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克隆策略

Transformer在量化选股中的应用研究¶

Transformer:Attention is all you need¶

The naive transformer implemented here for financial time series prediction follows the paper "Attention is all you need":

Given the input (N, T, F),

An embedding layer that maps the input (N, T, F) to representation (N, T, F’);
A positional encoding layer that adds the positional sigmoid;
An encoder that consists of several encoding layers, each of which uses a self-attention layer as the computing module (function of query, key, and value).
A decoder that consists of an MLP (or a Linear layer) that maps the representation of the last time (N, 1, F') into output (N, 1).

In [1]:

import torch
import torch.nn as nn

from bigmodels.models.base import BaseModel
from bigmodels.models.transformer import Transformer
from bigmodels.schedule import get_cosine_schedule_with_warmup

In [2]:

class Transformer(BaseModel):
    """ Transformer: Attention is all you need
    paper: https://arxiv.org/abs/1706.03762

    Args:
        input_dim: 输入特征的数量
        output_dim: 输出特征的数量
        max_seq: 训练序列的最大窗口数
        enbed_dim: Transformer的d_model
        nhead: 多头的数量，默认8
        num_layers: Transformer中Encoder的层数，默认为4
        dropout: 默认为0.1
    """

    def __init__(self,
                 input_dim=98,
                 output_dim=1,
                 max_seq=5,
                 embed_dim=128,
                 nhead=8,
                 num_layers=4,
                 dropout=0.1):
        super(Transformer, self).__init__()
        self.input_dim = input_dim
        self.output_dim = output_dim

        self.feature_layer = nn.Linear(input_dim, embed_dim)
        # self.feature_pos = nn.Embedding(max_seq, embed_dim)
        # update position encoder with Positional
        self.pos_encoder = PositionalEncoding(embed_dim)

        encoder_layer = nn.TransformerEncoderLayer(d_model=embed_dim, nhead=nhead, dropout=dropout)
        self.encoder = nn.TransformerEncoder(encoder_layer, num_layers=num_layers)

        self.avgpoll1d = nn.AdaptiveAvgPool1d(1)

        # TODO, FNN for Decoder
        self.out = nn.Linear(embed_dim, output_dim)
        self._reset_parameters()

    def _reset_parameters(self):
        r"""Initiate parameters in the model."""
        for p in self.parameters():
            if p.dim() > 1:
                nn.init.xavier_uniform_(p)

    def forward(self, x):
        x = self.feature_layer(x)

        # x = [bs, window, feature] -> [window, bs, feature]
        x = x.permute(1, 0, 2)

        x = self.pos_encoder(x)

        src_mask = None
        x = self.encoder(x, src_mask)
        x = x.permute(1, 0, 2)

        # x = self.avgpoll1d(x)
        # x = x.squeeze(-1)
        x = x[:, -1, :]

        x = self.out(x)
        return x.squeeze()
    
    def train_epoch(self, dataloader):
        model = self.train()
        optimizer = self.optimizer
        criterion = self.criterion

        losses = []
        for item in dataloader:
            feature = item[0].float().to(self.device)
            label = item[1].float().to(self.device)

            optimizer.zero_grad()
            output = model(feature)
            loss = criterion(output, label)

            loss.backward()
            # clip grade
            nn.utils.clip_grad_value_(self.parameters(), 3.0)  
            optimizer.step()
            for scheduler in self.schedulers:
                # transformer need warm up
                scheduler.step()

            losses.append(loss.item())

        return np.mean(losses)


class PositionalEncoding(nn.Module):
    def __init__(self, d_model, max_len=1000):
        super(PositionalEncoding, self).__init__()
        pe = torch.zeros(max_len, d_model)
        position = torch.arange(0, max_len, dtype=torch.float).unsqueeze(1)
        div_term = torch.exp(torch.arange(0, d_model, 2).float() * (-math.log(10000.0) / d_model))
        pe[:, 0::2] = torch.sin(position * div_term)
        pe[:, 1::2] = torch.cos(position * div_term)
        pe = pe.unsqueeze(0).transpose(0, 1)
        self.register_buffer("pe", pe)

    def forward(self, x):
        # [T, N, F]
        return x + self.pe[: x.size(0), :]

In [3]:

# 本代码由可视化策略环境自动生成 2022年5月5日 02:12
# 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 m33_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
    # train data
    train_data = input_1.read()
    x_train, x_val, y_train, y_val = train_test_split(train_data["x"], train_data['y'], test_size=0.1)
    # val data
    test_data = input_2.read()
    x_test = test_data["x"]
    
    model = Transformer(input_dim=98, embed_dim=128, nhead=8, num_layers=2, dropout=0.3)
    opt = torch.optim.Adam(model.parameters(), lr=1e-3)
    # transformer need warmup
    scheduler = get_cosine_schedule_with_warmup(optimizer=opt, num_warmup_steps=4000, num_training_steps=100000)
    loss = nn.MSELoss()
    device = torch.device("cuda:0" if torch.cuda.is_available() else "cpu")

    model.compile(optimizer=opt, loss=loss, device=device)
    model.fit(x_train, 
              y_train, 
              validation_data=(x_val, y_val), 
              batch_size=256, 
              epochs=10, 
              verbose=1,
              schedulers=[scheduler],
              num_workers=0)
    
    output = model.predict(x_test)
    
    data_1 = DataSource.write_pickle(output)
    return Outputs(data_1=data_1, 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 m33_post_run_bigquant_run(outputs):
    return outputs

# 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 m41_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[:], '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 m41_post_run_bigquant_run(outputs):
    return outputs

# 回测引擎：初始化函数，只执行一次
def m42_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=0.0013, 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 = 50
    # 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 = 0.2
    context.options['hold_days'] = 5

# 回测引擎：每日数据处理函数，每天执行一次
def m42_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 m42_prepare_bigquant_run(context):
    pass


g = T.Graph({

    'm22': 'M.instruments.v2',
    'm22.start_date': '2011-01-01',
    'm22.end_date': '2013-12-31',
    'm22.market': 'CN_STOCK_A',
    'm22.instrument_list': '',
    'm22.max_count': 0,

    'm23': 'M.advanced_auto_labeler.v2',
    'm23.instruments': T.Graph.OutputPort('m22.data'),
    'm23.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)
""",
    'm23.start_date': '',
    'm23.end_date': '',
    'm23.benchmark': '000300.SHA',
    'm23.drop_na_label': True,
    'm23.cast_label_int': False,

    'm1': 'M.standardlize.v8',
    'm1.input_1': T.Graph.OutputPort('m23.data'),
    'm1.columns_input': 'label',

    'm24': 'M.input_features.v1',
    'm24.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)""",

