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.075s
[2021-12-22 14:16:01.961303] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.077s
[2021-12-22 14:16:02.040069] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.077s
[2021-12-22 14:16:02.120348] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.079s
[2021-12-22 14:16:02.194526] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.073s
[2021-12-22 14:16:02.800246] INFO: derived_feature_extractor: /y_2014, 18612
[2021-12-22 14:16:04.593235] INFO: derived_feature_extractor: /y_2015, 569698
[2021-12-22 14:16:08.682927] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[459.49523s].
[2021-12-22 14:16:11.069661] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[2.375471s].
[2021-12-22 14:16:11.080519] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 14:16:11.725555] INFO: A股股票过滤: 过滤 /y_2011, 1442/0/4197
[2021-12-22 14:16:18.138523] INFO: A股股票过滤: 过滤 /y_2012, 188139/0/564387
[2021-12-22 14:16:25.383220] INFO: A股股票过滤: 过滤 /y_2013, 185060/0/564003
[2021-12-22 14:16:32.619538] INFO: A股股票过滤: 过滤 /y_2014, 186691/0/569061
[2021-12-22 14:16:32.628357] INFO: A股股票过滤: 过滤完成, 561332 + 0
[2021-12-22 14:16:32.655650] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[21.575129s].
[2021-12-22 14:16:32.667226] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 14:16:33.100458] INFO: A股股票过滤: 过滤 /y_2014, 2223/0/6835
[2021-12-22 14:16:39.269590] INFO: A股股票过滤: 过滤 /y_2015, 175791/0/567225
[2021-12-22 14:16:39.274802] INFO: A股股票过滤: 过滤完成, 178014 + 0
[2021-12-22 14:16:39.298759] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[6.631517s].
[2021-12-22 14:17:11.067851] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[31.757148s].
[2021-12-22 14:17:11.078044] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 14:18:58.780137] INFO: moduleinvoker: standardlize.v8 运行完成[107.702083s].
[2021-12-22 14:18:58.811510] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 14:19:35.643200] INFO: moduleinvoker: standardlize.v8 运行完成[36.831694s].
[2021-12-22 14:19:35.661718] INFO: moduleinvoker: dl_layer_maxpooling1d.v1 运行完成[0.010959s].
[2021-12-22 14:19:35.668429] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 14:22:30.578593] INFO: moduleinvoker: winsorize.v6 运行完成[174.910141s].
[2021-12-22 14:22:30.584801] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 14:23:20.207676] INFO: moduleinvoker: winsorize.v6 运行完成[49.622875s].
[2021-12-22 14:23:20.233743] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.019774s].
[2021-12-22 14:23:20.241229] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 14:23:29.228001] INFO: moduleinvoker: fillnan.v1 运行完成[8.986739s].
[2021-12-22 14:23:29.236101] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 14:23:33.092492] INFO: moduleinvoker: fillnan.v1 运行完成[3.856378s].
[2021-12-22 14:23:33.119774] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.019588s].
[2021-12-22 14:23:33.127785] INFO: moduleinvoker: join.v3 开始运行..
[2021-12-22 14:23:59.054411] INFO: join: /data, 行数=555460/561332, 耗时=22.623531s
[2021-12-22 14:23:59.138779] INFO: join: 最终行数: 555460
[2021-12-22 14:23:59.150695] INFO: moduleinvoker: join.v3 运行完成[26.022896s].
[2021-12-22 14:23:59.164253] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 14:24:00.703026] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[1.538788s].
[2021-12-22 14:24:00.735466] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.024289s].
[2021-12-22 14:24:00.754170] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 14:24:05.993447] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[5.239293s].
[2021-12-22 14:24:06.022991] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.019312s].
[2021-12-22 14:24:06.034739] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 14:24:09.622729] INFO: moduleinvoker: cached.v3 运行完成[3.58799s].
[2021-12-22 14:24:09.652347] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.022449s].
[2021-12-22 14:24:09.681753] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.023158s].
[2021-12-22 14:24:09.726824] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.032378s].
[2021-12-22 14:24:09.749088] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.016621s].
[2021-12-22 14:24:09.770069] INFO: moduleinvoker: dl_layer_add.v1 运行完成[0.008699s].
[2021-12-22 14:24:09.786085] INFO: moduleinvoker: dl_layer_globalmaxpooling1d.v1 运行完成[0.00849s].
[2021-12-22 14:24:09.798218] INFO: moduleinvoker: dl_layer_dropout.v1 运行完成[0.004282s].
[2021-12-22 14:24:09.818426] INFO: moduleinvoker: dl_layer_dense.v1 运行完成[0.013735s].
[2021-12-22 14:24:09.882879] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 14:24:09.894597] INFO: moduleinvoker: 命中缓存
[2021-12-22 14:24:09.897165] INFO: moduleinvoker: cached.v3 运行完成[0.014299s].
[2021-12-22 14:24:09.900011] INFO: moduleinvoker: dl_model_init.v1 运行完成[0.076727s].
[2021-12-22 14:24:09.905751] INFO: moduleinvoker: dl_model_train.v1 开始运行..
[2021-12-22 14:24:11.861542] INFO: dl_model_train: 准备训练，训练样本个数：444368，迭代次数：10000
[2021-12-22 14:27:16.541138] INFO: dl_model_train: 训练结束，耗时：184.68s
[2021-12-22 14:27:16.587108] INFO: moduleinvoker: dl_model_train.v1 运行完成[186.681363s].
[2021-12-22 14:27:16.600003] INFO: moduleinvoker: dl_model_predict.v1 开始运行..
[2021-12-22 14:27:19.738346] INFO: moduleinvoker: dl_model_predict.v1 运行完成[3.138376s].
[2021-12-22 14:27:19.750679] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 14:27:20.961874] INFO: moduleinvoker: cached.v3 运行完成[1.211158s].
[2021-12-22 14:27:21.030495] INFO: moduleinvoker: backtest.v8 开始运行..
[2021-12-22 14:27:21.035988] INFO: backtest: biglearning backtest:V8.6.0
[2021-12-22 14:27:21.037591] INFO: backtest: product_type:stock by specified
[2021-12-22 14:27:21.134936] INFO: moduleinvoker: cached.v2 开始运行..
[2021-12-22 14:27:24.887220] INFO: backtest: 读取股票行情完成:1433702
[2021-12-22 14:27:27.250845] INFO: moduleinvoker: cached.v2 运行完成[6.115918s].
[2021-12-22 14:27:28.523848] INFO: algo: TradingAlgorithm V1.8.6
[2021-12-22 14:27:29.091645] INFO: algo: trading transform...
[2021-12-22 14:27:46.657647] INFO: Performance: Simulated 244 trading days out of 244.
[2021-12-22 14:27:46.659357] INFO: Performance: first open: 2015-01-05 09:30:00+00:00
[2021-12-22 14:27:46.660623] INFO: Performance: last close: 2015-12-31 15:00:00+00:00
[2021-12-22 14:27:52.527129] INFO: moduleinvoker: backtest.v8 运行完成[31.496631s].
[2021-12-22 14:27:52.528686] INFO: moduleinvoker: trade.v4 运行完成[31.557065s].
[2021-12-22 14:27:52.530031] INFO: AI: [ParallelEx(n_jobs=1)]: Done 2 out of 2 | elapsed: 74.5min remaining: 0.0s
[2021-12-22 14:27:52.549451] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 14:27:52.560173] INFO: moduleinvoker: 命中缓存
[2021-12-22 14:27:52.563745] INFO: moduleinvoker: instruments.v2 运行完成[0.01429s].
[2021-12-22 14:27:52.569034] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-12-22 14:27:52.578278] INFO: moduleinvoker: 命中缓存
[2021-12-22 14:27:52.580454] INFO: moduleinvoker: input_features.v1 运行完成[0.01141s].
[2021-12-22 14:27:52.587777] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 14:27:52.710807] INFO: moduleinvoker: instruments.v2 运行完成[0.123044s].
[2021-12-22 14:27:52.720723] INFO: moduleinvoker: dl_layer_input.v1 运行完成[0.0015s].
[2021-12-22 14:27:52.728715] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
[2021-12-22 14:27:54.140247] INFO: 自动标注(股票): 加载历史数据: 1703814 行
[2021-12-22 14:27:54.141941] INFO: 自动标注(股票): 开始标注 ..
[2021-12-22 14:27:56.712232] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[3.983471s].
[2021-12-22 14:27:56.727866] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 14:27:57.957397] INFO: 基础特征抽取: 年份 2012, 特征行数=14382
[2021-12-22 14:28:01.075120] INFO: 基础特征抽取: 年份 2013, 特征行数=564168
[2021-12-22 14:28:04.440356] INFO: 基础特征抽取: 年份 2014, 特征行数=569948
[2021-12-22 14:28:08.383321] INFO: 基础特征抽取: 年份 2015, 特征行数=569698
[2021-12-22 14:28:08.591496] INFO: 基础特征抽取: 总行数: 1718196
[2021-12-22 14:28:08.599769] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[11.871902s].
[2021-12-22 14:28:08.615763] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 14:28:10.508957] INFO: 基础特征抽取: 年份 2015, 特征行数=20222
[2021-12-22 14:28:14.257144] INFO: 基础特征抽取: 年份 2016, 特征行数=641546
[2021-12-22 14:28:14.346720] INFO: 基础特征抽取: 总行数: 661768
[2021-12-22 14:28:14.353358] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[5.737607s].
[2021-12-22 14:28:14.434720] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.042742s].
[2021-12-22 14:28:14.450405] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 14:28:31.324268] INFO: moduleinvoker: standardlize.v8 运行完成[16.873864s].
[2021-12-22 14:28:31.330815] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 14:28:37.456394] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.165s
[2021-12-22 14:28:38.590554] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.133s
[2021-12-22 14:28:39.801454] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.209s
[2021-12-22 14:28:41.049906] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.245s
[2021-12-22 14:28:42.384258] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.333s
[2021-12-22 14:28:43.632359] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.245s
[2021-12-22 14:28:44.798125] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.164s
[2021-12-22 14:28:46.002209] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.202s
[2021-12-22 14:28:47.233814] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.229s
[2021-12-22 14:28:48.534152] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.299s
[2021-12-22 14:28:49.764695] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.229s
[2021-12-22 14:28:51.065812] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.299s
[2021-12-22 14:28:52.268910] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.201s
[2021-12-22 14:28:53.458993] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.188s
[2021-12-22 14:28:54.676493] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.216s
[2021-12-22 14:28:55.925029] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.247s
[2021-12-22 14:28:57.230939] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.304s
[2021-12-22 14:28:58.521749] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.289s
[2021-12-22 14:28:59.851935] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.328s
[2021-12-22 14:29:05.407595] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 5.554s
[2021-12-22 14:29:09.000789] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 3.591s
[2021-12-22 14:29:14.192414] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 5.189s
[2021-12-22 14:29:18.564872] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 4.370s
[2021-12-22 14:29:19.910041] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.342s
[2021-12-22 14:29:22.956674] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 3.045s
[2021-12-22 14:29:24.281257] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.323s
[2021-12-22 14:29:25.558413] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.275s
[2021-12-22 14:29:26.830436] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.270s
[2021-12-22 14:29:32.351354] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 5.519s
[2021-12-22 14:29:37.936789] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 5.584s
[2021-12-22 14:29:43.901165] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 5.963s
[2021-12-22 14:29:49.370549] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 5.467s
[2021-12-22 14:29:54.870927] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 5.497s
[2021-12-22 14:30:00.272050] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 5.399s
[2021-12-22 14:30:05.704726] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 5.430s
[2021-12-22 14:30:09.438928] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 3.732s
[2021-12-22 14:30:13.163486] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 3.723s
[2021-12-22 14:30:16.967186] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 3.802s
[2021-12-22 14:30:21.251302] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 4.282s
[2021-12-22 14:30:25.295077] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 4.042s
[2021-12-22 14:30:29.271769] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 3.975s
[2021-12-22 14:30:33.032631] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 3.759s
[2021-12-22 14:30:54.210718] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 21.177s
[2021-12-22 14:31:14.663074] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 20.450s
[2021-12-22 14:31:36.875012] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 22.209s
[2021-12-22 14:31:57.639881] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 20.762s
[2021-12-22 14:32:18.222912] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 20.581s
[2021-12-22 14:32:38.597248] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 20.373s
[2021-12-22 14:33:00.260363] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 21.661s
[2021-12-22 14:33:21.068973] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 20.807s
[2021-12-22 14:33:43.197441] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 22.127s
[2021-12-22 14:34:06.009892] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 22.809s
[2021-12-22 14:34:27.134618] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 21.120s
[2021-12-22 14:34:46.777526] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 19.641s
[2021-12-22 14:35:08.710652] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 21.931s
[2021-12-22 14:35:28.913106] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 20.200s
[2021-12-22 14:35:48.871085] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 19.955s
[2021-12-22 14:36:10.204266] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 21.331s
[2021-12-22 14:36:30.699275] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 20.493s
[2021-12-22 14:36:50.767107] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 20.066s
[2021-12-22 14:37:10.935653] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 20.167s
[2021-12-22 14:37:30.700053] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 19.763s
[2021-12-22 14:37:52.373718] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 21.671s
[2021-12-22 14:37:52.641615] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.266s
[2021-12-22 14:37:52.908594] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.265s
[2021-12-22 14:37:53.172054] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.262s
[2021-12-22 14:37:53.435081] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.260s
[2021-12-22 14:37:53.701094] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.265s
[2021-12-22 14:37:53.975516] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.273s
[2021-12-22 14:37:54.234809] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.258s
[2021-12-22 14:37:56.322519] INFO: derived_feature_extractor: /y_2012, 14382
[2021-12-22 14:37:58.604270] INFO: derived_feature_extractor: /y_2013, 564168
[2021-12-22 14:38:04.729293] INFO: derived_feature_extractor: /y_2014, 569948
[2021-12-22 14:38:16.534639] INFO: derived_feature_extractor: /y_2015, 569698
[2021-12-22 14:38:19.870483] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[588.539652s].
