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In [6]:
train_start_date = '2010-01-01'
train_end_date = '2020-01-01'

features = """

normalize(cut_outliers(return_5))

"""

t_ins_m = M.instruments.v2(
    start_date=train_start_date,
    end_date=train_end_date,
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

features_m = M.input_features.v1(features=features)

t_g_features_m = M.general_feature_extractor.v7(
    instruments=t_ins_m.data,
    features=features_m.data,
    start_date='',
    end_date='',
    before_start_days=0
)

t_d_features_m = M.derived_feature_extractor.v3(
    input_data=t_g_features_m.data,
    features=features_m.data,
    date_col='date',
    instrument_col='instrument'
)
In [7]:
t_d_features_m.data.read_df()[0:40]
Out[7]:
date instrument return_5 normalize(cut_outliers(return_5))
0 2010-01-04 000001.SZA 1.043574 NaN
1 2010-01-05 000001.SZA 1.033259 NaN
2 2010-01-06 000001.SZA 0.983677 NaN
3 2010-01-07 000001.SZA 0.960153 NaN
4 2010-01-08 000001.SZA 0.926609 NaN
5 2010-01-11 000001.SZA 0.927370 NaN
6 2010-01-12 000001.SZA 0.946858 NaN
7 2010-01-13 000001.SZA 0.899571 NaN
8 2010-01-14 000001.SZA 0.915721 NaN
9 2010-01-15 000001.SZA 0.946137 NaN
10 2010-01-18 000001.SZA 0.950000 NaN
11 2010-01-19 000001.SZA 0.983628 NaN
12 2010-01-20 000001.SZA 0.952339 NaN
13 2010-01-21 000001.SZA 1.082061 NaN
14 2010-01-22 000001.SZA 1.100620 NaN
15 2010-01-25 000001.SZA 1.035464 NaN
16 2010-01-26 000001.SZA 1.027014 NaN
17 2010-01-27 000001.SZA 0.985605 NaN
18 2010-01-28 000001.SZA 1.017306 NaN
19 2010-01-29 000001.SZA 0.956790 NaN
20 2010-02-01 000001.SZA 0.920277 NaN
21 2010-02-02 000001.SZA 0.963046 NaN
22 2010-02-03 000001.SZA 1.024036 NaN
23 2010-02-04 000001.SZA 1.013236 NaN
24 2010-02-05 000001.SZA 1.011494 NaN
25 2010-02-08 000001.SZA 0.993548 NaN
26 2010-02-09 000001.SZA 1.035782 NaN
27 2010-02-10 000001.SZA 1.042583 NaN
28 2010-02-11 000001.SZA 0.979185 NaN
29 2010-02-12 000001.SZA 1.011261 NaN
30 2010-02-22 000001.SZA 1.004545 NaN
31 2010-02-23 000001.SZA 0.999536 NaN
32 2010-02-24 000001.SZA 0.986818 NaN
33 2010-02-25 000001.SZA 0.994165 NaN
34 2010-02-26 000001.SZA 1.015378 NaN
35 2010-03-02 000001.SZA 1.029399 NaN
36 2010-03-03 000001.SZA 1.054299 NaN
37 2010-03-04 000001.SZA 1.071926 NaN
38 2010-03-05 000001.SZA 1.071856 NaN
39 2010-03-08 000001.SZA 1.076749 NaN