    'm27': 'M.general_feature_extractor.v7',
    'm27.instruments': T.Graph.OutputPort('m22.data'),
    'm27.features': T.Graph.OutputPort('m24.data'),
    'm27.start_date': '',
    'm27.end_date': '',
    'm27.before_start_days': 10,

    'm28': 'M.derived_feature_extractor.v3',
    'm28.input_data': T.Graph.OutputPort('m27.data'),
    'm28.features': T.Graph.OutputPort('m24.data'),
    'm28.date_col': 'date',
    'm28.instrument_col': 'instrument',
    'm28.drop_na': True,
    'm28.remove_extra_columns': False,

    'm34': 'M.standardlize.v8',
    'm34.input_1': T.Graph.OutputPort('m28.data'),
    'm34.input_2': T.Graph.OutputPort('m24.data'),
    'm34.columns_input': '[]',

    'm35': 'M.fillnan.v1',
    'm35.input_data': T.Graph.OutputPort('m34.data'),
    'm35.features': T.Graph.OutputPort('m24.data'),
    'm35.fill_value': '0.0',

    'm25': 'M.join.v3',
    'm25.data1': T.Graph.OutputPort('m1.data'),
    'm25.data2': T.Graph.OutputPort('m35.data'),
    'm25.on': 'date,instrument',
    'm25.how': 'inner',
    'm25.sort': True,

    'm2': 'M.dl_convert_to_bin.v2',
    'm2.input_data': T.Graph.OutputPort('m25.data'),
    'm2.features': T.Graph.OutputPort('m24.data'),
    'm2.window_size': 5,
    'm2.feature_clip': 3,
    'm2.flatten': False,
    'm2.window_along_col': 'instrument',

    'm26': 'M.instruments.v2',
    'm26.start_date': '2014-01-01',
    'm26.end_date': '2014-12-31',
    'm26.market': 'CN_STOCK_A',
    'm26.instrument_list': '',
    'm26.max_count': 0,

    'm29': 'M.general_feature_extractor.v7',
    'm29.instruments': T.Graph.OutputPort('m26.data'),
    'm29.features': T.Graph.OutputPort('m24.data'),
    'm29.start_date': '',
    'm29.end_date': '',
    'm29.before_start_days': 10,

    'm30': 'M.derived_feature_extractor.v3',
    'm30.input_data': T.Graph.OutputPort('m29.data'),
    'm30.features': T.Graph.OutputPort('m24.data'),
    'm30.date_col': 'date',
    'm30.instrument_col': 'instrument',
    'm30.drop_na': True,
    'm30.remove_extra_columns': False,

    'm37': 'M.standardlize.v8',
    'm37.input_1': T.Graph.OutputPort('m30.data'),
    'm37.input_2': T.Graph.OutputPort('m24.data'),
    'm37.columns_input': '[]',

    'm36': 'M.fillnan.v1',
    'm36.input_data': T.Graph.OutputPort('m37.data'),
    'm36.features': T.Graph.OutputPort('m24.data'),
    'm36.fill_value': '0.0',

    'm32': 'M.dl_convert_to_bin.v2',
    'm32.input_data': T.Graph.OutputPort('m36.data'),
    'm32.features': T.Graph.OutputPort('m24.data'),
    'm32.window_size': 5,
    'm32.feature_clip': 3,
    'm32.flatten': False,
    'm32.window_along_col': 'instrument',

    'm33': 'M.cached.v3',
    'm33.input_1': T.Graph.OutputPort('m2.data'),
    'm33.input_2': T.Graph.OutputPort('m32.data'),
    'm33.run': m33_run_bigquant_run,
    'm33.post_run': m33_post_run_bigquant_run,
    'm33.input_ports': '',
    'm33.params': '{}',
    'm33.output_ports': '',

    'm41': 'M.cached.v3',
    'm41.input_1': T.Graph.OutputPort('m33.data_1'),
    'm41.input_2': T.Graph.OutputPort('m30.data'),
    'm41.run': m41_run_bigquant_run,
    'm41.post_run': m41_post_run_bigquant_run,
    'm41.input_ports': '',
    'm41.params': '{}',
    'm41.output_ports': '',

    'm42': 'M.trade.v4',
    'm42.instruments': T.Graph.OutputPort('m26.data'),
    'm42.options_data': T.Graph.OutputPort('m41.data_1'),
    'm42.benchmark_ds': T.Graph.OutputPort('m41.data_3'),
    'm42.start_date': '',
    'm42.end_date': '',
    'm42.initialize': m42_initialize_bigquant_run,
    'm42.handle_data': m42_handle_data_bigquant_run,
    'm42.prepare': m42_prepare_bigquant_run,
    'm42.volume_limit': 0.025,
    'm42.order_price_field_buy': 'open',
    'm42.order_price_field_sell': 'close',
    'm42.capital_base': 1000000,
    'm42.auto_cancel_non_tradable_orders': True,
    'm42.data_frequency': 'daily',
    'm42.price_type': '后复权',
    'm42.product_type': '股票',
    'm42.plot_charts': True,
    'm42.backtest_only': False,
    'm42.benchmark': '000300.SHA',
})

# g.run({})


def m3_run_bigquant_run(bq_graph, inputs):
     
    test_years = ['2015', '2016','2017','2018','2019','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+'-08'+'-01'
#         else:
#             test_end_date  =  i+'-12'+'-31'
        test_end_date  =  i+'-12'+'-31'
        parameters = {'m22.start_date':train_start_date,
                      'm22.end_date':train_end_date,
                      'm26.start_date':test_start_date,
                      'm26.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=1, remote_run=False, silent=True)

    return results


m3 = M.hyper_run.v1(
    run=m3_run_bigquant_run,
    run_now=True,
    bq_graph=g
)

[2022-05-04 12:33:20.447719] INFO: AI: 开始并行运算, remote_run=False, workers=1 ..

[2022-05-04 12:33:20.459965] INFO: AI: [ParallelEx(n_jobs=1)]: Using backend SequentialBackend with 1 concurrent workers.

[2022-05-04 12:33:20.469980] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 12:33:20.500517] INFO: moduleinvoker: 命中缓存

[2022-05-04 12:33:20.503163] INFO: moduleinvoker: instruments.v2 运行完成[0.033252s].

[2022-05-04 12:33:20.510116] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-05-04 12:33:20.526333] INFO: moduleinvoker: 命中缓存

[2022-05-04 12:33:20.529174] INFO: moduleinvoker: input_features.v1 运行完成[0.019061s].

[2022-05-04 12:33:20.535670] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 12:33:20.550910] INFO: moduleinvoker: 命中缓存

[2022-05-04 12:33:20.553186] INFO: moduleinvoker: instruments.v2 运行完成[0.017538s].

[2022-05-04 12:33:20.568362] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-05-04 12:33:22.152512] INFO: 自动标注(股票): 加载历史数据: 1699791 行

[2022-05-04 12:33:22.154786] INFO: 自动标注(股票): 开始标注 ..