[2021-12-22 14:38:19.878757] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 14:38:34.748025] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.524s
[2021-12-22 14:38:35.271413] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.522s
[2021-12-22 14:38:35.838353] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.564s
[2021-12-22 14:38:36.389405] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.549s
[2021-12-22 14:38:36.927084] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.536s
[2021-12-22 14:38:37.458061] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.529s
[2021-12-22 14:38:38.004580] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.545s
[2021-12-22 14:38:38.582526] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.576s
[2021-12-22 14:38:39.153158] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.568s
[2021-12-22 14:38:39.702347] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.548s
[2021-12-22 14:38:40.283051] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.579s
[2021-12-22 14:38:40.846920] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.562s
[2021-12-22 14:38:41.423836] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.575s
[2021-12-22 14:38:42.003539] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.578s
[2021-12-22 14:38:42.569293] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.564s
[2021-12-22 14:38:43.118448] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.547s
[2021-12-22 14:38:43.660392] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.540s
[2021-12-22 14:38:44.209682] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.548s
[2021-12-22 14:38:44.748331] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.537s
[2021-12-22 14:38:45.296361] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.547s
[2021-12-22 14:38:45.975530] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.677s
[2021-12-22 14:38:46.551336] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.574s
[2021-12-22 14:38:47.115670] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.563s
[2021-12-22 14:38:47.666612] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.549s
[2021-12-22 14:38:48.246950] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.578s
[2021-12-22 14:38:48.816658] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.568s
[2021-12-22 14:38:49.448200] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.630s
[2021-12-22 14:38:50.008964] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.559s
[2021-12-22 14:38:52.106491] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 2.096s
[2021-12-22 14:38:54.166468] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 2.058s
[2021-12-22 14:38:56.263701] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 2.096s
[2021-12-22 14:38:58.339806] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 2.074s
[2021-12-22 14:39:00.392824] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 2.052s
[2021-12-22 14:39:02.502500] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 2.108s
[2021-12-22 14:39:04.624109] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 2.120s
[2021-12-22 14:39:06.044514] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 1.419s
[2021-12-22 14:39:07.510975] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 1.465s
[2021-12-22 14:39:08.941657] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 1.429s
[2021-12-22 14:39:10.360670] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 1.417s
[2021-12-22 14:39:11.796063] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 1.434s
[2021-12-22 14:39:13.209356] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 1.411s
[2021-12-22 14:39:14.636135] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 1.425s
[2021-12-22 14:39:36.245080] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 21.607s
[2021-12-22 14:39:58.023366] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 21.777s
[2021-12-22 14:40:17.854213] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 19.829s
[2021-12-22 14:40:38.733370] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 20.877s
[2021-12-22 14:40:58.801061] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 20.066s
[2021-12-22 14:41:19.557331] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 20.754s
[2021-12-22 14:41:40.481304] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 20.922s
[2021-12-22 14:42:01.160771] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 20.677s
[2021-12-22 14:42:21.699027] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 20.536s
[2021-12-22 14:42:42.441845] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 20.741s
[2021-12-22 14:43:04.160138] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 21.717s
[2021-12-22 14:43:24.539734] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 20.378s
[2021-12-22 14:43:45.059182] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 20.518s
[2021-12-22 14:44:07.121558] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 22.061s
[2021-12-22 14:44:28.244243] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 21.120s
[2021-12-22 14:44:49.857634] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 21.612s
[2021-12-22 14:45:11.875006] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 22.016s
[2021-12-22 14:45:33.232462] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 21.355s
[2021-12-22 14:45:55.751994] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 22.518s
[2021-12-22 14:46:15.665752] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 19.912s
[2021-12-22 14:46:36.747420] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 21.079s
[2021-12-22 14:46:36.843668] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.095s
[2021-12-22 14:46:36.937742] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.093s
[2021-12-22 14:46:37.030715] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.091s
[2021-12-22 14:46:37.125224] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.093s
[2021-12-22 14:46:37.217594] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.091s
[2021-12-22 14:46:37.312059] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.093s
[2021-12-22 14:46:37.405211] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.091s
[2021-12-22 14:47:15.631346] INFO: derived_feature_extractor: /y_2015, 20222
[2021-12-22 14:47:17.904838] INFO: derived_feature_extractor: /y_2016, 641546
[2021-12-22 14:48:39.385294] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[619.506508s].
[2021-12-22 14:48:39.464506] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.065486s].
[2021-12-22 14:48:39.476508] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 14:48:40.190247] INFO: A股股票过滤: 过滤 /y_2012, 768/0/2369
[2021-12-22 14:48:48.067343] INFO: A股股票过滤: 过滤 /y_2013, 184990/0/563754
[2021-12-22 14:48:55.523963] INFO: A股股票过滤: 过滤 /y_2014, 186690/0/569052
[2021-12-22 14:49:02.656195] INFO: A股股票过滤: 过滤 /y_2015, 175967/0/568353
[2021-12-22 14:49:02.663647] INFO: A股股票过滤: 过滤完成, 548415 + 0
[2021-12-22 14:49:02.833385] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[23.356934s].
[2021-12-22 14:49:02.843069] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 14:49:03.797635] INFO: A股股票过滤: 过滤 /y_2015, 2179/0/7407
[2021-12-22 14:49:25.257112] INFO: A股股票过滤: 过滤 /y_2016, 184278/0/638944
[2021-12-22 14:49:25.261859] INFO: A股股票过滤: 过滤完成, 186457 + 0
[2021-12-22 14:49:25.294157] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[22.451088s].
[2021-12-22 14:49:25.338794] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.022127s].
[2021-12-22 14:49:25.344708] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 14:52:00.063433] INFO: moduleinvoker: standardlize.v8 运行完成[154.718716s].
[2021-12-22 14:52:00.070886] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 14:52:36.347598] INFO: moduleinvoker: standardlize.v8 运行完成[36.2767s].
[2021-12-22 14:52:36.368667] INFO: moduleinvoker: dl_layer_maxpooling1d.v1 运行完成[0.01263s].
[2021-12-22 14:52:36.382793] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 14:55:23.515150] INFO: moduleinvoker: winsorize.v6 运行完成[167.132355s].
[2021-12-22 14:55:23.530155] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 14:56:19.375061] INFO: moduleinvoker: winsorize.v6 运行完成[55.844888s].
[2021-12-22 14:56:39.290689] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[19.90338s].
[2021-12-22 14:56:39.342303] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 14:56:44.693221] INFO: moduleinvoker: fillnan.v1 运行完成[5.350902s].
[2021-12-22 14:56:44.704771] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 14:56:47.841109] INFO: moduleinvoker: fillnan.v1 运行完成[3.136352s].
[2021-12-22 14:56:47.863595] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.016566s].
[2021-12-22 14:56:47.872685] INFO: moduleinvoker: join.v3 开始运行..
[2021-12-22 14:56:58.099378] INFO: join: /data, 行数=542202/548415, 耗时=7.346141s
[2021-12-22 14:56:58.159181] INFO: join: 最终行数: 542202
[2021-12-22 14:56:58.193862] INFO: moduleinvoker: join.v3 运行完成[10.321162s].
[2021-12-22 14:56:58.211285] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 14:57:00.664259] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[2.453029s].
[2021-12-22 14:57:00.699758] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.026401s].
[2021-12-22 14:57:00.719612] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 14:57:05.043929] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[4.324349s].
[2021-12-22 14:57:05.069815] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.018881s].
[2021-12-22 14:57:05.085623] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 14:57:06.714339] INFO: moduleinvoker: cached.v3 运行完成[1.628737s].
[2021-12-22 14:57:06.742984] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.017218s].
[2021-12-22 14:57:06.773337] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.021956s].
[2021-12-22 14:57:06.807172] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.023837s].
[2021-12-22 14:57:06.834136] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.017865s].
[2021-12-22 14:57:06.851657] INFO: moduleinvoker: dl_layer_add.v1 运行完成[0.007924s].
[2021-12-22 14:57:06.869467] INFO: moduleinvoker: dl_layer_globalmaxpooling1d.v1 运行完成[0.008567s].
[2021-12-22 14:57:06.883737] INFO: moduleinvoker: dl_layer_dropout.v1 运行完成[0.005412s].
[2021-12-22 14:57:06.916077] INFO: moduleinvoker: dl_layer_dense.v1 运行完成[0.019914s].
[2021-12-22 14:57:07.028268] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 14:57:07.037793] INFO: moduleinvoker: 命中缓存
[2021-12-22 14:57:07.039351] INFO: moduleinvoker: cached.v3 运行完成[0.011106s].
[2021-12-22 14:57:07.041095] INFO: moduleinvoker: dl_model_init.v1 运行完成[0.11719s].
[2021-12-22 14:57:07.045357] INFO: moduleinvoker: dl_model_train.v1 开始运行..
[2021-12-22 14:58:10.190807] INFO: dl_model_train: 准备训练，训练样本个数：433761，迭代次数：10000
[2021-12-22 15:09:55.178012] INFO: dl_model_train: 训练结束，耗时：704.99s
[2021-12-22 15:09:55.225909] INFO: moduleinvoker: dl_model_train.v1 运行完成[768.180531s].
[2021-12-22 15:09:55.233495] INFO: moduleinvoker: dl_model_predict.v1 开始运行..
[2021-12-22 15:09:58.991836] INFO: moduleinvoker: dl_model_predict.v1 运行完成[3.758322s].
[2021-12-22 15:09:59.020721] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 15:10:01.165437] INFO: moduleinvoker: cached.v3 运行完成[2.144705s].
[2021-12-22 15:10:01.324099] INFO: moduleinvoker: backtest.v8 开始运行..
[2021-12-22 15:10:01.330709] INFO: backtest: biglearning backtest:V8.6.0
[2021-12-22 15:10:01.332383] INFO: backtest: product_type:stock by specified
[2021-12-22 15:10:01.527319] INFO: moduleinvoker: cached.v2 开始运行..
[2021-12-22 15:10:22.319058] INFO: backtest: 读取股票行情完成:1516814
[2021-12-22 15:10:25.104211] INFO: moduleinvoker: cached.v2 运行完成[23.576904s].
[2021-12-22 15:10:26.530104] INFO: algo: TradingAlgorithm V1.8.6
[2021-12-22 15:10:27.121966] INFO: algo: trading transform...
[2021-12-22 15:10:45.881651] INFO: Performance: Simulated 244 trading days out of 244.
[2021-12-22 15:10:45.888104] INFO: Performance: first open: 2016-01-04 09:30:00+00:00
[2021-12-22 15:10:45.890959] INFO: Performance: last close: 2016-12-30 15:00:00+00:00
[2021-12-22 15:10:51.903988] INFO: moduleinvoker: backtest.v8 运行完成[50.579871s].
[2021-12-22 15:10:51.906294] INFO: moduleinvoker: trade.v4 运行完成[50.720691s].
[2021-12-22 15:10:51.908016] INFO: AI: [ParallelEx(n_jobs=1)]: Done 3 out of 3 | elapsed: 117.5min remaining: 0.0s
[2021-12-22 15:10:51.934112] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 15:10:52.037471] INFO: moduleinvoker: instruments.v2 运行完成[0.103349s].
[2021-12-22 15:10:52.042129] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-12-22 15:10:52.052514] INFO: moduleinvoker: 命中缓存
[2021-12-22 15:10:52.054412] INFO: moduleinvoker: input_features.v1 运行完成[0.012292s].
[2021-12-22 15:10:52.058630] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 15:10:52.067119] INFO: moduleinvoker: 命中缓存
[2021-12-22 15:10:52.069475] INFO: moduleinvoker: instruments.v2 运行完成[0.010841s].
[2021-12-22 15:10:52.079091] INFO: moduleinvoker: dl_layer_input.v1 运行完成[0.002646s].
[2021-12-22 15:10:52.089560] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
[2021-12-22 15:10:53.986754] INFO: 自动标注(股票): 加载历史数据: 1781192 行
[2021-12-22 15:10:53.989707] INFO: 自动标注(股票): 开始标注 ..
[2021-12-22 15:10:56.741987] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[4.652424s].
[2021-12-22 15:10:56.756817] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 15:10:57.991195] INFO: 基础特征抽取: 年份 2013, 特征行数=16433
[2021-12-22 15:11:01.799148] INFO: 基础特征抽取: 年份 2014, 特征行数=569948
[2021-12-22 15:11:21.408759] INFO: 基础特征抽取: 年份 2015, 特征行数=569698
[2021-12-22 15:11:32.767271] INFO: 基础特征抽取: 年份 2016, 特征行数=641546
[2021-12-22 15:11:33.026777] INFO: 基础特征抽取: 总行数: 1797625
[2021-12-22 15:11:33.034276] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[36.277491s].
[2021-12-22 15:11:33.050499] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 15:11:34.587358] INFO: 基础特征抽取: 年份 2016, 特征行数=19694
[2021-12-22 15:11:48.643415] INFO: 基础特征抽取: 年份 2017, 特征行数=743233
[2021-12-22 15:11:48.830852] INFO: 基础特征抽取: 总行数: 762927
[2021-12-22 15:11:48.837845] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[15.787347s].
[2021-12-22 15:11:48.913905] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.067641s].
[2021-12-22 15:11:48.921650] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 15:12:07.449993] INFO: moduleinvoker: standardlize.v8 运行完成[18.528356s].
