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# 本代码由可视化策略环境自动生成 2023年2月27日 11:39
# 本代码单元只能在可视化模式下编辑。您也可以拷贝代码，粘贴到新建的代码单元或者策略，然后修改。


m1 = M.instruments.v2(
    start_date='2020-01-01',
    end_date='2022-12-31',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m2 = M.input_features.v1(
    features="""
# #号开始的表示注释，注释需单独一行
# 多个特征，每行一个，可以包含基础特征和衍生特征，特征须为本平台特征
return_5
return_10
return_20
avg_amount_0/avg_amount_5
avg_amount_5/avg_amount_20
rank_avg_amount_0/rank_avg_amount_5
rank_avg_amount_5/rank_avg_amount_10
rank_return_0
rank_return_5
rank_return_10
rank_return_0/rank_return_5
rank_return_5/rank_return_10
pe_ttm_0
"""
)

m3 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m2.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m4 = M.derived_feature_extractor.v3(
    input_data=m3.data,
    features=m2.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
    user_functions={}
)

m5 = M.genetic_algorithm.v1(
    instruments=m1.data,
    feature_datas=m4.data,
    market='CN_STOCK_A',
    freq='daily',
    all_start_date='',
    all_end_date='',
    short_date_range_ratio=0.7,
    return_field='open',
    rebalance_period=1,
    train_test_ratio=0.75,
    train_validate_ratio=0.75,
    mtime=1,
    init_ind_num=10,
    ngen=3,
    fitness_func='icir',
    train_fitness=0.16,
    test_fitness=0.1,
    ir_type='ir',
    cxpb=1,
    mutpb=0.3,
    mutspb=0.3,
    mutnrpb=0.3,
    constant='1,11',
    pool_processes_limit=1,
    plot=True,
    logs=True
)

[2023-02-27 10:17:56.138435] INFO: moduleinvoker: instruments.v2 开始运行..

[2023-02-27 10:17:56.153737] INFO: moduleinvoker: 命中缓存

[2023-02-27 10:17:56.155820] INFO: moduleinvoker: instruments.v2 运行完成[0.017401s].

[2023-02-27 10:17:56.162827] INFO: moduleinvoker: input_features.v1 开始运行..

[2023-02-27 10:17:56.173083] INFO: moduleinvoker: 命中缓存

[2023-02-27 10:17:56.175981] INFO: moduleinvoker: input_features.v1 运行完成[0.013172s].

[2023-02-27 10:17:56.194786] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2023-02-27 10:17:57.259079] INFO: 基础特征抽取: 年份 2018, 特征行数=210561

[2023-02-27 10:18:00.122065] INFO: 基础特征抽取: 年份 2019, 特征行数=884867

[2023-02-27 10:18:03.077050] INFO: 基础特征抽取: 年份 2020, 特征行数=945961

[2023-02-27 10:18:06.246920] INFO: 基础特征抽取: 年份 2021, 特征行数=1061527

[2023-02-27 10:18:09.460515] INFO: 基础特征抽取: 年份 2022, 特征行数=1171038

[2023-02-27 10:18:09.633491] INFO: 基础特征抽取: 总行数: 4273954

[2023-02-27 10:18:09.645317] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[13.450529s].

[2023-02-27 10:18:09.656756] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2023-02-27 10:18:18.436849] INFO: derived_feature_extractor: 提取完成 avg_amount_0/avg_amount_5, 0.013s

[2023-02-27 10:18:18.451497] INFO: derived_feature_extractor: 提取完成 avg_amount_5/avg_amount_20, 0.012s

[2023-02-27 10:18:18.460217] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_0/rank_avg_amount_5, 0.007s

[2023-02-27 10:18:18.469655] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_5/rank_avg_amount_10, 0.007s

[2023-02-27 10:18:18.479640] INFO: derived_feature_extractor: 提取完成 rank_return_0/rank_return_5, 0.008s

[2023-02-27 10:18:18.487913] INFO: derived_feature_extractor: 提取完成 rank_return_5/rank_return_10, 0.006s

[2023-02-27 10:18:20.127506] INFO: derived_feature_extractor: /y_2018, 210561

[2023-02-27 10:18:21.868289] INFO: derived_feature_extractor: /y_2019, 884867

[2023-02-27 10:18:24.181111] INFO: derived_feature_extractor: /y_2020, 945961

[2023-02-27 10:18:26.749889] INFO: derived_feature_extractor: /y_2021, 1061527

[2023-02-27 10:18:29.769459] INFO: derived_feature_extractor: /y_2022, 1171038

[2023-02-27 10:18:30.860648] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[21.203878s].