[2022-05-04 12:33:23.908872] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[3.340503s].

[2022-05-04 12:33:23.936654] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 12:33:24.865731] INFO: 基础特征抽取: 年份 2011, 特征行数=15438

[2022-05-04 12:33:26.926492] INFO: 基础特征抽取: 年份 2012, 特征行数=565675

[2022-05-04 12:33:29.334505] INFO: 基础特征抽取: 年份 2013, 特征行数=564168

[2022-05-04 12:33:32.414612] INFO: 基础特征抽取: 年份 2014, 特征行数=569948

[2022-05-04 12:33:32.559464] INFO: 基础特征抽取: 总行数: 1715229

[2022-05-04 12:33:32.568512] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[8.631863s].

[2022-05-04 12:33:32.597479] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 12:33:33.789755] INFO: 基础特征抽取: 年份 2014, 特征行数=18612

[2022-05-04 12:33:36.573744] INFO: 基础特征抽取: 年份 2015, 特征行数=569698

[2022-05-04 12:33:36.652563] INFO: 基础特征抽取: 总行数: 588310

[2022-05-04 12:33:36.661226] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[4.063755s].

[2022-05-04 12:33:36.675196] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 12:33:51.047127] INFO: moduleinvoker: standardlize.v8 运行完成[14.371926s].

[2022-05-04 12:33:51.062772] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 12:33:57.528026] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.226s

[2022-05-04 12:33:58.706827] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.177s

[2022-05-04 12:34:00.044158] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.335s

[2022-05-04 12:34:01.258882] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.213s

[2022-05-04 12:34:02.419676] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.159s

[2022-05-04 12:34:03.572650] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.151s

[2022-05-04 12:34:04.693054] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.119s

[2022-05-04 12:34:05.897859] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.203s

[2022-05-04 12:34:07.073676] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.174s

[2022-05-04 12:34:08.287349] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.212s

[2022-05-04 12:34:09.446465] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.157s

[2022-05-04 12:34:10.632362] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.184s

[2022-05-04 12:34:11.844251] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.210s

[2022-05-04 12:34:13.005123] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.159s

[2022-05-04 12:34:14.186425] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.179s

[2022-05-04 12:34:15.473134] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.285s

[2022-05-04 12:34:16.748563] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.274s

[2022-05-04 12:34:18.013911] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.264s

[2022-05-04 12:34:19.261815] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.246s

[2022-05-04 12:34:20.500164] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.235s

[2022-05-04 12:34:21.708689] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.207s

[2022-05-04 12:34:22.911826] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.201s

[2022-05-04 12:34:24.098436] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.185s

[2022-05-04 12:34:25.288132] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.188s

[2022-05-04 12:34:26.458309] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.169s

[2022-05-04 12:34:27.608617] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.149s

[2022-05-04 12:34:28.889633] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.279s

[2022-05-04 12:34:30.313849] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.422s

[2022-05-04 12:34:35.542249] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 5.226s

[2022-05-04 12:34:42.174124] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 6.630s

[2022-05-04 12:34:48.310847] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 6.135s

[2022-05-04 12:34:54.118571] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 5.806s

[2022-05-04 12:35:09.402535] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 15.282s

[2022-05-04 12:35:14.927991] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 5.524s

[2022-05-04 12:35:20.269697] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 5.340s

[2022-05-04 12:35:23.831330] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 3.560s

[2022-05-04 12:35:27.214739] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 3.382s

[2022-05-04 12:35:30.936164] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 3.720s

[2022-05-04 12:35:35.745698] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 4.808s

[2022-05-04 12:35:40.220689] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 4.473s

[2022-05-04 12:35:51.775359] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 11.553s

[2022-05-04 12:35:55.005437] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 3.228s

[2022-05-04 12:36:12.699040] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 17.692s

[2022-05-04 12:36:30.434377] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 17.732s

[2022-05-04 12:36:51.924363] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 21.488s

[2022-05-04 12:37:16.625392] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 24.695s

[2022-05-04 12:37:45.357181] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 28.729s

[2022-05-04 12:38:06.427608] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 21.068s

[2022-05-04 12:38:31.901474] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 25.472s

[2022-05-04 12:39:03.048692] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 31.145s

[2022-05-04 12:39:21.748356] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 18.698s

[2022-05-04 12:39:38.282504] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 16.532s

[2022-05-04 12:39:54.874699] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 16.590s

[2022-05-04 12:40:12.703586] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 17.827s

[2022-05-04 12:40:32.072510] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 19.367s

[2022-05-04 12:40:49.738480] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 17.664s

[2022-05-04 12:41:11.937154] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 22.197s

[2022-05-04 12:41:33.657149] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 21.718s

[2022-05-04 12:41:52.342814] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 18.684s

[2022-05-04 12:42:10.581454] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 18.237s

[2022-05-04 12:42:32.221943] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 21.639s

[2022-05-04 12:42:53.857704] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 21.634s

[2022-05-04 12:43:17.979339] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 24.120s

[2022-05-04 12:51:30.400758] INFO: derived_feature_extractor: /y_2011, 15438

[2022-05-04 12:51:32.062388] INFO: derived_feature_extractor: /y_2012, 565675

[2022-05-04 12:52:23.598133] INFO: derived_feature_extractor: /y_2013, 564168

[2022-05-04 12:54:01.867787] INFO: derived_feature_extractor: /y_2014, 569948

[2022-05-04 12:54:54.466473] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[1263.403654s].

[2022-05-04 12:54:54.480260] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 12:54:56.820713] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.471s

[2022-05-04 12:54:57.292627] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.470s

[2022-05-04 12:54:57.719801] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.425s

[2022-05-04 12:54:58.177263] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.456s

[2022-05-04 12:54:58.636062] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.457s

[2022-05-04 12:54:59.087493] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.450s

[2022-05-04 12:54:59.565009] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.476s

[2022-05-04 12:55:00.014051] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.447s

[2022-05-04 12:55:00.490274] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.475s

[2022-05-04 12:55:00.968240] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.476s

[2022-05-04 12:55:01.438433] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.469s

[2022-05-04 12:55:02.087474] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.645s

[2022-05-04 12:55:02.573212] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.484s

[2022-05-04 12:55:03.056674] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.481s

[2022-05-04 12:55:03.516744] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.459s

[2022-05-04 12:55:03.968376] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.450s

[2022-05-04 12:55:04.438494] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.468s

[2022-05-04 12:55:04.912556] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.473s

[2022-05-04 12:55:05.398663] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.485s

[2022-05-04 12:55:05.876411] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.476s

[2022-05-04 12:55:06.391653] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.513s

[2022-05-04 12:55:06.862001] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.469s