[2021-12-22 15:12:07.457044] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 15:12:16.373095] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.315s
[2021-12-22 15:12:17.736100] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.361s
[2021-12-22 15:12:19.070168] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.333s
[2021-12-22 15:12:20.343584] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.265s
[2021-12-22 15:12:21.671302] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.326s
[2021-12-22 15:12:23.018015] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.345s
[2021-12-22 15:12:24.351951] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.332s
[2021-12-22 15:12:25.731627] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.378s
[2021-12-22 15:12:27.141886] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.409s
[2021-12-22 15:12:28.472453] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.329s
[2021-12-22 15:12:29.853560] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.375s
[2021-12-22 15:12:31.175876] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.321s
[2021-12-22 15:12:32.522959] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.345s
[2021-12-22 15:12:33.881381] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.356s
[2021-12-22 15:12:35.302720] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.419s
[2021-12-22 15:12:36.748911] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.444s
[2021-12-22 15:12:38.184294] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.433s
[2021-12-22 15:12:39.701392] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.515s
[2021-12-22 15:12:41.097532] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.394s
[2021-12-22 15:12:42.476461] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.377s
[2021-12-22 15:12:43.940215] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.461s
[2021-12-22 15:12:45.341217] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.399s
[2021-12-22 15:12:46.782009] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.439s
[2021-12-22 15:12:48.171653] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.386s
[2021-12-22 15:12:49.567550] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.391s
[2021-12-22 15:12:50.928730] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.356s
[2021-12-22 15:12:52.272026] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.341s
[2021-12-22 15:12:53.648051] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.371s
[2021-12-22 15:12:59.718039] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 6.068s
[2021-12-22 15:13:05.694708] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 5.975s
[2021-12-22 15:13:12.141797] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 6.445s
[2021-12-22 15:13:18.402596] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 6.259s
[2021-12-22 15:13:24.473756] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 6.069s
[2021-12-22 15:13:30.676393] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 6.200s
[2021-12-22 15:13:37.368811] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 6.690s
[2021-12-22 15:13:41.636332] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 4.265s
[2021-12-22 15:13:45.807085] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 4.169s
[2021-12-22 15:13:50.063617] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 4.254s
[2021-12-22 15:13:54.272175] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 4.206s
[2021-12-22 15:13:58.486078] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 4.209s
[2021-12-22 15:14:02.621382] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 4.133s
[2021-12-22 15:14:06.909519] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 4.286s
[2021-12-22 15:14:30.879787] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 23.968s
[2021-12-22 15:14:55.082792] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 24.199s
[2021-12-22 15:15:20.124538] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 25.039s
[2021-12-22 15:15:42.053919] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 21.927s
[2021-12-22 15:16:02.939406] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 20.884s
[2021-12-22 15:16:24.153234] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 21.212s
[2021-12-22 15:16:45.758938] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 21.604s
[2021-12-22 15:17:07.527119] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 21.767s
[2021-12-22 15:17:29.418509] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 21.889s
[2021-12-22 15:17:50.802008] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 21.382s
[2021-12-22 15:18:14.149402] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 23.346s
[2021-12-22 15:18:41.929891] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 27.779s
[2021-12-22 15:19:12.538130] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 30.606s
[2021-12-22 15:19:53.469811] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 40.929s
[2021-12-22 15:20:39.463091] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 45.992s
[2021-12-22 15:21:24.795542] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 45.327s
[2021-12-22 15:22:01.441772] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 36.642s
[2021-12-22 15:22:32.190872] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 30.747s
[2021-12-22 15:23:06.071062] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 33.878s
[2021-12-22 15:23:39.505882] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 33.432s
[2021-12-22 15:24:13.148654] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 33.640s
[2021-12-22 15:24:13.553492] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.393s
[2021-12-22 15:24:13.933942] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.375s
[2021-12-22 15:24:14.319776] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.383s
[2021-12-22 15:24:14.722772] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.400s
[2021-12-22 15:24:15.132293] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.389s
[2021-12-22 15:24:15.547663] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.410s
[2021-12-22 15:24:15.935336] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.385s
[2021-12-22 15:24:19.220349] INFO: derived_feature_extractor: /y_2013, 16433
[2021-12-22 15:24:25.334443] INFO: derived_feature_extractor: /y_2014, 569948
[2021-12-22 15:24:37.963513] INFO: derived_feature_extractor: /y_2015, 569698
[2021-12-22 15:24:50.703399] INFO: derived_feature_extractor: /y_2016, 641546
[2021-12-22 15:24:57.164771] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[769.7077s].
[2021-12-22 15:24:57.198952] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 15:25:10.337086] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.918s
[2021-12-22 15:25:11.277153] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.926s
[2021-12-22 15:25:12.217191] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.935s
[2021-12-22 15:25:13.193938] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.972s
[2021-12-22 15:25:14.285829] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.077s
[2021-12-22 15:25:15.278832] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.990s
[2021-12-22 15:25:16.266734] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.973s
[2021-12-22 15:25:17.284460] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.013s
[2021-12-22 15:25:18.263392] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.975s
[2021-12-22 15:25:19.204089] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.938s
[2021-12-22 15:25:20.154292] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.946s
[2021-12-22 15:25:21.116473] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.960s
[2021-12-22 15:25:22.153951] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.033s
[2021-12-22 15:25:23.077203] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.919s
[2021-12-22 15:25:24.066759] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.987s
[2021-12-22 15:25:25.045208] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.960s
[2021-12-22 15:25:26.100292] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.050s
[2021-12-22 15:25:27.217635] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.107s
[2021-12-22 15:25:28.354297] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.134s
[2021-12-22 15:25:29.457487] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.100s
[2021-12-22 15:25:30.470164] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.001s
[2021-12-22 15:25:31.535907] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.054s
[2021-12-22 15:25:32.605650] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.067s
[2021-12-22 15:25:33.649105] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.039s
[2021-12-22 15:25:34.719122] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.068s
[2021-12-22 15:25:35.701864] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.980s
[2021-12-22 15:25:36.701786] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.998s
[2021-12-22 15:25:37.643352] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.939s
[2021-12-22 15:25:41.551697] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 3.903s
[2021-12-22 15:25:45.247849] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 3.694s
[2021-12-22 15:25:49.316643] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 4.066s
[2021-12-22 15:25:53.148216] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 3.828s
[2021-12-22 15:25:56.912009] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 3.762s
[2021-12-22 15:26:00.533213] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 3.618s
[2021-12-22 15:26:04.403309] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 3.868s
[2021-12-22 15:26:07.203413] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 2.798s
[2021-12-22 15:26:09.762700] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 2.556s
[2021-12-22 15:26:12.099723] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 2.331s
[2021-12-22 15:26:14.796536] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 2.695s
[2021-12-22 15:26:17.456597] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 2.650s
[2021-12-22 15:26:20.053265] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 2.595s
[2021-12-22 15:26:22.698951] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 2.643s
[2021-12-22 15:26:59.666197] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 36.958s
[2021-12-22 15:27:35.628415] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 35.958s
[2021-12-22 15:28:11.830921] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 36.200s
[2021-12-22 15:28:48.902299] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 37.068s
[2021-12-22 15:29:24.088491] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 35.184s
[2021-12-22 15:30:00.248544] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 36.158s
[2021-12-22 15:30:36.493273] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 36.242s
[2021-12-22 15:31:13.163259] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 36.664s
[2021-12-22 15:31:50.501065] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 37.334s
[2021-12-22 15:32:27.017172] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 36.513s
[2021-12-22 15:33:03.236998] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 36.217s
[2021-12-22 15:33:39.570927] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 36.320s
[2021-12-22 15:34:15.762554] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 36.189s
[2021-12-22 15:34:52.995852] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 37.227s
[2021-12-22 15:35:29.565025] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 36.565s
[2021-12-22 15:36:06.662598] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 37.095s
[2021-12-22 15:36:43.220555] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 36.556s
[2021-12-22 15:37:20.784013] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 37.559s
[2021-12-22 15:37:58.121093] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 37.335s
[2021-12-22 15:38:34.585238] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 36.462s
[2021-12-22 15:39:10.673442] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 36.078s
[2021-12-22 15:39:10.823655] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.146s
[2021-12-22 15:39:10.986077] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.161s
[2021-12-22 15:39:11.146498] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.157s
[2021-12-22 15:39:11.298260] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.149s
[2021-12-22 15:39:11.458597] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.153s
[2021-12-22 15:39:11.626597] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.166s
[2021-12-22 15:39:11.770960] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.137s
[2021-12-22 15:39:37.229363] INFO: derived_feature_extractor: /y_2016, 19694
[2021-12-22 15:39:41.530132] INFO: derived_feature_extractor: /y_2017, 743233
[2021-12-22 15:39:48.507762] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[891.308809s].
[2021-12-22 15:39:48.552067] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.033324s].
[2021-12-22 15:39:48.567441] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 15:39:49.856946] INFO: A股股票过滤: 过滤 /y_2013, 1543/0/4635
[2021-12-22 15:39:59.458262] INFO: A股股票过滤: 过滤 /y_2014, 186615/0/568518
[2021-12-22 15:40:11.040200] INFO: A股股票过滤: 过滤 /y_2015, 175967/0/568352
[2021-12-22 15:40:22.650727] INFO: A股股票过滤: 过滤 /y_2016, 184518/0/640147
[2021-12-22 15:40:22.659731] INFO: A股股票过滤: 过滤完成, 548643 + 0
[2021-12-22 15:40:22.717586] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[34.150129s].
[2021-12-22 15:40:22.731990] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 15:40:23.616884] INFO: A股股票过滤: 过滤 /y_2016, 1495/0/5544
[2021-12-22 15:40:35.623897] INFO: A股股票过滤: 过滤 /y_2017, 184474/0/739540
[2021-12-22 15:40:35.628157] INFO: A股股票过滤: 过滤完成, 185969 + 0
[2021-12-22 15:40:35.681258] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[12.949279s].
[2021-12-22 15:40:35.740797] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.034628s].
[2021-12-22 15:40:35.749945] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 15:43:06.692932] INFO: moduleinvoker: standardlize.v8 运行完成[150.942978s].
[2021-12-22 15:43:06.734338] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 15:43:52.411319] INFO: moduleinvoker: standardlize.v8 运行完成[45.676991s].
[2021-12-22 15:43:52.451827] INFO: moduleinvoker: dl_layer_maxpooling1d.v1 运行完成[0.028509s].
[2021-12-22 15:43:52.458398] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 15:48:35.752662] INFO: moduleinvoker: winsorize.v6 运行完成[283.294243s].
[2021-12-22 15:48:35.787523] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 15:49:57.464820] INFO: moduleinvoker: winsorize.v6 运行完成[81.677085s].
[2021-12-22 15:50:11.618689] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[14.121757s].
[2021-12-22 15:50:11.636328] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 15:51:15.091265] INFO: moduleinvoker: fillnan.v1 运行完成[63.454931s].
[2021-12-22 15:51:15.119643] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 15:51:20.552955] INFO: moduleinvoker: fillnan.v1 运行完成[5.433355s].
[2021-12-22 15:51:44.722806] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[24.10288s].
[2021-12-22 15:51:44.773291] INFO: moduleinvoker: join.v3 开始运行..
[2021-12-22 15:52:43.619794] INFO: join: /data, 行数=541633/548643, 耗时=52.613411s
[2021-12-22 15:52:44.392205] INFO: join: 最终行数: 541633
[2021-12-22 15:52:44.426146] INFO: moduleinvoker: join.v3 运行完成[59.652854s].
[2021-12-22 15:52:44.446702] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 15:52:46.362192] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[1.915504s].
[2021-12-22 15:53:14.835862] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[28.444874s].
[2021-12-22 15:53:14.865367] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 15:53:24.246440] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[9.381145s].
[2021-12-22 15:53:24.287468] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.030053s].
[2021-12-22 15:53:24.313491] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 15:53:26.633789] INFO: moduleinvoker: cached.v3 运行完成[2.320318s].
[2021-12-22 15:53:26.670163] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.026344s].
[2021-12-22 15:53:26.725146] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.038636s].
[2021-12-22 15:53:26.765297] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.028037s].
[2021-12-22 15:53:26.802897] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.02752s].
[2021-12-22 15:53:26.820261] INFO: moduleinvoker: dl_layer_add.v1 运行完成[0.007009s].
[2021-12-22 15:53:26.848505] INFO: moduleinvoker: dl_layer_globalmaxpooling1d.v1 运行完成[0.007891s].
[2021-12-22 15:53:26.861401] INFO: moduleinvoker: dl_layer_dropout.v1 运行完成[0.005229s].
[2021-12-22 15:53:26.898313] INFO: moduleinvoker: dl_layer_dense.v1 运行完成[0.022477s].
[2021-12-22 15:53:27.008658] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 15:53:27.019093] INFO: moduleinvoker: 命中缓存
[2021-12-22 15:53:27.022285] INFO: moduleinvoker: cached.v3 运行完成[0.013629s].
[2021-12-22 15:53:27.026279] INFO: moduleinvoker: dl_model_init.v1 运行完成[0.119511s].
[2021-12-22 15:53:27.036279] INFO: moduleinvoker: dl_model_train.v1 开始运行..
[2021-12-22 15:54:46.359118] INFO: dl_model_train: 准备训练，训练样本个数：433306，迭代次数：10000
[2021-12-22 16:01:03.983502] INFO: dl_model_train: 训练结束，耗时：377.62s
[2021-12-22 16:01:04.031089] INFO: moduleinvoker: dl_model_train.v1 运行完成[456.994798s].
[2021-12-22 16:01:04.037464] INFO: moduleinvoker: dl_model_predict.v1 开始运行..
[2021-12-22 16:01:07.663740] INFO: moduleinvoker: dl_model_predict.v1 运行完成[3.626246s].
[2021-12-22 16:01:07.694133] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 16:01:09.489058] INFO: moduleinvoker: cached.v3 运行完成[1.794942s].
[2021-12-22 16:01:09.607596] INFO: moduleinvoker: backtest.v8 开始运行..
[2021-12-22 16:01:09.614396] INFO: backtest: biglearning backtest:V8.6.0
[2021-12-22 16:01:09.616899] INFO: backtest: product_type:stock by specified
[2021-12-22 16:01:09.785160] INFO: moduleinvoker: cached.v2 开始运行..
[2021-12-22 16:01:15.286261] INFO: backtest: 读取股票行情完成:1651226
[2021-12-22 16:01:19.259209] INFO: moduleinvoker: cached.v2 运行完成[9.474077s].
[2021-12-22 16:01:21.002325] INFO: algo: TradingAlgorithm V1.8.6
[2021-12-22 16:01:21.991667] INFO: algo: trading transform...
[2021-12-22 16:01:48.444050] INFO: Performance: Simulated 244 trading days out of 244.
[2021-12-22 16:01:48.446400] INFO: Performance: first open: 2017-01-03 09:30:00+00:00
[2021-12-22 16:01:48.448488] INFO: Performance: last close: 2017-12-29 15:00:00+00:00
[2021-12-22 16:01:56.014926] INFO: moduleinvoker: backtest.v8 运行完成[46.407359s].
[2021-12-22 16:01:56.017475] INFO: moduleinvoker: trade.v4 运行完成[46.518754s].
[2021-12-22 16:01:56.022739] INFO: AI: [ParallelEx(n_jobs=1)]: Done 4 out of 4 | elapsed: 168.5min remaining: 0.0s
[2021-12-22 16:01:56.050985] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 16:01:56.062702] INFO: moduleinvoker: 命中缓存
[2021-12-22 16:01:56.065561] INFO: moduleinvoker: instruments.v2 运行完成[0.014581s].
