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    In [23]:
    # 本代码由可视化策略环境自动生成 2022年9月17日 09:55
# 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。


m3 = M.input_features.v1(
    features="""# #号开始的表示注释
# 多个特征，每行一个，可以包含基础特征和衍生特征
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
"""
)

m1 = M.instruments.v2(
    start_date='2021-01-01',
    end_date='2022-01-01',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

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

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

m5 = M.input_features.v1(
    features="""# #号开始的表示注释
# 多个特征，每行一个，可以包含基础特征和衍生特征
bar1d_index_CN_STOCK_A__close
return_5 = bar1d_index_CN_STOCK_A__close/shift(bar1d_index_CN_STOCK_A__close, 5) - 1
sig = where(return_5>0.04, 0, 1)"""
)

m6 = M.instruments.v2(
    start_date='2021-01-01',
    end_date='2022-01-01',
    market='CN_STOCK_A',
    instrument_list='000001.HIX',
    max_count=0
)

m7 = M.general_feature_extractor.v7(
    instruments=m6.data,
    features=m5.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m8 = M.derived_feature_extractor.v3(
    input_data=m7.data,
    features=m5.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False
)

m2 = M.join.v3(
    data1=m8.data,
    data2=m16.data,
    on='date',
    how='inner',
    sort=False
)

m10 = M.filter.v3(
    input_data=m2.data,
    expr='sig>0',
    output_left_data=False
)