[2022-05-04 12:55:07.327777] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.464s

[2022-05-04 12:55:07.833986] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.505s

[2022-05-04 12:55:08.340981] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.505s

[2022-05-04 12:55:08.846596] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.504s

[2022-05-04 12:55:09.312861] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.465s

[2022-05-04 12:55:09.803702] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.489s

[2022-05-04 12:55:11.524316] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 1.719s

[2022-05-04 12:55:13.204851] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 1.679s

[2022-05-04 12:55:14.847966] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 1.641s

[2022-05-04 12:55:16.625580] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 1.776s

[2022-05-04 12:55:18.435903] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 1.809s

[2022-05-04 12:55:20.424091] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 1.987s

[2022-05-04 12:55:22.545691] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 2.120s

[2022-05-04 12:55:23.882543] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 1.335s

[2022-05-04 12:55:25.239103] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 1.355s

[2022-05-04 12:55:26.571805] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 1.331s

[2022-05-04 12:55:27.894409] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 1.320s

[2022-05-04 12:55:29.252244] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 1.356s

[2022-05-04 12:55:30.728193] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 1.474s

[2022-05-04 12:55:32.022356] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 1.292s

[2022-05-04 12:55:56.594453] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 24.571s

[2022-05-04 12:56:14.626654] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 18.031s

[2022-05-04 12:56:32.389031] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 17.760s

[2022-05-04 12:56:54.866775] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 22.476s

[2022-05-04 12:57:14.913231] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 20.045s

[2022-05-04 12:57:38.449243] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 23.533s

[2022-05-04 12:57:58.194753] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 19.744s

[2022-05-04 12:58:18.471797] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 20.275s

[2022-05-04 12:58:35.670749] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 17.193s

[2022-05-04 12:58:53.005724] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 17.333s

[2022-05-04 12:59:13.761365] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 20.754s

[2022-05-04 12:59:31.356027] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 17.592s

[2022-05-04 12:59:48.760663] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 17.403s

[2022-05-04 13:00:05.570219] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 16.808s

[2022-05-04 13:00:24.151950] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 18.580s

[2022-05-04 13:00:41.339937] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 17.186s

[2022-05-04 13:00:59.603046] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 18.262s

[2022-05-04 13:01:17.951313] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 18.347s

[2022-05-04 13:01:36.287803] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 18.335s

[2022-05-04 13:01:54.836368] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 18.547s

[2022-05-04 13:02:15.607685] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 20.769s

[2022-05-04 13:02:16.244634] INFO: derived_feature_extractor: /y_2014, 18612

[2022-05-04 13:02:17.949747] INFO: derived_feature_extractor: /y_2015, 569698

[2022-05-04 13:02:21.653389] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[447.173171s].

[2022-05-04 13:02:21.661691] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 13:32:37.584720] INFO: moduleinvoker: standardlize.v8 运行完成[1815.923005s].

[2022-05-04 13:32:37.593452] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 13:41:02.014683] INFO: moduleinvoker: standardlize.v8 运行完成[504.421191s].

[2022-05-04 13:41:02.043990] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 13:50:28.291595] INFO: moduleinvoker: fillnan.v1 运行完成[566.247618s].

[2022-05-04 13:50:28.320622] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 13:50:34.892455] INFO: moduleinvoker: fillnan.v1 运行完成[6.572555s].

[2022-05-04 13:50:34.909667] INFO: moduleinvoker: join.v3 开始运行..

[2022-05-04 13:51:07.444422] INFO: join: /data, 行数=1681358/1704237, 耗时=29.290537s

[2022-05-04 13:51:07.727495] INFO: join: 最终行数: 1681358

[2022-05-04 13:51:07.745333] INFO: moduleinvoker: join.v3 运行完成[32.835663s].

[2022-05-04 13:51:07.806093] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 13:51:50.134724] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[42.328652s].

[2022-05-04 13:51:50.153325] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 14:08:06.921471] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[976.768146s].

[2022-05-04 14:08:06.944035] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 14:24:16.895179] INFO: moduleinvoker: cached.v3 运行完成[969.951145s].

[2022-05-04 14:24:16.968128] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 14:24:22.576859] INFO: moduleinvoker: cached.v3 运行完成[5.608747s].

[2022-05-04 14:24:24.508574] INFO: moduleinvoker: backtest.v8 开始运行..

[2022-05-04 14:24:24.514433] INFO: backtest: biglearning backtest:V8.6.2

[2022-05-04 14:24:24.515884] INFO: backtest: product_type:stock by specified

[2022-05-04 14:24:24.605972] INFO: moduleinvoker: cached.v2 开始运行..

[2022-05-04 14:24:24.618953] INFO: moduleinvoker: 命中缓存

[2022-05-04 14:24:24.621119] INFO: moduleinvoker: cached.v2 运行完成[0.015171s].

[2022-05-04 14:24:26.177936] INFO: algo: TradingAlgorithm V1.8.7

[2022-05-04 14:24:26.905608] INFO: algo: trading transform...

[2022-05-04 14:24:57.159200] INFO: Performance: Simulated 244 trading days out of 244.

[2022-05-04 14:24:57.160927] INFO: Performance: first open: 2015-01-05 09:30:00+00:00

[2022-05-04 14:24:57.162175] INFO: Performance: last close: 2015-12-31 15:00:00+00:00

[2022-05-04 14:25:06.066154] INFO: moduleinvoker: backtest.v8 运行完成[41.557583s].

[2022-05-04 14:25:06.068699] INFO: moduleinvoker: trade.v4 运行完成[43.479367s].

[2022-05-04 14:25:06.070717] INFO: AI: [ParallelEx(n_jobs=1)]: Done   1 out of   1 | elapsed: 111.8min remaining:    0.0s

[2022-05-04 14:25:06.099976] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 14:25:06.114569] INFO: moduleinvoker: 命中缓存

[2022-05-04 14:25:06.120936] INFO: moduleinvoker: instruments.v2 运行完成[0.020962s].

[2022-05-04 14:25:06.128767] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-05-04 14:25:06.141902] INFO: moduleinvoker: 命中缓存

[2022-05-04 14:25:06.145600] INFO: moduleinvoker: input_features.v1 运行完成[0.016807s].

[2022-05-04 14:25:06.156023] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 14:25:06.168815] INFO: moduleinvoker: 命中缓存

[2022-05-04 14:25:06.171089] INFO: moduleinvoker: instruments.v2 运行完成[0.015078s].

[2022-05-04 14:25:06.188581] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-05-04 14:25:07.662195] INFO: 自动标注(股票): 加载历史数据: 1703814 行

[2022-05-04 14:25:07.664773] INFO: 自动标注(股票): 开始标注 ..

[2022-05-04 14:25:09.654297] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[3.465701s].