[2021-12-22 16:01:56.084768] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-12-22 16:01:56.096070] INFO: moduleinvoker: 命中缓存
[2021-12-22 16:01:56.098894] INFO: moduleinvoker: input_features.v1 运行完成[0.014169s].
[2021-12-22 16:01:56.106204] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 16:01:56.115961] INFO: moduleinvoker: 命中缓存
[2021-12-22 16:01:56.118930] INFO: moduleinvoker: instruments.v2 运行完成[0.012734s].
[2021-12-22 16:01:56.131521] INFO: moduleinvoker: dl_layer_input.v1 运行完成[0.002233s].
[2021-12-22 16:01:56.144380] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
[2021-12-22 16:01:58.295840] INFO: 自动标注(股票): 加载历史数据: 1954477 行
[2021-12-22 16:01:58.298021] INFO: 自动标注(股票): 开始标注 ..
[2021-12-22 16:02:02.095655] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[5.951259s].
[2021-12-22 16:02:02.118370] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 16:02:03.923513] INFO: 基础特征抽取: 年份 2014, 特征行数=18612
[2021-12-22 16:02:08.480456] INFO: 基础特征抽取: 年份 2015, 特征行数=569698
[2021-12-22 16:02:13.408077] INFO: 基础特征抽取: 年份 2016, 特征行数=641546
[2021-12-22 16:02:19.412279] INFO: 基础特征抽取: 年份 2017, 特征行数=743233
[2021-12-22 16:02:19.697702] INFO: 基础特征抽取: 总行数: 1973089
[2021-12-22 16:02:19.708462] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[17.590114s].
[2021-12-22 16:02:19.741457] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 16:02:21.950864] INFO: 基础特征抽取: 年份 2017, 特征行数=19477
[2021-12-22 16:02:28.335766] INFO: 基础特征抽取: 年份 2018, 特征行数=816987
[2021-12-22 16:02:28.448449] INFO: 基础特征抽取: 总行数: 836464
[2021-12-22 16:02:28.457008] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[8.715572s].
[2021-12-22 16:02:28.523852] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.055944s].
[2021-12-22 16:02:28.535636] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 16:02:53.722360] INFO: moduleinvoker: standardlize.v8 运行完成[25.186761s].
[2021-12-22 16:02:53.739002] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 16:03:03.853005] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.706s
[2021-12-22 16:03:05.625460] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.769s
[2021-12-22 16:03:07.450545] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.823s
[2021-12-22 16:03:09.156614] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.704s
[2021-12-22 16:03:11.037086] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.879s
[2021-12-22 16:03:12.879556] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.839s
[2021-12-22 16:03:14.678218] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.796s
[2021-12-22 16:03:16.575795] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.894s
[2021-12-22 16:03:18.428517] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.850s
[2021-12-22 16:03:20.326710] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.896s
[2021-12-22 16:03:22.205522] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.877s
[2021-12-22 16:03:23.992098] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.784s
[2021-12-22 16:03:25.762396] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.767s
[2021-12-22 16:03:27.554309] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.789s
[2021-12-22 16:03:29.377615] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.821s
[2021-12-22 16:03:31.300227] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.919s
[2021-12-22 16:03:33.303850] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 2.001s
[2021-12-22 16:03:35.065614] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.755s
[2021-12-22 16:03:37.030267] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.962s
[2021-12-22 16:03:38.963772] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.931s
[2021-12-22 16:03:40.945811] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.980s
[2021-12-22 16:03:42.854082] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.906s
[2021-12-22 16:03:44.819668] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.963s
[2021-12-22 16:03:46.771941] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.949s
[2021-12-22 16:03:48.647967] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.873s
[2021-12-22 16:03:50.524282] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.874s
[2021-12-22 16:03:52.512215] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.976s
[2021-12-22 16:03:54.346791] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.832s
[2021-12-22 16:04:03.674140] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 9.325s
[2021-12-22 16:04:13.543958] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 9.868s
[2021-12-22 16:04:22.491331] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 8.943s
[2021-12-22 16:04:31.709171] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 9.216s
[2021-12-22 16:04:40.398610] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 8.687s
[2021-12-22 16:04:49.621562] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 9.220s
[2021-12-22 16:04:58.321139] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 8.697s
[2021-12-22 16:05:04.622478] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 6.299s
[2021-12-22 16:05:10.891933] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 6.267s
[2021-12-22 16:05:16.824513] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 5.930s
[2021-12-22 16:05:22.952770] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 6.126s
[2021-12-22 16:05:29.217659] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 6.263s
[2021-12-22 16:05:35.576810] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 6.356s
[2021-12-22 16:05:41.665917] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 6.084s
[2021-12-22 16:06:18.278724] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 36.609s
[2021-12-22 16:06:54.603257] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 36.317s
[2021-12-22 16:07:31.817619] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 37.212s
[2021-12-22 16:08:17.647615] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 45.828s
[2021-12-22 16:08:56.801485] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 39.151s
[2021-12-22 16:09:46.407803] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 49.604s
[2021-12-22 16:10:24.498092] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 38.088s
[2021-12-22 16:11:02.490506] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 37.989s
[2021-12-22 16:11:35.082478] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 32.589s
[2021-12-22 16:12:01.594359] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 26.509s
[2021-12-22 16:12:28.282519] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 26.686s
[2021-12-22 16:12:54.885469] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 26.600s
[2021-12-22 16:13:21.070330] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 26.182s
[2021-12-22 16:13:58.351562] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 37.279s
[2021-12-22 16:14:21.482036] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 23.129s
[2021-12-22 16:14:50.068498] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 28.585s
[2021-12-22 16:15:14.654364] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 24.584s
[2021-12-22 16:15:37.406484] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 22.750s
[2021-12-22 16:15:59.479688] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 22.072s
[2021-12-22 16:16:21.227886] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 21.747s
[2021-12-22 16:16:42.621815] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 21.392s
[2021-12-22 16:16:42.855605] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.232s
[2021-12-22 16:16:43.114583] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.257s
[2021-12-22 16:16:43.371559] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.255s
[2021-12-22 16:16:43.627236] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.254s
[2021-12-22 16:16:43.884111] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.255s
[2021-12-22 16:16:44.163550] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.278s
[2021-12-22 16:16:44.418979] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.254s
[2021-12-22 16:16:46.333543] INFO: derived_feature_extractor: /y_2014, 18612
[2021-12-22 16:16:47.850212] INFO: derived_feature_extractor: /y_2015, 569698
[2021-12-22 16:16:53.027637] INFO: derived_feature_extractor: /y_2016, 641546
[2021-12-22 16:16:58.774376] INFO: derived_feature_extractor: /y_2017, 743233
[2021-12-22 16:17:03.726430] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[849.987435s].
[2021-12-22 16:17:03.733170] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 16:17:06.713711] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.816s
[2021-12-22 16:17:07.384367] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.669s
[2021-12-22 16:17:08.004856] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.619s
[2021-12-22 16:17:08.634743] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.628s
[2021-12-22 16:17:09.258137] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.622s
[2021-12-22 16:17:09.858181] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.599s
[2021-12-22 16:17:10.491637] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.632s
[2021-12-22 16:17:11.155225] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.662s
[2021-12-22 16:17:11.812732] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.656s
[2021-12-22 16:17:12.484539] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.670s
[2021-12-22 16:17:13.156648] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.671s
[2021-12-22 16:17:13.867766] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.709s
[2021-12-22 16:17:14.503808] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.634s
[2021-12-22 16:17:15.130536] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.625s
[2021-12-22 16:17:15.749001] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.617s
[2021-12-22 16:17:16.372087] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.622s
[2021-12-22 16:17:17.009645] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.636s
[2021-12-22 16:17:17.640904] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.630s
[2021-12-22 16:17:18.270617] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.628s
[2021-12-22 16:17:18.913643] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.642s
[2021-12-22 16:17:19.536047] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.621s
[2021-12-22 16:17:20.120047] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.583s
[2021-12-22 16:17:20.734209] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.613s
[2021-12-22 16:17:21.352707] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.617s
[2021-12-22 16:17:21.962715] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.609s
[2021-12-22 16:17:22.582528] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.618s
[2021-12-22 16:17:23.186295] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.602s
[2021-12-22 16:17:23.800233] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.612s
[2021-12-22 16:17:26.058617] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 2.257s
[2021-12-22 16:17:28.354192] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 2.294s
[2021-12-22 16:17:31.288487] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 2.933s
[2021-12-22 16:17:33.803666] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 2.513s
[2021-12-22 16:17:36.196754] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 2.392s
[2021-12-22 16:17:38.566697] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 2.368s
[2021-12-22 16:17:40.874535] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 2.306s
[2021-12-22 16:17:42.549911] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 1.674s
[2021-12-22 16:17:44.216847] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 1.665s
[2021-12-22 16:17:45.920021] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 1.701s
[2021-12-22 16:17:47.712882] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 1.791s
[2021-12-22 16:17:49.554541] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 1.840s
[2021-12-22 16:17:51.343523] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 1.787s
[2021-12-22 16:17:53.160036] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 1.815s
[2021-12-22 16:18:16.976452] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 23.815s
[2021-12-22 16:18:38.179872] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 21.202s
[2021-12-22 16:18:59.923046] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 21.742s
[2021-12-22 16:19:24.232030] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 24.307s
[2021-12-22 16:19:47.181178] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 22.947s
[2021-12-22 16:20:09.616805] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 22.434s
[2021-12-22 16:20:32.250953] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 22.632s
[2021-12-22 16:20:53.977844] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 21.725s
[2021-12-22 16:21:15.811461] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 21.832s
[2021-12-22 16:21:39.565474] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 23.752s
[2021-12-22 16:22:03.555038] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 23.988s
[2021-12-22 16:22:27.645505] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 24.088s
[2021-12-22 16:22:50.227565] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 22.580s
[2021-12-22 16:23:11.886193] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 21.657s
[2021-12-22 16:23:35.510483] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 23.622s
[2021-12-22 16:23:58.615968] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 23.104s
[2021-12-22 16:24:20.427534] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 21.810s
[2021-12-22 16:24:42.206837] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 21.778s
[2021-12-22 16:25:05.239297] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 23.031s
[2021-12-22 16:25:29.102394] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 23.861s
[2021-12-22 16:25:51.277239] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 22.173s
[2021-12-22 16:25:51.381357] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.103s
[2021-12-22 16:25:51.517882] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.135s
[2021-12-22 16:25:51.656928] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.138s
[2021-12-22 16:25:51.770271] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.112s
[2021-12-22 16:25:51.874195] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.102s
[2021-12-22 16:25:51.983944] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.108s
[2021-12-22 16:25:52.088446] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.103s
[2021-12-22 16:25:52.963024] INFO: derived_feature_extractor: /y_2017, 19477
[2021-12-22 16:25:54.924297] INFO: derived_feature_extractor: /y_2018, 816987
[2021-12-22 16:26:00.145253] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[536.412069s].
[2021-12-22 16:26:00.188981] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.037055s].
[2021-12-22 16:26:00.197426] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 16:26:00.557301] INFO: A股股票过滤: 过滤 /y_2014, 2223/0/6835
[2021-12-22 16:26:05.776669] INFO: A股股票过滤: 过滤 /y_2015, 175791/0/567225
[2021-12-22 16:26:12.004404] INFO: A股股票过滤: 过滤 /y_2016, 184519/0/640139
[2021-12-22 16:26:19.231241] INFO: A股股票过滤: 过滤 /y_2017, 184667/0/740515
[2021-12-22 16:26:19.236816] INFO: A股股票过滤: 过滤完成, 547200 + 0
[2021-12-22 16:26:19.259951] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[19.062513s].
[2021-12-22 16:26:19.270736] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 16:26:19.554957] INFO: A股股票过滤: 过滤 /y_2017, 749/0/3203
[2021-12-22 16:26:27.271545] INFO: A股股票过滤: 过滤 /y_2018, 185667/0/815181
[2021-12-22 16:26:27.276123] INFO: A股股票过滤: 过滤完成, 186416 + 0
[2021-12-22 16:26:27.302286] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[8.031581s].
[2021-12-22 16:26:27.326054] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.017692s].
[2021-12-22 16:26:27.331072] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 16:28:14.851072] INFO: moduleinvoker: standardlize.v8 运行完成[107.519986s].
[2021-12-22 16:28:14.857629] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 16:28:51.218334] INFO: moduleinvoker: standardlize.v8 运行完成[36.360695s].
[2021-12-22 16:28:51.241376] INFO: moduleinvoker: dl_layer_maxpooling1d.v1 运行完成[0.013763s].
[2021-12-22 16:28:51.247262] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 16:32:52.636879] INFO: moduleinvoker: winsorize.v6 运行完成[241.3896s].
[2021-12-22 16:32:52.655046] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 16:34:00.654992] INFO: moduleinvoker: winsorize.v6 运行完成[67.999941s].
[2021-12-22 16:34:39.917468] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[39.181606s].
[2021-12-22 16:34:39.929805] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 16:34:45.723796] INFO: moduleinvoker: fillnan.v1 运行完成[5.793984s].
[2021-12-22 16:34:45.733074] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 16:34:47.808720] INFO: moduleinvoker: fillnan.v1 运行完成[2.075614s].
[2021-12-22 16:34:47.846913] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.025429s].
[2021-12-22 16:34:47.856476] INFO: moduleinvoker: join.v3 开始运行..
[2021-12-22 16:34:58.773536] INFO: join: /data, 行数=539584/547200, 耗时=7.408653s
[2021-12-22 16:34:58.844790] INFO: join: 最终行数: 539584
[2021-12-22 16:34:58.857135] INFO: moduleinvoker: join.v3 运行完成[11.000658s].
[2021-12-22 16:34:58.872683] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 16:35:00.182399] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[1.309744s].
[2021-12-22 16:35:00.222694] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.028229s].
[2021-12-22 16:35:00.240396] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 16:35:04.503766] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[4.263417s].
[2021-12-22 16:35:04.541640] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.027592s].
[2021-12-22 16:35:04.556347] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 16:35:06.419307] INFO: moduleinvoker: cached.v3 运行完成[1.862976s].
[2021-12-22 16:35:06.445272] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.019352s].
[2021-12-22 16:35:06.474884] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.02155s].
[2021-12-22 16:35:06.510614] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.025388s].
[2021-12-22 16:35:06.536919] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.018691s].