[2023-02-27 10:18:32.388659] INFO: moduleinvoker: genetic_algorithm.v1 开始运行..

[2023-02-27 10:18:43.557989] INFO: 遗传规划: loading data from 2019-01-01 to 2021-10-19...

[2023-02-27 10:19:31.118966] INFO: 遗传规划: loaded data from 2019-01-01 to 2021-10-19 successfully

[2023-02-27 10:19:31.664083] INFO: 遗传规划: loading data from 2019-01-01 to 2022-12-31...

[2023-02-27 10:20:48.177837] INFO: 遗传规划: loaded data from 2019-01-01 to 2022-12-31 successfully

[2023-02-27 10:20:48.267232] INFO: 遗传规划: 初始化toolbox ...

[2023-02-27 10:20:48.278087] INFO: 遗传规划: == 开始第「1」次因子挖掘 ==

[2023-02-27 10:20:48.280480] INFO: 遗传规划: -- 开始第「1」次循环第「1」代挖掘 --

[2023-02-27 10:20:48.336162] ERROR: moduleinvoker: module name: genetic_algorithm, module version: v1, trackeback:   File "", line 1
    lambda avg_amount_0,avg_amount_20,avg_amount_5,pe_ttm_0,rank_avg_amount_0,rank_avg_amount_10,rank_avg_amount_5,rank_return_0,rank_return_10,rank_return_5,return_10,return_20,return_5,avg_amount_0/avg_amount_5,avg_amount_5/avg_amount_20,rank_avg_amount_0/rank_avg_amount_5,rank_avg_amount_5/rank_avg_amount_10,rank_return_0/rank_return_5,rank_return_5/rank_return_10,open: max(normalize(return_20), product(rank_avg_amount_0/rank_avg_amount_5, 1))
                                                                                                                                                                                                       ^
SyntaxError: invalid syntax

Traceback (most recent call last):

  File "/usr/local/python3/lib/python3.8/site-packages/IPython/core/interactiveshell.py", line 3427, in run_code
    exec(code_obj, self.user_global_ns, self.user_ns)

  File "<ipython-input-2-23f7cc2494c5>", line 51, in <module>
    m5 = M.genetic_algorithm.v1(

  File "module2/common/modulemanagerv2.py", line 88, in biglearning.module2.common.modulemanagerv2.BigQuantModuleVersion.__call__

  File "module2/common/moduleinvoker.py", line 331, in biglearning.module2.common.moduleinvoker.module_invoke

  File "module2/common/moduleinvoker.py", line 253, in biglearning.module2.common.moduleinvoker._invoke_with_cache

  File "module2/common/moduleinvoker.py", line 214, in biglearning.module2.common.moduleinvoker._invoke_with_cache

  File "module2/common/moduleinvoker.py", line 171, in biglearning.module2.common.moduleinvoker._module_run

  File "module2/modules/genetic_algorithm/v1/__init__.py", line 152, in biglearning.module2.modules.genetic_algorithm.v1.__init__.bigquant_run

  File "/usr/local/python3/lib/python3.8/site-packages/deap/gp.py", line 478, in compile
    return eval(code, pset.context, {})

  File "<string>", line 1
    lambda avg_amount_0,avg_amount_20,avg_amount_5,pe_ttm_0,rank_avg_amount_0,rank_avg_amount_10,rank_avg_amount_5,rank_return_0,rank_return_10,rank_return_5,return_10,return_20,return_5,avg_amount_0/avg_amount_5,avg_amount_5/avg_amount_20,rank_avg_amount_0/rank_avg_amount_5,rank_avg_amount_5/rank_avg_amount_10,rank_return_0/rank_return_5,rank_return_5/rank_return_10,open: max(normalize(return_20), product(rank_avg_amount_0/rank_avg_amount_5, 1))
                                                                                                                                                                                                       ^
SyntaxError: invalid syntax