[2022-05-04 14:25:09.688004] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 14:25:11.152924] INFO: 基础特征抽取: 年份 2012, 特征行数=14382

[2022-05-04 14:25:13.466688] INFO: 基础特征抽取: 年份 2013, 特征行数=564168

[2022-05-04 14:25:16.203816] INFO: 基础特征抽取: 年份 2014, 特征行数=569948

[2022-05-04 14:25:18.635737] INFO: 基础特征抽取: 年份 2015, 特征行数=569698

[2022-05-04 14:25:18.791572] INFO: 基础特征抽取: 总行数: 1718196

[2022-05-04 14:25:18.802428] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[9.114421s].

[2022-05-04 14:25:18.823304] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 14:25:20.139496] INFO: 基础特征抽取: 年份 2015, 特征行数=20222

[2022-05-04 14:25:23.287324] INFO: 基础特征抽取: 年份 2016, 特征行数=641546

[2022-05-04 14:25:23.367899] INFO: 基础特征抽取: 总行数: 661768

[2022-05-04 14:25:23.375778] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[4.552496s].

[2022-05-04 14:25:23.385413] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 14:25:37.567319] INFO: moduleinvoker: standardlize.v8 运行完成[14.181904s].

[2022-05-04 14:25:37.580465] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 14:25:43.761519] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.331s

[2022-05-04 14:25:44.938996] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.175s

[2022-05-04 14:25:46.141767] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.201s

[2022-05-04 14:25:47.447213] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.304s

[2022-05-04 14:25:48.704735] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.256s

[2022-05-04 14:25:49.998154] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.292s

[2022-05-04 14:25:51.185880] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.186s

[2022-05-04 14:25:52.346417] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.158s

[2022-05-04 14:25:53.458377] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.110s

[2022-05-04 14:25:54.596404] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.136s

[2022-05-04 14:25:55.762268] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.164s

[2022-05-04 14:25:56.955809] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.192s

[2022-05-04 14:25:58.136690] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.179s

[2022-05-04 14:25:59.622607] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.484s

[2022-05-04 14:26:00.927287] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.302s

[2022-05-04 14:26:02.312995] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.384s

[2022-05-04 14:26:03.614865] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.300s

[2022-05-04 14:26:04.989627] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.373s

[2022-05-04 14:26:06.329562] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.338s

[2022-05-04 14:26:07.718693] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.388s

[2022-05-04 14:26:08.968705] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.248s

[2022-05-04 14:26:10.156921] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.187s

[2022-05-04 14:26:11.278049] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.120s

[2022-05-04 14:26:12.478625] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.199s

[2022-05-04 14:26:13.683828] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.203s

[2022-05-04 14:26:14.859190] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.173s

[2022-05-04 14:26:16.010431] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.150s

[2022-05-04 14:26:17.249647] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.237s

[2022-05-04 14:26:22.173636] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 4.922s

[2022-05-04 14:26:27.416800] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 5.241s

[2022-05-04 14:26:32.458599] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 5.040s

[2022-05-04 14:26:37.314796] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 4.855s

[2022-05-04 14:26:42.155295] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 4.839s

[2022-05-04 14:26:46.945430] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 4.788s

[2022-05-04 14:26:51.878952] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 4.932s

[2022-05-04 14:26:55.111495] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 3.231s

[2022-05-04 14:26:58.376143] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 3.263s

[2022-05-04 14:27:01.849921] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 3.472s

[2022-05-04 14:27:05.866279] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 4.015s

[2022-05-04 14:27:09.753910] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 3.885s

[2022-05-04 14:27:13.071145] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 3.315s

[2022-05-04 14:27:16.334699] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 3.262s

[2022-05-04 14:27:36.920731] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 20.584s

[2022-05-04 14:27:56.842285] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 19.920s

[2022-05-04 14:28:15.578011] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 18.734s

[2022-05-04 14:28:35.053219] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 19.472s

[2022-05-04 14:28:52.656491] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 17.602s

[2022-05-04 14:29:11.419177] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 18.761s

[2022-05-04 14:29:30.377230] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 18.957s

[2022-05-04 14:29:47.923264] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 17.544s

[2022-05-04 14:30:06.665033] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 18.740s

[2022-05-04 14:30:24.606765] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 17.939s

[2022-05-04 14:30:44.804812] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 20.196s

[2022-05-04 14:33:03.577036] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 20.350s

[2022-05-04 14:33:24.450219] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 20.871s

[2022-05-04 14:33:45.420558] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 20.969s

[2022-05-04 14:34:05.892581] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 20.470s

[2022-05-04 14:34:07.643767] INFO: derived_feature_extractor: /y_2012, 14382

[2022-05-04 14:34:09.377501] INFO: derived_feature_extractor: /y_2013, 564168

[2022-05-04 14:34:14.072311] INFO: derived_feature_extractor: /y_2014, 569948

[2022-05-04 14:34:18.469883] INFO: derived_feature_extractor: /y_2015, 569698

[2022-05-04 14:34:22.189378] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[524.608899s].

[2022-05-04 14:34:22.201208] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 14:34:24.750186] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.500s

[2022-05-04 14:34:25.231569] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.480s

[2022-05-04 14:34:25.713963] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.481s

[2022-05-04 14:34:26.194650] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.479s

[2022-05-04 14:34:26.790067] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.594s

[2022-05-04 14:34:27.306249] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.514s

[2022-05-04 14:34:27.791866] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.484s

[2022-05-04 14:34:28.313858] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.520s

[2022-05-04 14:34:28.813799] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.498s

[2022-05-04 14:34:29.350010] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.535s

[2022-05-04 14:34:29.868863] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.517s

[2022-05-04 14:34:30.367981] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.497s

[2022-05-04 14:34:30.850765] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.481s

[2022-05-04 14:34:31.341943] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.490s

[2022-05-04 14:34:31.827079] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.483s

[2022-05-04 14:34:32.314138] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.486s

[2022-05-04 14:34:32.816257] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.501s

[2022-05-04 14:34:33.290649] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.473s

[2022-05-04 14:34:33.774837] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.483s

[2022-05-04 14:34:34.273737] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.497s

[2022-05-04 14:34:34.806837] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.531s

[2022-05-04 14:34:35.342146] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.534s

[2022-05-04 14:34:35.840543] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.497s

[2022-05-04 14:34:36.338512] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.496s

[2022-05-04 14:34:36.837272] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.497s

[2022-05-04 14:34:37.349445] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.510s

[2022-05-04 14:34:37.952480] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.602s

[2022-05-04 14:34:38.436571] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.483s

[2022-05-04 14:34:40.310175] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 1.872s

[2022-05-04 14:34:42.272273] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 1.961s

[2022-05-04 14:34:44.267575] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 1.993s

[2022-05-04 14:34:46.512571] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 2.243s