[2021-12-22 16:35:06.549706] INFO: moduleinvoker: dl_layer_add.v1 运行完成[0.005573s].
[2021-12-22 16:35:06.563910] INFO: moduleinvoker: dl_layer_globalmaxpooling1d.v1 运行完成[0.005668s].
[2021-12-22 16:35:06.578654] INFO: moduleinvoker: dl_layer_dropout.v1 运行完成[0.005644s].
[2021-12-22 16:35:06.603039] INFO: moduleinvoker: dl_layer_dense.v1 运行完成[0.015328s].
[2021-12-22 16:35:06.685200] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 16:35:06.695073] INFO: moduleinvoker: 命中缓存
[2021-12-22 16:35:06.698019] INFO: moduleinvoker: cached.v3 运行完成[0.012821s].
[2021-12-22 16:35:06.703920] INFO: moduleinvoker: dl_model_init.v1 运行完成[0.094054s].
[2021-12-22 16:35:06.710807] INFO: moduleinvoker: dl_model_train.v1 开始运行..
[2021-12-22 16:35:10.923371] INFO: dl_model_train: 准备训练，训练样本个数：431667，迭代次数：10000
[2021-12-22 16:45:50.933830] INFO: dl_model_train: 训练结束，耗时：640.01s
[2021-12-22 16:45:50.979445] INFO: moduleinvoker: dl_model_train.v1 运行完成[644.268642s].
[2021-12-22 16:45:50.988766] INFO: moduleinvoker: dl_model_predict.v1 开始运行..
[2021-12-22 16:45:53.940188] INFO: moduleinvoker: dl_model_predict.v1 运行完成[2.951449s].
[2021-12-22 16:45:53.955300] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 16:45:55.364980] INFO: moduleinvoker: cached.v3 运行完成[1.409683s].
[2021-12-22 16:45:55.432469] INFO: moduleinvoker: backtest.v8 开始运行..
[2021-12-22 16:45:55.438455] INFO: backtest: biglearning backtest:V8.6.0
[2021-12-22 16:45:55.440448] INFO: backtest: product_type:stock by specified
[2021-12-22 16:45:55.533398] INFO: moduleinvoker: cached.v2 开始运行..
[2021-12-22 16:46:00.614623] INFO: backtest: 读取股票行情完成:1802864
[2021-12-22 16:46:03.544759] INFO: moduleinvoker: cached.v2 运行完成[8.011364s].
[2021-12-22 16:46:05.086287] INFO: algo: TradingAlgorithm V1.8.6
[2021-12-22 16:46:05.633672] INFO: algo: trading transform...
[2021-12-22 16:46:22.105715] INFO: Performance: Simulated 243 trading days out of 243.
[2021-12-22 16:46:22.107586] INFO: Performance: first open: 2018-01-02 09:30:00+00:00
[2021-12-22 16:46:22.109335] INFO: Performance: last close: 2018-12-28 15:00:00+00:00
[2021-12-22 16:46:28.543660] INFO: moduleinvoker: backtest.v8 运行完成[33.111187s].
[2021-12-22 16:46:28.546095] INFO: moduleinvoker: trade.v4 运行完成[33.173233s].
[2021-12-22 16:46:28.548199] INFO: AI: [ParallelEx(n_jobs=1)]: Done 5 out of 5 | elapsed: 213.1min remaining: 0.0s
[2021-12-22 16:46:28.572400] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 16:46:28.583507] INFO: moduleinvoker: 命中缓存
[2021-12-22 16:46:28.585952] INFO: moduleinvoker: instruments.v2 运行完成[0.013574s].
[2021-12-22 16:46:28.591049] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-12-22 16:46:28.598621] INFO: moduleinvoker: 命中缓存
[2021-12-22 16:46:28.600654] INFO: moduleinvoker: input_features.v1 运行完成[0.009612s].
[2021-12-22 16:46:28.607084] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 16:46:28.616973] INFO: moduleinvoker: 命中缓存
[2021-12-22 16:46:28.619665] INFO: moduleinvoker: instruments.v2 运行完成[0.012581s].
[2021-12-22 16:46:28.627521] INFO: moduleinvoker: dl_layer_input.v1 运行完成[0.001598s].
[2021-12-22 16:46:28.634816] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
[2021-12-22 16:46:30.535064] INFO: 自动标注(股票): 加载历史数据: 2201766 行
[2021-12-22 16:46:30.536846] INFO: 自动标注(股票): 开始标注 ..
[2021-12-22 16:46:33.323363] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[4.688537s].
[2021-12-22 16:46:33.337286] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 16:46:34.755315] INFO: 基础特征抽取: 年份 2015, 特征行数=20222
[2021-12-22 16:46:37.887440] INFO: 基础特征抽取: 年份 2016, 特征行数=641546
[2021-12-22 16:46:42.332204] INFO: 基础特征抽取: 年份 2017, 特征行数=743233
[2021-12-22 16:46:47.131617] INFO: 基础特征抽取: 年份 2018, 特征行数=816987
[2021-12-22 16:46:47.260443] INFO: 基础特征抽取: 总行数: 2221988
[2021-12-22 16:46:47.269777] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[13.932495s].
[2021-12-22 16:46:47.290488] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 16:46:49.226850] INFO: 基础特征抽取: 年份 2018, 特征行数=17720
[2021-12-22 16:46:54.359780] INFO: 基础特征抽取: 年份 2019, 特征行数=884867
[2021-12-22 16:46:54.426933] INFO: 基础特征抽取: 总行数: 902587
[2021-12-22 16:46:54.435798] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[7.145314s].
[2021-12-22 16:46:54.480855] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.033806s].
[2021-12-22 16:46:54.488830] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 16:47:14.865631] INFO: moduleinvoker: standardlize.v8 运行完成[20.376767s].
[2021-12-22 16:47:14.873941] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 16:47:22.479753] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.567s
[2021-12-22 16:47:24.040309] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.559s
[2021-12-22 16:47:25.586466] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.545s
[2021-12-22 16:47:27.247327] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.658s
[2021-12-22 16:47:28.921587] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.673s
[2021-12-22 16:47:30.396608] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.472s
[2021-12-22 16:47:31.876638] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.478s
[2021-12-22 16:47:33.427381] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.549s
[2021-12-22 16:47:34.978047] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.549s
[2021-12-22 16:47:36.583885] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.604s
[2021-12-22 16:47:38.154815] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.568s
[2021-12-22 16:47:39.826307] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.670s
[2021-12-22 16:47:41.425655] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.598s
[2021-12-22 16:47:43.064031] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.637s
[2021-12-22 16:47:44.808476] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.743s
[2021-12-22 16:47:46.480791] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.670s
[2021-12-22 16:47:48.194262] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.711s
[2021-12-22 16:47:49.902233] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.706s
[2021-12-22 16:47:51.724087] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.819s
[2021-12-22 16:47:53.428808] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.703s
[2021-12-22 16:47:55.157375] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.727s
[2021-12-22 16:47:56.922991] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.764s
[2021-12-22 16:47:58.629018] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.704s
[2021-12-22 16:48:00.229772] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.599s
[2021-12-22 16:48:01.893747] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.662s
[2021-12-22 16:48:03.534222] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.639s
[2021-12-22 16:48:05.163134] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.627s
[2021-12-22 16:48:06.824329] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.659s
[2021-12-22 16:48:14.444492] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 7.618s
[2021-12-22 16:48:21.351023] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 6.905s
[2021-12-22 16:48:28.500131] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 7.147s
[2021-12-22 16:48:35.750671] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 7.248s
[2021-12-22 16:48:43.312025] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 7.560s
[2021-12-22 16:48:50.653234] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 7.339s
[2021-12-22 16:48:57.929810] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 7.275s
[2021-12-22 16:49:02.651260] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 4.720s
[2021-12-22 16:49:07.364498] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 4.712s
[2021-12-22 16:49:12.112392] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 4.746s
[2021-12-22 16:49:16.975184] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 4.861s
[2021-12-22 16:49:21.969762] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 4.992s
[2021-12-22 16:49:27.248952] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 5.277s
[2021-12-22 16:49:32.441331] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 5.191s
[2021-12-22 16:50:01.107711] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 28.665s
[2021-12-22 16:50:29.429131] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 28.319s
[2021-12-22 16:50:59.077529] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 29.647s
[2021-12-22 16:51:25.879205] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 26.799s
[2021-12-22 16:51:54.096729] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 28.214s
[2021-12-22 16:52:22.959624] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 28.859s
[2021-12-22 16:52:50.561516] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 27.600s
[2021-12-22 16:53:18.385745] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 27.822s
[2021-12-22 16:53:46.533899] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 28.146s
[2021-12-22 16:54:16.688848] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 30.153s
[2021-12-22 16:54:45.872920] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 29.181s
[2021-12-22 16:55:13.713426] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 27.839s
[2021-12-22 16:55:41.417365] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 27.702s
[2021-12-22 16:56:10.619025] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 29.199s
[2021-12-22 16:56:38.835686] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 28.214s
[2021-12-22 16:57:16.616779] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 37.779s
[2021-12-22 16:57:43.546598] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 26.928s
[2021-12-22 16:58:10.000674] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 26.453s
[2021-12-22 16:58:37.199375] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 27.197s
[2021-12-22 16:59:03.059073] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 25.858s
[2021-12-22 16:59:29.527358] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 26.467s
[2021-12-22 16:59:29.835931] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.307s
[2021-12-22 16:59:30.171547] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.334s
[2021-12-22 16:59:30.510863] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.337s
[2021-12-22 16:59:30.840973] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.328s
[2021-12-22 16:59:31.199180] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.357s
[2021-12-22 16:59:31.569093] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.367s
[2021-12-22 16:59:31.942888] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.371s
[2021-12-22 16:59:34.488385] INFO: derived_feature_extractor: /y_2015, 20222
[2021-12-22 16:59:36.255765] INFO: derived_feature_extractor: /y_2016, 641546
[2021-12-22 16:59:41.987705] INFO: derived_feature_extractor: /y_2017, 743233
[2021-12-22 16:59:48.568700] INFO: derived_feature_extractor: /y_2018, 816987
[2021-12-22 16:59:54.033636] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[759.159692s].
[2021-12-22 16:59:54.041073] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 16:59:57.435121] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.908s
[2021-12-22 16:59:58.242751] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.806s
[2021-12-22 16:59:59.083014] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.839s
[2021-12-22 16:59:59.881412] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.796s
[2021-12-22 17:00:00.701954] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.818s
[2021-12-22 17:00:01.539246] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.835s
[2021-12-22 17:00:02.380608] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.840s
[2021-12-22 17:00:03.146938] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.764s
[2021-12-22 17:00:03.931328] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.783s
[2021-12-22 17:00:04.736794] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.804s
[2021-12-22 17:00:05.604100] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.866s
[2021-12-22 17:00:06.378472] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.772s
[2021-12-22 17:00:07.170306] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.790s
[2021-12-22 17:00:07.970425] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.798s
[2021-12-22 17:00:08.768369] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.796s
[2021-12-22 17:00:09.554687] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.784s
[2021-12-22 17:00:10.379274] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.823s
[2021-12-22 17:00:11.227962] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.847s
[2021-12-22 17:00:12.033480] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.804s
[2021-12-22 17:00:12.848317] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.813s
[2021-12-22 17:00:13.647146] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.797s
[2021-12-22 17:00:14.431222] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.783s
[2021-12-22 17:00:15.187287] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.754s
[2021-12-22 17:00:15.947598] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.758s
[2021-12-22 17:00:16.768608] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.819s
[2021-12-22 17:00:17.535518] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.765s
[2021-12-22 17:00:18.316101] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.779s
[2021-12-22 17:00:19.126032] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.808s
[2021-12-22 17:00:22.111458] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 2.984s
[2021-12-22 17:00:25.245901] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 3.133s
[2021-12-22 17:00:28.292494] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 3.045s
[2021-12-22 17:00:31.292914] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 2.999s
[2021-12-22 17:00:34.906932] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 3.612s
[2021-12-22 17:00:38.233531] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 3.324s
[2021-12-22 17:00:41.413044] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 3.178s
[2021-12-22 17:00:43.601363] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 2.186s
[2021-12-22 17:00:45.837845] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 2.234s
[2021-12-22 17:00:48.114391] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 2.275s
[2021-12-22 17:00:50.265971] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 2.150s
[2021-12-22 17:00:52.468298] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 2.200s
[2021-12-22 17:00:54.773512] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 2.303s
[2021-12-22 17:00:57.043857] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 2.268s
[2021-12-22 17:01:25.500802] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 28.455s
[2021-12-22 17:01:52.246726] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 26.743s
[2021-12-22 17:02:19.773208] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 27.525s
[2021-12-22 17:02:47.019731] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 27.245s
[2021-12-22 17:03:15.251109] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 28.230s
[2021-12-22 17:03:44.345923] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 29.093s
[2021-12-22 17:04:14.639843] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 30.292s
[2021-12-22 17:04:43.443657] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 28.802s
[2021-12-22 17:05:12.707336] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 29.262s
[2021-12-22 17:05:43.062674] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 30.353s
[2021-12-22 17:06:14.087211] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 31.022s
[2021-12-22 17:06:45.453612] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 31.364s
[2021-12-22 17:07:17.155300] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 31.700s
[2021-12-22 17:07:46.998423] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 29.841s
[2021-12-22 17:08:19.732528] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 32.732s
[2021-12-22 17:08:51.840000] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 32.106s
[2021-12-22 17:09:21.932352] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 30.090s
[2021-12-22 17:09:53.045486] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 31.111s
[2021-12-22 17:10:23.892880] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 30.846s
[2021-12-22 17:10:54.773781] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 30.878s
[2021-12-22 17:11:24.978718] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 30.203s
[2021-12-22 17:11:25.117691] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.136s
[2021-12-22 17:11:25.245648] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.126s
[2021-12-22 17:11:25.378799] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.131s
[2021-12-22 17:11:25.514908] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.134s
[2021-12-22 17:11:25.646528] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.130s
[2021-12-22 17:11:25.785421] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.137s
[2021-12-22 17:11:25.927394] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.140s
[2021-12-22 17:11:50.235769] INFO: derived_feature_extractor: /y_2018, 17720
[2021-12-22 17:11:53.395926] INFO: derived_feature_extractor: /y_2019, 884867
[2021-12-22 17:13:34.486592] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[820.445493s].
[2021-12-22 17:13:34.565275] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.064879s].
[2021-12-22 17:13:34.578451] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 17:13:35.234638] INFO: A股股票过滤: 过滤 /y_2015, 2179/0/7407
[2021-12-22 17:13:45.343231] INFO: A股股票过滤: 过滤 /y_2016, 184278/0/638944
[2021-12-22 17:14:53.528165] INFO: A股股票过滤: 过滤 /y_2017, 184664/0/740499
[2021-12-22 17:15:03.931730] INFO: A股股票过滤: 过滤 /y_2018, 185873/0/816229
[2021-12-22 17:15:03.942959] INFO: A股股票过滤: 过滤完成, 556994 + 0
[2021-12-22 17:15:03.982663] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[89.404221s].
[2021-12-22 17:15:04.009963] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 17:15:14.824751] INFO: A股股票过滤: 过滤 /y_2019, 194662/0/883331
[2021-12-22 17:15:14.843956] INFO: A股股票过滤: 过滤完成, 194662 + 0
[2021-12-22 17:15:14.871051] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[10.861005s].
[2021-12-22 17:15:14.913344] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.029933s].
[2021-12-22 17:15:14.925050] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 17:17:17.786363] INFO: moduleinvoker: standardlize.v8 运行完成[122.861305s].
[2021-12-22 17:17:17.794045] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 17:17:55.895026] INFO: moduleinvoker: standardlize.v8 运行完成[38.100971s].
[2021-12-22 17:17:55.922370] INFO: moduleinvoker: dl_layer_maxpooling1d.v1 运行完成[0.011548s].
[2021-12-22 17:17:55.927738] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 17:20:59.223690] INFO: moduleinvoker: winsorize.v6 运行完成[183.295917s].
[2021-12-22 17:20:59.231552] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 17:22:02.712633] INFO: moduleinvoker: winsorize.v6 运行完成[63.481065s].
[2021-12-22 17:22:09.363199] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[6.638854s].
[2021-12-22 17:22:09.377916] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 17:22:17.115805] INFO: moduleinvoker: fillnan.v1 运行完成[7.737885s].
[2021-12-22 17:22:17.130707] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 17:22:19.781899] INFO: moduleinvoker: fillnan.v1 运行完成[2.651188s].
[2021-12-22 17:22:19.815546] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.025163s].
[2021-12-22 17:22:19.831794] INFO: moduleinvoker: join.v3 开始运行..
[2021-12-22 17:22:33.568551] INFO: join: /data, 行数=550190/556994, 耗时=9.007516s
[2021-12-22 17:22:33.643847] INFO: join: 最终行数: 550190
[2021-12-22 17:22:33.658860] INFO: moduleinvoker: join.v3 运行完成[13.827053s].
[2021-12-22 17:22:33.679595] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 17:22:35.351307] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[1.67173s].
[2021-12-22 17:23:09.385690] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[34.026173s].
[2021-12-22 17:23:09.416230] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 17:23:14.270490] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[4.854271s].
[2021-12-22 17:23:14.303959] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.02385s].
[2021-12-22 17:23:14.319970] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 17:23:16.170659] INFO: moduleinvoker: cached.v3 运行完成[1.850581s].
[2021-12-22 17:23:16.210667] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.028664s].
[2021-12-22 17:23:16.239733] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.021372s].
[2021-12-22 17:23:16.273802] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.026313s].
[2021-12-22 17:23:16.315157] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.033241s].
[2021-12-22 17:23:16.334425] INFO: moduleinvoker: dl_layer_add.v1 运行完成[0.008699s].
[2021-12-22 17:23:16.352116] INFO: moduleinvoker: dl_layer_globalmaxpooling1d.v1 运行完成[0.008571s].
[2021-12-22 17:23:16.364663] INFO: moduleinvoker: dl_layer_dropout.v1 运行完成[0.005217s].
[2021-12-22 17:23:16.390517] INFO: moduleinvoker: dl_layer_dense.v1 运行完成[0.015523s].
[2021-12-22 17:23:16.477855] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 17:23:16.494507] INFO: moduleinvoker: 命中缓存
[2021-12-22 17:23:16.497490] INFO: moduleinvoker: cached.v3 运行完成[0.019643s].
[2021-12-22 17:23:16.500865] INFO: moduleinvoker: dl_model_init.v1 运行完成[0.102633s].
[2021-12-22 17:23:16.506707] INFO: moduleinvoker: dl_model_train.v1 开始运行..
[2021-12-22 17:23:40.362400] INFO: dl_model_train: 准备训练，训练样本个数：440152，迭代次数：10000
[2021-12-22 17:37:24.013850] INFO: dl_model_train: 训练结束，耗时：823.65s
[2021-12-22 17:37:24.095639] INFO: moduleinvoker: dl_model_train.v1 运行完成[847.588928s].
[2021-12-22 17:37:24.101478] INFO: moduleinvoker: dl_model_predict.v1 开始运行..
[2021-12-22 17:37:27.482564] INFO: moduleinvoker: dl_model_predict.v1 运行完成[3.381076s].
[2021-12-22 17:37:27.502900] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 17:37:29.038935] INFO: moduleinvoker: cached.v3 运行完成[1.536052s].
[2021-12-22 17:37:29.117045] INFO: moduleinvoker: backtest.v8 开始运行..
[2021-12-22 17:37:29.123306] INFO: backtest: biglearning backtest:V8.6.0
[2021-12-22 17:37:29.124773] INFO: backtest: product_type:stock by specified
[2021-12-22 17:37:29.227607] INFO: moduleinvoker: cached.v2 开始运行..
[2021-12-22 17:37:34.960203] INFO: backtest: 读取股票行情完成:1893458
[2021-12-22 17:37:38.604707] INFO: moduleinvoker: cached.v2 运行完成[9.37712s].
[2021-12-22 17:37:40.266008] INFO: algo: TradingAlgorithm V1.8.6
[2021-12-22 17:37:40.893433] INFO: algo: trading transform...
[2021-12-22 17:38:00.620540] INFO: Performance: Simulated 244 trading days out of 244.
[2021-12-22 17:38:00.622892] INFO: Performance: first open: 2019-01-02 09:30:00+00:00
[2021-12-22 17:38:00.624341] INFO: Performance: last close: 2019-12-31 15:00:00+00:00
[2021-12-22 17:38:07.992799] INFO: moduleinvoker: backtest.v8 运行完成[38.875745s].
[2021-12-22 17:38:07.995508] INFO: moduleinvoker: trade.v4 运行完成[38.949322s].
[2021-12-22 17:38:07.998467] INFO: AI: [ParallelEx(n_jobs=1)]: Done 6 out of 6 | elapsed: 264.7min remaining: 0.0s
[2021-12-22 17:38:08.027824] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 17:38:08.040417] INFO: moduleinvoker: 命中缓存
[2021-12-22 17:38:08.043500] INFO: moduleinvoker: instruments.v2 运行完成[0.015683s].
[2021-12-22 17:38:08.053815] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-12-22 17:38:08.064179] INFO: moduleinvoker: 命中缓存
[2021-12-22 17:38:08.066821] INFO: moduleinvoker: input_features.v1 运行完成[0.013022s].
[2021-12-22 17:38:08.073704] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 17:38:08.085081] INFO: moduleinvoker: 命中缓存
[2021-12-22 17:38:08.087960] INFO: moduleinvoker: instruments.v2 运行完成[0.014271s].
[2021-12-22 17:38:08.101821] INFO: moduleinvoker: dl_layer_input.v1 运行完成[0.002962s].
[2021-12-22 17:38:08.116437] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
[2021-12-22 17:38:10.198869] INFO: 自动标注(股票): 加载历史数据: 2445082 行
[2021-12-22 17:38:10.201483] INFO: 自动标注(股票): 开始标注 ..
[2021-12-22 17:38:13.982282] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[5.865847s].
[2021-12-22 17:38:14.002847] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 17:38:15.471318] INFO: 基础特征抽取: 年份 2016, 特征行数=19694
[2021-12-22 17:38:20.241336] INFO: 基础特征抽取: 年份 2017, 特征行数=743233
[2021-12-22 17:38:25.569685] INFO: 基础特征抽取: 年份 2018, 特征行数=816987
[2021-12-22 17:38:31.841774] INFO: 基础特征抽取: 年份 2019, 特征行数=884867
[2021-12-22 17:38:31.988255] INFO: 基础特征抽取: 总行数: 2464781
[2021-12-22 17:38:31.997010] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[17.994191s].
[2021-12-22 17:38:32.015146] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 17:38:32.024982] INFO: moduleinvoker: 命中缓存
[2021-12-22 17:38:32.026785] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.011666s].
[2021-12-22 17:38:32.052413] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.019899s].
[2021-12-22 17:38:32.057526] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 17:38:56.996460] INFO: moduleinvoker: standardlize.v8 运行完成[24.938915s].
[2021-12-22 17:38:57.007415] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 17:39:06.925923] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.886s
[2021-12-22 17:39:08.792922] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.864s
[2021-12-22 17:39:10.629214] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.834s
[2021-12-22 17:39:12.620466] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.989s
[2021-12-22 17:39:14.529619] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.907s
[2021-12-22 17:39:16.396615] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.865s
[2021-12-22 17:39:18.279724] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.881s
[2021-12-22 17:39:20.320530] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 2.038s
[2021-12-22 17:39:22.287430] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.965s
[2021-12-22 17:39:24.240853] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.951s
[2021-12-22 17:39:26.131956] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.889s
[2021-12-22 17:39:28.041088] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.907s
[2021-12-22 17:39:29.929589] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.887s
[2021-12-22 17:39:31.945814] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 2.015s
[2021-12-22 17:39:34.030701] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 2.083s
[2021-12-22 17:39:36.108470] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 2.076s
[2021-12-22 17:39:38.288059] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 2.177s
[2021-12-22 17:39:40.279162] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.989s
[2021-12-22 17:39:42.279405] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.999s
[2021-12-22 17:39:44.228020] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.947s
[2021-12-22 17:39:46.063947] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.834s
[2021-12-22 17:39:48.228213] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 2.162s
[2021-12-22 17:39:50.262388] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 2.032s
[2021-12-22 17:39:52.385026] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 2.120s
[2021-12-22 17:39:54.218140] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.831s
[2021-12-22 17:39:56.142663] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.922s
[2021-12-22 17:39:58.186919] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 2.042s
[2021-12-22 17:40:00.112409] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.923s
[2021-12-22 17:40:08.742953] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 8.628s
[2021-12-22 17:40:17.839871] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 9.095s
[2021-12-22 17:40:26.779456] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 8.938s
[2021-12-22 17:40:35.572798] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 8.790s
[2021-12-22 17:40:44.030229] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 8.455s
[2021-12-22 17:40:53.755898] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 9.723s
[2021-12-22 17:41:02.954907] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 9.197s
[2021-12-22 17:41:08.754424] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 5.798s
[2021-12-22 17:41:15.074542] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 6.318s
[2021-12-22 17:41:21.649654] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 6.572s
[2021-12-22 17:41:28.230475] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 6.579s
[2021-12-22 17:41:34.893747] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 6.661s
[2021-12-22 17:41:41.135135] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 6.238s
[2021-12-22 17:41:46.888434] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 5.752s
[2021-12-22 17:42:19.542274] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 32.651s
[2021-12-22 17:42:51.738324] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 32.194s
[2021-12-22 17:43:23.126705] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 31.387s
[2021-12-22 17:43:56.240005] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 33.111s
[2021-12-22 17:44:28.527812] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 32.286s
[2021-12-22 17:44:58.229453] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 29.700s
[2021-12-22 17:45:28.574406] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 30.343s
[2021-12-22 17:45:59.074132] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 30.497s
[2021-12-22 17:46:30.174957] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 31.098s
[2021-12-22 17:47:03.373598] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 33.196s
[2021-12-22 17:47:36.739164] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 33.363s
[2021-12-22 17:48:09.000496] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 32.260s
[2021-12-22 17:48:41.404677] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 32.402s
[2021-12-22 17:49:11.574925] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 30.168s
[2021-12-22 17:49:44.292659] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 32.716s
[2021-12-22 17:50:19.479621] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 35.179s
[2021-12-22 17:50:53.366733] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 33.884s
[2021-12-22 17:51:24.494373] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 31.125s
[2021-12-22 17:51:56.859038] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 32.362s
[2021-12-22 17:52:37.475714] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 40.615s
[2021-12-22 17:53:21.323693] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 43.845s
[2021-12-22 17:53:21.753724] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.427s
[2021-12-22 17:53:25.421379] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 3.666s
[2021-12-22 17:53:33.264994] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 7.842s
[2021-12-22 17:53:36.208038] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 2.940s
[2021-12-22 17:53:36.611352] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.400s
[2021-12-22 17:53:46.534012] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 9.920s
[2021-12-22 17:53:50.789563] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 4.254s
[2021-12-22 17:53:54.443700] INFO: derived_feature_extractor: /y_2016, 19694
[2021-12-22 17:53:57.256418] INFO: derived_feature_extractor: /y_2017, 743233
[2021-12-22 17:56:20.058058] INFO: derived_feature_extractor: /y_2018, 816987
[2021-12-22 17:56:47.729256] INFO: derived_feature_extractor: /y_2019, 884867
[2021-12-22 17:56:55.965769] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[1078.958328s].