[2022-05-04 14:34:48.599336] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 2.085s

[2022-05-04 14:34:50.626808] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 2.026s

[2022-05-04 14:34:53.231257] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 2.602s

[2022-05-04 14:34:55.165565] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 1.933s

[2022-05-04 14:34:56.795790] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 1.627s

[2022-05-04 14:34:58.685890] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 1.888s

[2022-05-04 14:35:00.544486] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 1.856s

[2022-05-04 14:35:02.386601] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 1.840s

[2022-05-04 14:35:03.975443] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 1.587s

[2022-05-04 14:35:05.399554] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 1.422s

[2022-05-04 14:35:28.117651] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 22.716s

[2022-05-04 14:35:49.830005] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 21.711s

[2022-05-04 14:36:10.128666] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 20.297s

[2022-05-04 14:36:28.311751] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 18.182s

[2022-05-04 14:36:48.196667] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 19.883s

[2022-05-04 14:37:06.580728] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 18.382s

[2022-05-04 14:37:27.218172] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 20.635s

[2022-05-04 14:37:47.381541] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 20.162s

[2022-05-04 14:38:09.111656] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 21.728s

[2022-05-04 14:38:29.838680] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 20.725s

[2022-05-04 14:38:52.118760] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 22.279s

[2022-05-04 14:39:16.490412] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 24.370s

[2022-05-04 14:39:35.698712] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 19.207s

[2022-05-04 14:39:54.262580] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 18.562s

[2022-05-04 14:40:12.891092] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 18.627s

[2022-05-04 14:40:33.171712] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 20.279s

[2022-05-04 14:40:55.227495] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 22.054s

[2022-05-04 14:41:15.895858] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 20.666s

[2022-05-04 14:41:37.145385] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 21.248s

[2022-05-04 14:41:56.398015] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 19.251s

[2022-05-04 14:42:19.284312] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 22.884s

[2022-05-04 14:42:20.018424] INFO: derived_feature_extractor: /y_2015, 20222

[2022-05-04 14:42:21.930794] INFO: derived_feature_extractor: /y_2016, 641546

[2022-05-04 14:42:25.550351] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[483.349149s].

[2022-05-04 14:42:25.557357] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 14:45:49.914480] INFO: moduleinvoker: standardlize.v8 运行完成[204.357112s].

[2022-05-04 14:45:49.924149] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 14:47:08.531347] INFO: moduleinvoker: standardlize.v8 运行完成[78.607192s].

[2022-05-04 14:47:08.549548] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 14:47:49.360006] INFO: moduleinvoker: fillnan.v1 运行完成[40.81056s].

[2022-05-04 14:47:49.376096] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 14:47:57.073662] INFO: moduleinvoker: fillnan.v1 运行完成[7.697571s].

[2022-05-04 14:47:57.084884] INFO: moduleinvoker: join.v3 开始运行..

[2022-05-04 14:52:38.926190] INFO: join: /data, 行数=1676979/1706340, 耗时=279.149635s

[2022-05-04 14:52:39.112264] INFO: join: 最终行数: 1676979

[2022-05-04 14:52:39.127907] INFO: moduleinvoker: join.v3 运行完成[282.043017s].

[2022-05-04 14:52:39.148880] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 14:53:22.393885] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[43.245065s].

[2022-05-04 14:53:22.419725] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 15:04:15.342795] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[652.92305s].

[2022-05-04 15:04:15.363473] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 15:19:06.509379] INFO: moduleinvoker: cached.v3 运行完成[891.145945s].

[2022-05-04 15:19:06.529261] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 15:19:13.443616] INFO: moduleinvoker: cached.v3 运行完成[6.914386s].

[2022-05-04 15:19:13.511947] INFO: moduleinvoker: backtest.v8 开始运行..

[2022-05-04 15:19:13.518151] INFO: backtest: biglearning backtest:V8.6.2

[2022-05-04 15:19:13.519594] INFO: backtest: product_type:stock by specified

[2022-05-04 15:19:13.613931] INFO: moduleinvoker: cached.v2 开始运行..

[2022-05-04 15:19:13.633428] INFO: moduleinvoker: 命中缓存

[2022-05-04 15:19:13.636172] INFO: moduleinvoker: cached.v2 运行完成[0.022243s].

[2022-05-04 15:19:15.731857] INFO: algo: TradingAlgorithm V1.8.7

[2022-05-04 15:19:16.496629] INFO: algo: trading transform...

[2022-05-04 15:19:46.152923] INFO: Performance: Simulated 244 trading days out of 244.

[2022-05-04 15:19:46.154949] INFO: Performance: first open: 2016-01-04 09:30:00+00:00

[2022-05-04 15:19:46.156610] INFO: Performance: last close: 2016-12-30 15:00:00+00:00

[2022-05-04 15:19:53.583007] INFO: moduleinvoker: backtest.v8 运行完成[40.071051s].

[2022-05-04 15:19:53.585119] INFO: moduleinvoker: trade.v4 运行完成[40.131281s].

[2022-05-04 15:19:53.586798] INFO: AI: [ParallelEx(n_jobs=1)]: Done   2 out of   2 | elapsed: 166.6min remaining:    0.0s

[2022-05-04 15:19:53.597094] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 15:19:53.609634] INFO: moduleinvoker: 命中缓存

[2022-05-04 15:19:53.612137] INFO: moduleinvoker: instruments.v2 运行完成[0.015058s].

[2022-05-04 15:19:53.617661] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-05-04 15:19:53.627779] INFO: moduleinvoker: 命中缓存

[2022-05-04 15:19:53.630094] INFO: moduleinvoker: input_features.v1 运行完成[0.012458s].

[2022-05-04 15:19:53.636856] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 15:19:53.647299] INFO: moduleinvoker: 命中缓存

[2022-05-04 15:19:53.649219] INFO: moduleinvoker: instruments.v2 运行完成[0.01237s].

[2022-05-04 15:19:53.660852] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-05-04 15:19:55.149353] INFO: 自动标注(股票): 加载历史数据: 1781192 行

[2022-05-04 15:19:55.151136] INFO: 自动标注(股票): 开始标注 ..

[2022-05-04 15:19:56.952922] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[3.292037s].

[2022-05-04 15:19:56.974494] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 15:19:58.615459] INFO: 基础特征抽取: 年份 2013, 特征行数=16433

[2022-05-04 15:20:02.054240] INFO: 基础特征抽取: 年份 2014, 特征行数=569948

[2022-05-04 15:20:05.342233] INFO: 基础特征抽取: 年份 2015, 特征行数=569698

[2022-05-04 15:20:09.569788] INFO: 基础特征抽取: 年份 2016, 特征行数=641546

[2022-05-04 15:20:09.847728] INFO: 基础特征抽取: 总行数: 1797625

[2022-05-04 15:20:09.856004] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[12.881538s].