[2021-12-22 17:56:55.978510] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 17:57:00.781108] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.056s
[2021-12-22 17:57:01.835177] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.052s
[2021-12-22 17:57:02.816297] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.979s
[2021-12-22 17:57:03.806381] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.988s
[2021-12-22 17:57:04.809906] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.001s
[2021-12-22 17:57:05.812076] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.000s
[2021-12-22 17:57:06.851802] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.033s
[2021-12-22 17:57:07.873356] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.019s
[2021-12-22 17:57:08.804407] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.929s
[2021-12-22 17:57:09.717583] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.911s
[2021-12-22 17:57:10.729041] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.009s
[2021-12-22 17:57:11.767526] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.036s
[2021-12-22 17:57:12.857851] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.088s
[2021-12-22 17:57:13.884604] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.025s
[2021-12-22 17:57:14.951260] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.064s
[2021-12-22 17:57:15.989269] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.036s
[2021-12-22 17:57:16.912611] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.921s
[2021-12-22 17:57:17.835981] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.922s
[2021-12-22 17:57:18.821807] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.984s
[2021-12-22 17:57:19.825962] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.002s
[2021-12-22 17:57:20.828632] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.001s
[2021-12-22 17:57:21.905012] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.074s
[2021-12-22 17:57:22.945655] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.039s
[2021-12-22 17:57:24.127356] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.180s
[2021-12-22 17:57:25.038007] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.908s
[2021-12-22 17:57:25.942254] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.903s
[2021-12-22 17:57:26.845994] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.902s
[2021-12-22 17:57:27.774587] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.927s
[2021-12-22 17:57:31.675171] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 3.898s
[2021-12-22 17:57:35.220553] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 3.542s
[2021-12-22 17:57:38.661094] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 3.439s
[2021-12-22 17:57:42.283677] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 3.620s
[2021-12-22 17:57:45.827410] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 3.541s
[2021-12-22 17:57:49.339449] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 3.510s
[2021-12-22 17:57:52.880353] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 3.539s
[2021-12-22 17:57:55.342161] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 2.459s
[2021-12-22 17:57:57.782595] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 2.439s
[2021-12-22 17:58:00.213098] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 2.428s
[2021-12-22 17:58:02.697204] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 2.482s
[2021-12-22 17:58:05.115241] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 2.416s
[2021-12-22 17:58:07.462638] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 2.345s
[2021-12-22 17:58:09.850673] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 2.386s
[2021-12-22 17:58:44.147806] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 34.296s
[2021-12-22 17:59:16.941462] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 32.792s
[2021-12-22 17:59:50.347460] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 33.404s
[2021-12-22 18:00:24.454603] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 34.106s
[2021-12-22 18:00:58.054460] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 33.598s
[2021-12-22 18:01:29.509154] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 31.453s
[2021-12-22 18:02:02.378629] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 32.868s
[2021-12-22 18:02:35.281248] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 32.900s
[2021-12-22 18:03:09.514307] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 34.231s
[2021-12-22 18:03:43.498388] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 33.982s
[2021-12-22 18:04:22.023446] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 38.522s
[2021-12-22 18:05:02.309423] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 40.284s
[2021-12-22 18:05:43.108962] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 40.797s
[2021-12-22 18:06:23.571042] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 40.460s
[2021-12-22 18:07:02.225328] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 38.650s
[2021-12-22 18:07:42.316720] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 40.089s
[2021-12-22 18:08:21.011222] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 38.693s
[2021-12-22 18:08:57.316314] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 36.302s
[2021-12-22 18:09:36.527142] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 39.207s
[2021-12-22 18:10:13.677202] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 37.148s
[2021-12-22 18:10:49.240132] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 35.558s
[2021-12-22 18:10:49.403329] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.161s
[2021-12-22 18:10:49.560748] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.155s
[2021-12-22 18:10:49.719029] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.156s
[2021-12-22 18:10:49.893246] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.160s
[2021-12-22 18:10:50.059187] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.157s
[2021-12-22 18:10:50.223555] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.162s
[2021-12-22 18:10:50.384763] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.158s
[2021-12-22 18:13:59.121008] INFO: derived_feature_extractor: /y_2019, 26163
[2021-12-22 18:14:02.843946] INFO: derived_feature_extractor: /y_2020, 945961
[2021-12-22 18:14:32.490742] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[1056.512243s].
[2021-12-22 18:14:42.189094] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[9.661008s].
[2021-12-22 18:14:42.205848] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 18:14:43.391122] INFO: A股股票过滤: 过滤 /y_2016, 1495/0/5544
[2021-12-22 18:15:48.056085] INFO: A股股票过滤: 过滤 /y_2017, 184474/0/739540
[2021-12-22 18:18:06.176466] INFO: A股股票过滤: 过滤 /y_2018, 185868/0/816195
[2021-12-22 18:18:22.523327] INFO: A股股票过滤: 过滤 /y_2019, 194687/0/883456
[2021-12-22 18:18:22.534991] INFO: A股股票过滤: 过滤完成, 566524 + 0
[2021-12-22 18:18:22.592313] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[220.386461s].
[2021-12-22 18:18:22.604844] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 18:18:23.215833] INFO: A股股票过滤: 过滤 /y_2019, 1596/0/7447
[2021-12-22 18:18:35.702178] INFO: A股股票过滤: 过滤 /y_2020, 193952/0/943266
[2021-12-22 18:18:35.708083] INFO: A股股票过滤: 过滤完成, 195548 + 0
[2021-12-22 18:18:35.739627] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[13.134742s].
[2021-12-22 18:18:44.703144] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[8.955112s].
[2021-12-22 18:18:44.717993] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 18:20:54.093060] INFO: moduleinvoker: standardlize.v8 运行完成[129.375035s].
[2021-12-22 18:20:54.114782] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 18:21:42.556663] INFO: moduleinvoker: standardlize.v8 运行完成[48.441902s].
[2021-12-22 18:21:42.580227] INFO: moduleinvoker: dl_layer_maxpooling1d.v1 运行完成[0.013536s].
[2021-12-22 18:21:42.589633] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 18:25:07.825959] INFO: moduleinvoker: winsorize.v6 运行完成[205.23632s].
[2021-12-22 18:25:07.835604] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 18:26:21.248308] INFO: moduleinvoker: winsorize.v6 运行完成[73.41273s].
[2021-12-22 18:26:21.306466] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.050738s].
[2021-12-22 18:26:21.321787] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 18:26:29.067914] INFO: moduleinvoker: fillnan.v1 运行完成[7.746112s].
[2021-12-22 18:26:29.082270] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 18:26:31.959049] INFO: moduleinvoker: fillnan.v1 运行完成[2.876791s].
[2021-12-22 18:26:31.993056] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.024381s].
[2021-12-22 18:26:32.004170] INFO: moduleinvoker: join.v3 开始运行..
[2021-12-22 18:26:47.582507] INFO: join: /data, 行数=560244/566524, 耗时=10.0996s
[2021-12-22 18:26:47.690521] INFO: join: 最终行数: 560244
[2021-12-22 18:26:47.714961] INFO: moduleinvoker: join.v3 运行完成[15.710796s].
[2021-12-22 18:26:47.734131] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 18:26:49.327949] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[1.593815s].
[2021-12-22 18:26:49.356395] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.020861s].
[2021-12-22 18:26:49.381379] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 18:26:55.169227] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[5.787841s].
[2021-12-22 18:26:55.202444] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.024638s].
[2021-12-22 18:26:55.220357] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 18:26:57.598903] INFO: moduleinvoker: cached.v3 运行完成[2.378531s].
[2021-12-22 18:26:57.636254] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.022283s].
[2021-12-22 18:26:57.663932] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.021223s].
[2021-12-22 18:26:57.719531] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.043841s].
[2021-12-22 18:26:57.747916] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.018622s].
[2021-12-22 18:26:57.760480] INFO: moduleinvoker: dl_layer_add.v1 运行完成[0.006334s].
[2021-12-22 18:26:57.781237] INFO: moduleinvoker: dl_layer_globalmaxpooling1d.v1 运行完成[0.010071s].
[2021-12-22 18:26:57.797794] INFO: moduleinvoker: dl_layer_dropout.v1 运行完成[0.007486s].
[2021-12-22 18:26:57.827681] INFO: moduleinvoker: dl_layer_dense.v1 运行完成[0.018685s].
[2021-12-22 18:26:57.931199] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 18:26:57.944166] INFO: moduleinvoker: 命中缓存
[2021-12-22 18:26:57.946079] INFO: moduleinvoker: cached.v3 运行完成[0.01488s].
[2021-12-22 18:26:57.949521] INFO: moduleinvoker: dl_model_init.v1 运行完成[0.113383s].
[2021-12-22 18:26:57.954252] INFO: moduleinvoker: dl_model_train.v1 开始运行..
[2021-12-22 18:26:59.037015] INFO: dl_model_train: 准备训练，训练样本个数：448195，迭代次数：10000
[2021-12-22 18:30:11.495388] INFO: dl_model_train: 训练结束，耗时：192.46s
[2021-12-22 18:30:11.546434] INFO: moduleinvoker: dl_model_train.v1 运行完成[193.592183s].
[2021-12-22 18:30:11.551491] INFO: moduleinvoker: dl_model_predict.v1 开始运行..
[2021-12-22 18:30:15.188601] INFO: moduleinvoker: dl_model_predict.v1 运行完成[3.637095s].
[2021-12-22 18:30:15.215763] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 18:30:17.094828] INFO: moduleinvoker: cached.v3 运行完成[1.879072s].
[2021-12-22 18:30:17.192914] INFO: moduleinvoker: backtest.v8 开始运行..
[2021-12-22 18:30:17.201730] INFO: backtest: biglearning backtest:V8.6.0
[2021-12-22 18:30:17.204027] INFO: backtest: product_type:stock by specified
[2021-12-22 18:30:17.324129] INFO: moduleinvoker: cached.v2 开始运行..
[2021-12-22 18:30:23.580404] INFO: backtest: 读取股票行情完成:1989616
[2021-12-22 18:30:28.671713] INFO: moduleinvoker: cached.v2 运行完成[11.347619s].
[2021-12-22 18:30:31.141388] INFO: algo: TradingAlgorithm V1.8.6
[2021-12-22 18:30:32.087368] INFO: algo: trading transform...
[2021-12-22 18:30:49.853751] INFO: Performance: Simulated 243 trading days out of 243.
[2021-12-22 18:30:49.855585] INFO: Performance: first open: 2020-01-02 09:30:00+00:00
[2021-12-22 18:30:49.857228] INFO: Performance: last close: 2020-12-31 15:00:00+00:00
[2021-12-22 18:30:58.032147] INFO: moduleinvoker: backtest.v8 运行完成[40.839354s].
[2021-12-22 18:30:58.037482] INFO: moduleinvoker: trade.v4 运行完成[40.930281s].
[2021-12-22 18:30:58.040794] INFO: AI: [ParallelEx(n_jobs=1)]: Done 7 out of 7 | elapsed: 317.6min remaining: 0.0s
[2021-12-22 18:30:58.064114] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 18:30:58.095733] INFO: moduleinvoker: 命中缓存
[2021-12-22 18:30:58.099977] INFO: moduleinvoker: instruments.v2 运行完成[0.035888s].
[2021-12-22 18:30:58.124910] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-12-22 18:30:58.136714] INFO: moduleinvoker: 命中缓存
[2021-12-22 18:30:58.140410] INFO: moduleinvoker: input_features.v1 运行完成[0.015511s].
[2021-12-22 18:30:58.148231] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-12-22 18:30:58.159964] INFO: moduleinvoker: 命中缓存
[2021-12-22 18:30:58.163208] INFO: moduleinvoker: instruments.v2 运行完成[0.014984s].
[2021-12-22 18:30:58.185124] INFO: moduleinvoker: dl_layer_input.v1 运行完成[0.002168s].
[2021-12-22 18:30:58.241017] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
[2021-12-22 18:30:58.256027] INFO: moduleinvoker: 命中缓存
[2021-12-22 18:30:58.259011] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.018009s].
[2021-12-22 18:30:58.317163] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 18:30:58.328807] INFO: moduleinvoker: 命中缓存
[2021-12-22 18:30:58.331534] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.014405s].
[2021-12-22 18:30:58.350987] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-12-22 18:30:58.362477] INFO: moduleinvoker: 命中缓存
[2021-12-22 18:30:58.365138] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.014183s].
[2021-12-22 18:30:58.442373] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.048184s].
[2021-12-22 18:30:58.448499] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 18:30:58.457645] INFO: moduleinvoker: 命中缓存
[2021-12-22 18:30:58.459823] INFO: moduleinvoker: standardlize.v8 运行完成[0.011326s].
[2021-12-22 18:30:58.485239] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 18:31:13.286085] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 2.450s
[2021-12-22 18:31:15.573777] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 2.285s
[2021-12-22 18:31:18.141549] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 2.565s
[2021-12-22 18:31:20.417389] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 2.274s
[2021-12-22 18:31:22.867904] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 2.447s
[2021-12-22 18:31:25.287029] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 2.417s
[2021-12-22 18:31:38.387279] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 13.097s
[2021-12-22 18:31:56.398559] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 18.009s
[2021-12-22 18:32:06.581789] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 10.180s
[2021-12-22 18:32:14.914208] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 8.329s
[2021-12-22 18:32:22.514543] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 7.597s
[2021-12-22 18:32:30.255219] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 7.738s
[2021-12-22 18:32:42.459636] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 12.202s
[2021-12-22 18:32:59.786937] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 17.326s
[2021-12-22 18:33:11.597181] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 11.808s
[2021-12-22 18:33:14.077385] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 2.478s
[2021-12-22 18:33:16.413393] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 2.333s
[2021-12-22 18:33:18.826003] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 2.410s
[2021-12-22 18:33:21.083900] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 2.256s
[2021-12-22 18:33:23.459356] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 2.372s
[2021-12-22 18:33:25.666536] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 2.206s
[2021-12-22 18:33:27.981958] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 2.313s
[2021-12-22 18:33:30.463556] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 2.478s
[2021-12-22 18:33:32.779781] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 2.314s
[2021-12-22 18:33:35.274515] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 2.492s
[2021-12-22 18:33:37.548407] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 2.272s
[2021-12-22 18:33:40.001739] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 2.451s
[2021-12-22 18:33:42.327805] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 2.324s
[2021-12-22 18:33:54.553866] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 12.223s
[2021-12-22 18:34:07.036461] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 12.480s
[2021-12-22 18:34:19.004559] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 11.966s
[2021-12-22 18:34:30.772106] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 11.765s
[2021-12-22 18:34:41.183239] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 10.408s
[2021-12-22 18:34:51.344854] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 10.159s
[2021-12-22 18:35:01.235477] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 9.889s
[2021-12-22 18:35:08.101637] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 6.864s
[2021-12-22 18:35:15.236905] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 7.133s
[2021-12-22 18:35:21.765031] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 6.526s
[2021-12-22 18:35:29.061522] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 7.294s
[2021-12-22 18:35:36.620706] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 7.557s
[2021-12-22 18:35:44.501273] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 7.878s
[2021-12-22 18:35:51.861197] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 7.356s
[2021-12-22 18:36:37.359457] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 45.496s
[2021-12-22 18:37:21.463652] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 44.102s
[2021-12-22 18:38:04.275463] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 42.807s
[2021-12-22 18:38:45.636513] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 41.359s
[2021-12-22 18:39:27.854151] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 42.216s
[2021-12-22 18:40:06.741527] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 38.886s
[2021-12-22 18:40:46.520500] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 39.777s
[2021-12-22 18:41:26.433593] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 39.911s
[2021-12-22 18:42:05.864353] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 39.429s
[2021-12-22 18:42:46.300085] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 40.434s
[2021-12-22 18:43:23.579278] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 37.276s
[2021-12-22 18:44:00.758554] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 37.176s
[2021-12-22 18:44:42.316985] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 41.555s
[2021-12-22 18:45:17.772156] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 35.449s
[2021-12-22 18:45:51.269108] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 33.494s
[2021-12-22 18:46:22.982519] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 31.711s
[2021-12-22 18:46:55.861375] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 32.876s
[2021-12-22 18:47:26.564791] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 30.699s
[2021-12-22 18:47:58.428478] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 31.859s
[2021-12-22 18:48:30.910064] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 32.480s
[2021-12-22 18:49:04.368759] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 33.457s
[2021-12-22 18:49:04.739466] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.368s
[2021-12-22 18:49:05.104681] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.363s
[2021-12-22 18:49:05.456714] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.350s
[2021-12-22 18:49:05.803093] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.345s
[2021-12-22 18:49:06.162505] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.357s
[2021-12-22 18:49:06.536087] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.369s
[2021-12-22 18:49:06.942014] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.404s
[2021-12-22 18:49:10.335333] INFO: derived_feature_extractor: /y_2017, 19477
[2021-12-22 18:49:13.137697] INFO: derived_feature_extractor: /y_2018, 816987
[2021-12-22 18:49:26.453703] INFO: derived_feature_extractor: /y_2019, 884867
[2021-12-22 18:49:37.194813] INFO: derived_feature_extractor: /y_2020, 945961
[2021-12-22 18:49:47.234889] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[1128.749658s].
[2021-12-22 18:49:47.245643] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-12-22 18:49:51.157787] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.743s
[2021-12-22 18:49:51.937389] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.778s
[2021-12-22 18:49:52.744450] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.805s
[2021-12-22 18:49:53.531286] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.785s
[2021-12-22 18:49:54.310149] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.777s
[2021-12-22 18:49:55.095566] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.784s
[2021-12-22 18:49:55.854213] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.757s
[2021-12-22 18:49:56.664510] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.809s
[2021-12-22 18:49:57.437609] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.769s
[2021-12-22 18:49:58.259903] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.821s
[2021-12-22 18:49:59.060772] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.799s
[2021-12-22 18:49:59.939430] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.875s
[2021-12-22 18:50:00.759851] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.819s
[2021-12-22 18:50:01.589989] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.828s
[2021-12-22 18:50:02.481462] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.890s
[2021-12-22 18:50:03.323062] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.837s
[2021-12-22 18:50:04.108420] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.784s
[2021-12-22 18:50:04.930357] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.820s
[2021-12-22 18:50:05.680388] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.748s
[2021-12-22 18:50:06.481357] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.799s
[2021-12-22 18:50:07.283840] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.800s
[2021-12-22 18:50:08.085581] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.800s
[2021-12-22 18:50:08.860740] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.773s
[2021-12-22 18:50:09.624956] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.761s
[2021-12-22 18:50:10.395895] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.769s
[2021-12-22 18:50:11.299284] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.900s
[2021-12-22 18:50:12.103435] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.802s
[2021-12-22 18:50:12.917088] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.812s
[2021-12-22 18:50:16.201229] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 3.282s
[2021-12-22 18:50:19.089779] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 2.886s
[2021-12-22 18:50:22.433126] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 3.341s
[2021-12-22 18:50:25.351944] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 2.917s
[2021-12-22 18:50:27.983123] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 2.630s
[2021-12-22 18:50:30.651748] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 2.667s
[2021-12-22 18:50:33.375107] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 2.722s
[2021-12-22 18:50:35.389596] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 2.013s
[2021-12-22 18:50:37.497586] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 2.106s
[2021-12-22 18:50:39.462255] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 1.963s
[2021-12-22 18:50:41.799696] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 2.336s
[2021-12-22 18:50:43.975069] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 2.174s
[2021-12-22 18:50:45.946831] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 1.970s
[2021-12-22 18:50:48.107461] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 2.159s
[2021-12-22 18:51:25.607389] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 37.498s
[2021-12-22 18:51:59.780180] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 34.171s
[2021-12-22 18:52:34.538757] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 34.757s
[2021-12-22 18:53:12.070794] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 37.530s
[2021-12-22 18:53:44.778840] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 32.706s
[2021-12-22 18:54:19.958524] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 35.178s
[2021-12-22 18:54:54.309865] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 34.350s
[2021-12-22 18:55:28.783007] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 34.471s
[2021-12-22 18:56:08.233915] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 39.447s
[2021-12-22 18:56:45.042832] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 36.807s
[2021-12-22 18:57:22.446944] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 37.402s
[2021-12-22 18:58:00.519132] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 38.070s
[2021-12-22 18:58:32.843039] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 32.322s
[2021-12-22 18:59:05.053992] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 32.209s
[2021-12-22 18:59:37.185826] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 32.130s
[2021-12-22 19:00:13.302453] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 36.115s
[2021-12-22 19:00:46.433413] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 33.128s
[2021-12-22 19:01:18.290977] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 31.856s
[2021-12-22 19:01:50.824089] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 32.531s
[2021-12-22 19:02:22.507794] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 31.681s
[2021-12-22 19:02:53.771698] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 31.262s
[2021-12-22 19:02:53.882909] INFO: derived_feature_extractor: 提取完成 delta(close_0, 5), 0.110s
[2021-12-22 19:02:53.996840] INFO: derived_feature_extractor: 提取完成 delta(low_0, 5), 0.112s
[2021-12-22 19:02:54.112225] INFO: derived_feature_extractor: 提取完成 delta(open_0, 5), 0.113s
[2021-12-22 19:02:54.225607] INFO: derived_feature_extractor: 提取完成 delta(high_0, 5), 0.111s
[2021-12-22 19:02:54.340515] INFO: derived_feature_extractor: 提取完成 delta(turn_0, 5), 0.113s
[2021-12-22 19:02:54.455920] INFO: derived_feature_extractor: 提取完成 delta(amount_0, 5), 0.113s
[2021-12-22 19:02:54.567067] INFO: derived_feature_extractor: 提取完成 delta(return_0, 5), 0.109s
[2021-12-22 19:02:55.578471] INFO: derived_feature_extractor: /y_2020, 32852
[2021-12-22 19:02:58.002052] INFO: derived_feature_extractor: /y_2021, 853965
[2021-12-22 19:03:04.221691] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[796.976087s].
[2021-12-22 19:03:11.353060] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[7.118937s].
[2021-12-22 19:03:11.363651] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 19:03:11.786639] INFO: A股股票过滤: 过滤 /y_2017, 749/0/3203
[2021-12-22 19:03:20.927757] INFO: A股股票过滤: 过滤 /y_2018, 185667/0/815181
[2021-12-22 19:03:30.987147] INFO: A股股票过滤: 过滤 /y_2019, 194676/0/883424
[2021-12-22 19:03:42.708556] INFO: A股股票过滤: 过滤 /y_2020, 193962/0/943362
[2021-12-22 19:03:42.719140] INFO: A股股票过滤: 过滤完成, 575054 + 0
[2021-12-22 19:03:42.750318] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[31.386653s].
[2021-12-22 19:03:42.763263] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-12-22 19:03:43.344911] INFO: A股股票过滤: 过滤 /y_2020, 2390/0/12257
[2021-12-22 19:03:53.058236] INFO: A股股票过滤: 过滤 /y_2021, 158052/0/851150
[2021-12-22 19:03:53.066957] INFO: A股股票过滤: 过滤完成, 160442 + 0
[2021-12-22 19:03:53.096439] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[10.333163s].
[2021-12-22 19:04:11.360467] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[18.253511s].
[2021-12-22 19:04:11.366890] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 19:06:01.100222] INFO: moduleinvoker: standardlize.v8 运行完成[109.733324s].
[2021-12-22 19:06:01.107017] INFO: moduleinvoker: standardlize.v8 开始运行..
[2021-12-22 19:06:28.381753] INFO: moduleinvoker: standardlize.v8 运行完成[27.27471s].
[2021-12-22 19:06:28.403541] INFO: moduleinvoker: dl_layer_maxpooling1d.v1 运行完成[0.012968s].
[2021-12-22 19:06:28.410798] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 19:09:14.815919] INFO: moduleinvoker: winsorize.v6 运行完成[166.405346s].
[2021-12-22 19:09:14.824091] INFO: moduleinvoker: winsorize.v6 开始运行..
[2021-12-22 19:09:58.811506] INFO: moduleinvoker: winsorize.v6 运行完成[43.987418s].
[2021-12-22 19:09:58.856688] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.034569s].
[2021-12-22 19:09:58.867797] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 19:10:27.443911] INFO: moduleinvoker: fillnan.v1 运行完成[28.576104s].
[2021-12-22 19:10:27.457485] INFO: moduleinvoker: fillnan.v1 开始运行..
[2021-12-22 19:10:29.905621] INFO: moduleinvoker: fillnan.v1 运行完成[2.448154s].
[2021-12-22 19:10:29.951085] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.035968s].
[2021-12-22 19:10:29.963263] INFO: moduleinvoker: join.v3 开始运行..
[2021-12-22 19:11:02.458202] INFO: join: /data, 行数=569214/575054, 耗时=27.767795s
[2021-12-22 19:11:02.581398] INFO: join: 最终行数: 569214
[2021-12-22 19:11:02.691075] INFO: moduleinvoker: join.v3 运行完成[32.727801s].
[2021-12-22 19:11:02.712630] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 19:11:04.458808] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[1.746244s].
[2021-12-22 19:11:04.505764] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.037755s].
[2021-12-22 19:11:04.525594] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..
[2021-12-22 19:11:10.450897] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[5.925331s].
[2021-12-22 19:11:10.488385] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.028408s].
[2021-12-22 19:11:10.508013] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 19:11:13.049386] INFO: moduleinvoker: cached.v3 运行完成[2.54139s].
[2021-12-22 19:11:13.087906] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.020606s].
[2021-12-22 19:11:13.121122] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.025422s].
[2021-12-22 19:11:13.155353] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.027064s].
[2021-12-22 19:11:13.194078] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.028496s].
[2021-12-22 19:11:13.210080] INFO: moduleinvoker: dl_layer_add.v1 运行完成[0.007351s].
[2021-12-22 19:11:13.224590] INFO: moduleinvoker: dl_layer_globalmaxpooling1d.v1 运行完成[0.00688s].
[2021-12-22 19:11:13.240155] INFO: moduleinvoker: dl_layer_dropout.v1 运行完成[0.004861s].
[2021-12-22 19:11:13.261623] INFO: moduleinvoker: dl_layer_dense.v1 运行完成[0.012995s].
[2021-12-22 19:11:13.343272] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 19:11:13.356008] INFO: moduleinvoker: 命中缓存
[2021-12-22 19:11:13.358173] INFO: moduleinvoker: cached.v3 运行完成[0.014935s].
[2021-12-22 19:11:13.360531] INFO: moduleinvoker: dl_model_init.v1 运行完成[0.092552s].
[2021-12-22 19:11:13.365420] INFO: moduleinvoker: dl_model_train.v1 开始运行..
[2021-12-22 19:11:15.102474] INFO: dl_model_train: 准备训练，训练样本个数：455371，迭代次数：10000
[2021-12-22 19:14:24.641618] INFO: dl_model_train: 训练结束，耗时：189.54s
[2021-12-22 19:14:24.748303] INFO: moduleinvoker: dl_model_train.v1 运行完成[191.382886s].
[2021-12-22 19:14:24.758707] INFO: moduleinvoker: dl_model_predict.v1 开始运行..
[2021-12-22 19:14:27.694395] INFO: moduleinvoker: dl_model_predict.v1 运行完成[2.935712s].
[2021-12-22 19:14:27.715089] INFO: moduleinvoker: cached.v3 开始运行..
[2021-12-22 19:14:29.409886] INFO: moduleinvoker: cached.v3 运行完成[1.694815s].
[2021-12-22 19:14:29.496457] INFO: moduleinvoker: backtest.v8 开始运行..
[2021-12-22 19:14:29.501402] INFO: backtest: biglearning backtest:V8.6.0
[2021-12-22 19:14:29.502540] INFO: backtest: product_type:stock by specified
[2021-12-22 19:14:29.602606] INFO: moduleinvoker: cached.v2 开始运行..
[2021-12-22 19:14:41.694999] INFO: backtest: 读取股票行情完成:1938397
import empyrical
def get_stats(returns, benchmark_period_return):
return_ratio = empyrical.cum_returns_final(returns)
annual_return_ratio = empyrical.annual_return(returns)
sharp_ratio = empyrical.sharpe_ratio(returns,0.035/252)
return_volatility = empyrical.annual_volatility(returns)
max_drawdown = empyrical.max_drawdown(returns)
benchmark_returns = (benchmark_period_return+1)/(benchmark_period_return+1).shift(1)-1
alpha, beta =empyrical.alpha_beta_aligned(returns, benchmark_returns)
return {
'return_ratio': return_ratio,
'annual_return_ratio': annual_return_ratio,
'beta': beta,
'alpha': alpha,
'sharp_ratio': sharp_ratio,
'return_volatility': return_volatility,
'max_drawdown': max_drawdown,
}
df = pd.DataFrame()
for i in range(len(m12.result)):
tmp = m12.result[i]['m19'].raw_perf.read()
train_loss = m12.result[i]['m35'].data.read()["history"]["loss"]
val_loss = m12.result[i]['m35'].data.read()["history"]["val_loss"]
train_acc = m12.result[i]['m35'].data.read()["history"]["mse"]
val_acc = m12.result[i]['m35'].data.read()["history"]["val_mse"]
T.plot(pd.DataFrame({'train':train_loss,'validation':val_loss}), title ='LOSS')
T.plot(pd.DataFrame({'train':train_acc,'validation':val_acc}), title ='MSE')
m12.result[i]['m19'].display()
df = df.append(tmp[['returns','benchmark_period_return']])
result=get_stats(df['returns'], df['benchmark_period_return'])
T.plot((df['returns']+1).cumprod())
print(result)