[2022-05-04 15:20:09.877339] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 15:20:11.458149] INFO: 基础特征抽取: 年份 2016, 特征行数=19694

[2022-05-04 15:20:14.663429] INFO: 基础特征抽取: 年份 2017, 特征行数=743233

[2022-05-04 15:20:14.752585] INFO: 基础特征抽取: 总行数: 762927

[2022-05-04 15:20:14.761848] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[4.884515s].

[2022-05-04 15:20:14.770774] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 15:20:30.318955] INFO: moduleinvoker: standardlize.v8 运行完成[15.548171s].

[2022-05-04 15:20:30.329581] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 15:20:37.267092] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.297s

[2022-05-04 15:20:38.863014] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.594s

[2022-05-04 15:20:40.241643] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.377s

[2022-05-04 15:20:41.489466] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.246s

[2022-05-04 15:20:42.699473] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.208s

[2022-05-04 15:20:43.956843] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.256s

[2022-05-04 15:20:45.568068] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.610s

[2022-05-04 15:20:47.855233] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 2.285s

[2022-05-04 15:20:49.762701] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.902s

[2022-05-04 15:20:51.321363] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.557s

[2022-05-04 15:20:52.766030] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.443s

[2022-05-04 15:20:54.224049] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.456s

[2022-05-04 15:20:55.635000] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.409s

[2022-05-04 15:20:56.917035] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.280s

[2022-05-04 15:20:58.654390] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.735s

[2022-05-04 15:21:00.115869] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.459s

[2022-05-04 15:21:01.592577] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.475s

[2022-05-04 15:21:03.010934] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.417s

[2022-05-04 15:21:04.477354] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.464s

[2022-05-04 15:21:05.867899] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.389s

[2022-05-04 15:21:07.250815] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.381s

[2022-05-04 15:21:08.662585] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.410s

[2022-05-04 15:21:09.923373] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.259s

[2022-05-04 15:21:11.352864] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.427s

[2022-05-04 15:21:12.898809] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.544s

[2022-05-04 15:21:14.236998] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.337s

[2022-05-04 15:21:15.510213] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.272s

[2022-05-04 15:21:16.767440] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.256s

[2022-05-04 15:21:23.150485] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 6.381s

[2022-05-04 15:21:30.041533] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 6.889s

[2022-05-04 15:21:36.622861] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 6.580s

[2022-05-04 15:21:42.454056] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 5.829s

[2022-05-04 15:21:48.050158] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 5.594s

[2022-05-04 15:22:02.286674] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 14.234s

[2022-05-04 15:22:09.539170] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 7.250s

[2022-05-04 15:22:13.199978] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 3.659s

[2022-05-04 15:22:16.991365] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 3.790s

[2022-05-04 15:22:20.856229] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 3.863s

[2022-05-04 15:22:24.726336] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 3.868s

[2022-05-04 15:22:28.675361] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 3.947s

[2022-05-04 15:22:32.434593] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 3.757s

[2022-05-04 15:22:38.049158] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 5.613s

[2022-05-04 15:23:00.033636] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 21.982s

[2022-05-04 15:23:21.893129] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 21.858s

[2022-05-04 15:23:43.085786] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 21.190s

[2022-05-04 15:24:06.732225] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 23.645s

[2022-05-04 15:24:30.389099] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 23.655s

[2022-05-04 15:24:54.954793] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 24.564s

[2022-05-04 15:25:15.462000] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 20.505s

[2022-05-04 15:25:38.367607] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 22.904s

[2022-05-04 15:25:59.856657] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 21.482s

[2022-05-04 15:26:22.824636] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 22.966s

[2022-05-04 15:26:43.639978] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 20.814s

[2022-05-04 15:27:04.910065] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 21.268s

[2022-05-04 15:27:26.942737] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 22.031s

[2022-05-04 15:27:48.037959] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 21.093s

[2022-05-04 15:28:10.794679] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 22.755s

[2022-05-04 15:28:30.396923] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 19.600s

[2022-05-04 15:28:49.650307] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 19.252s

[2022-05-04 15:29:11.021484] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 21.369s

[2022-05-04 15:29:30.850749] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 19.828s

[2022-05-04 15:29:56.085812] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 25.233s

[2022-05-04 15:30:17.456004] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 21.368s

[2022-05-04 15:30:19.253695] INFO: derived_feature_extractor: /y_2013, 16433

[2022-05-04 15:30:20.858150] INFO: derived_feature_extractor: /y_2014, 569948

[2022-05-04 15:30:25.469265] INFO: derived_feature_extractor: /y_2015, 569698

[2022-05-04 15:30:30.100670] INFO: derived_feature_extractor: /y_2016, 641546

[2022-05-04 15:30:33.915899] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[603.586402s].

[2022-05-04 15:30:33.927691] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 15:30:36.779253] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.569s

[2022-05-04 15:30:37.429486] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.649s

[2022-05-04 15:30:37.973567] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.542s

[2022-05-04 15:30:38.531177] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.556s

[2022-05-04 15:30:39.076315] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.544s

[2022-05-04 15:30:39.638371] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.560s

[2022-05-04 15:30:40.186609] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.546s

[2022-05-04 15:30:40.777903] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.590s

[2022-05-04 15:30:41.339152] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.560s

[2022-05-04 15:30:41.932696] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.592s

[2022-05-04 15:30:42.495752] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.562s

[2022-05-04 15:30:43.031622] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.534s

[2022-05-04 15:30:43.589599] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.556s

[2022-05-04 15:30:44.162855] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.572s

[2022-05-04 15:30:44.707900] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.543s

[2022-05-04 15:30:45.250143] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.541s

[2022-05-04 15:30:45.779277] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.528s

[2022-05-04 15:30:46.353322] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.573s

[2022-05-04 15:30:46.924958] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.570s

[2022-05-04 15:30:47.496486] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.570s

[2022-05-04 15:30:48.040531] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.542s

[2022-05-04 15:30:48.593953] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.552s

[2022-05-04 15:30:49.168483] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.573s

[2022-05-04 15:30:49.713946] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.544s

[2022-05-04 15:30:50.275941] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.560s

[2022-05-04 15:30:50.852693] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.575s

[2022-05-04 15:30:51.471511] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.617s

[2022-05-04 15:30:52.121046] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.647s

[2022-05-04 15:30:54.425573] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 2.303s

[2022-05-04 15:30:56.837115] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 2.410s

[2022-05-04 15:30:59.516044] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 2.677s

[2022-05-04 15:31:01.596842] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 2.079s

[2022-05-04 15:31:03.699480] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 2.101s

[2022-05-04 15:31:05.793487] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 2.092s

[2022-05-04 15:31:07.904484] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 2.109s

[2022-05-04 15:31:09.888820] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 1.983s

[2022-05-04 15:31:11.773239] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 1.883s

[2022-05-04 15:31:13.662883] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 1.888s

[2022-05-04 15:31:15.159075] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 1.495s

[2022-05-04 15:31:16.634880] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 1.474s

[2022-05-04 15:31:18.108652] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 1.472s

[2022-05-04 15:31:19.563233] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 1.453s

[2022-05-04 15:31:42.414614] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 22.850s

[2022-05-04 15:32:03.138861] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 20.723s

[2022-05-04 15:32:24.758380] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 21.618s

[2022-05-04 15:32:51.116593] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 26.356s

[2022-05-04 15:33:15.560168] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 24.442s

[2022-05-04 15:33:38.423906] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 22.862s

[2022-05-04 15:33:59.836648] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 21.411s

[2022-05-04 15:34:22.259578] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 22.421s

[2022-05-04 15:34:46.094750] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 23.834s

[2022-05-04 15:35:12.005675] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 25.908s

[2022-05-04 15:35:34.140075] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 22.133s

[2022-05-04 15:35:56.086647] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 21.945s

[2022-05-04 15:36:18.853020] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 22.764s

[2022-05-04 15:36:42.351653] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 23.497s

[2022-05-04 15:37:04.417069] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 22.064s

[2022-05-04 15:37:27.657885] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 23.239s

[2022-05-04 15:37:50.150297] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 22.491s

[2022-05-04 15:38:12.206148] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 22.054s

[2022-05-04 15:38:36.464096] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 24.256s

[2022-05-04 15:38:59.887874] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 23.422s

[2022-05-04 15:39:21.357837] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 21.468s

[2022-05-04 15:39:22.224989] INFO: derived_feature_extractor: /y_2016, 19694

[2022-05-04 15:39:24.185951] INFO: derived_feature_extractor: /y_2017, 743233

[2022-05-04 15:39:28.512242] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[534.584572s].

[2022-05-04 15:39:28.519082] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 15:43:06.009376] INFO: moduleinvoker: standardlize.v8 运行完成[217.490283s].

[2022-05-04 15:43:06.016300] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 15:44:29.683093] INFO: moduleinvoker: standardlize.v8 运行完成[83.666748s].

[2022-05-04 15:44:29.695127] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 15:44:49.844653] INFO: moduleinvoker: fillnan.v1 运行完成[20.149524s].

[2022-05-04 15:44:49.858767] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 15:44:57.586735] INFO: moduleinvoker: fillnan.v1 运行完成[7.72797s].

[2022-05-04 15:44:57.600729] INFO: moduleinvoker: join.v3 开始运行..

[2022-05-04 15:45:36.647556] INFO: join: /data, 行数=1750030/1784683, 耗时=35.217433s

[2022-05-04 15:45:36.784265] INFO: join: 最终行数: 1750030

[2022-05-04 15:45:36.801301] INFO: moduleinvoker: join.v3 运行完成[39.200571s].

[2022-05-04 15:45:36.833952] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 15:46:25.557768] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[48.72385s].

[2022-05-04 15:46:25.574660] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 15:55:05.244659] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[519.669985s].

[2022-05-04 15:55:05.264531] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 16:08:59.713950] INFO: moduleinvoker: cached.v3 运行完成[834.44943s].

[2022-05-04 16:08:59.728712] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 16:09:05.630329] INFO: moduleinvoker: cached.v3 运行完成[5.901608s].

[2022-05-04 16:09:05.732663] INFO: moduleinvoker: backtest.v8 开始运行..

[2022-05-04 16:09:05.739902] INFO: backtest: biglearning backtest:V8.6.2

[2022-05-04 16:09:05.741961] INFO: backtest: product_type:stock by specified

[2022-05-04 16:09:05.826371] INFO: moduleinvoker: cached.v2 开始运行..

[2022-05-04 16:09:10.863480] INFO: backtest: 读取股票行情完成:1651226

[2022-05-04 16:09:12.160587] INFO: moduleinvoker: cached.v2 运行完成[6.334228s].

[2022-05-04 16:09:13.617275] INFO: algo: TradingAlgorithm V1.8.7

[2022-05-04 16:09:14.451543] INFO: algo: trading transform...

[2022-05-04 16:09:39.882053] INFO: Performance: Simulated 244 trading days out of 244.

[2022-05-04 16:09:39.883669] INFO: Performance: first open: 2017-01-03 09:30:00+00:00

[2022-05-04 16:09:39.884875] INFO: Performance: last close: 2017-12-29 15:00:00+00:00

[2022-05-04 16:09:53.616169] INFO: moduleinvoker: backtest.v8 运行完成[47.883529s].

[2022-05-04 16:09:53.618527] INFO: moduleinvoker: trade.v4 运行完成[47.977963s].

[2022-05-04 16:09:53.620111] INFO: AI: [ParallelEx(n_jobs=1)]: Done   3 out of   3 | elapsed: 216.6min remaining:    0.0s

[2022-05-04 16:09:53.629635] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 16:09:53.643113] INFO: moduleinvoker: 命中缓存

[2022-05-04 16:09:53.645213] INFO: moduleinvoker: instruments.v2 运行完成[0.015602s].

[2022-05-04 16:09:53.651199] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-05-04 16:09:53.662746] INFO: moduleinvoker: 命中缓存

[2022-05-04 16:09:53.665026] INFO: moduleinvoker: input_features.v1 运行完成[0.013829s].

[2022-05-04 16:09:53.671814] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 16:09:53.681816] INFO: moduleinvoker: 命中缓存

[2022-05-04 16:09:53.683564] INFO: moduleinvoker: instruments.v2 运行完成[0.011748s].

[2022-05-04 16:09:53.702370] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-05-04 16:09:55.496494] INFO: 自动标注(股票): 加载历史数据: 1954477 行

[2022-05-04 16:09:55.498541] INFO: 自动标注(股票): 开始标注 ..

[2022-05-04 16:09:57.435254] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[3.732894s].

[2022-05-04 16:09:57.516257] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 16:09:58.508254] INFO: 基础特征抽取: 年份 2014, 特征行数=18612

[2022-05-04 16:10:00.985101] INFO: 基础特征抽取: 年份 2015, 特征行数=569698

[2022-05-04 16:10:04.115208] INFO: 基础特征抽取: 年份 2016, 特征行数=641546

[2022-05-04 16:10:07.285761] INFO: 基础特征抽取: 年份 2017, 特征行数=743233

[2022-05-04 16:10:07.455490] INFO: 基础特征抽取: 总行数: 1973089

[2022-05-04 16:10:07.465956] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[9.949715s].

[2022-05-04 16:10:07.481676] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 16:10:08.688646] INFO: 基础特征抽取: 年份 2017, 特征行数=19477

[2022-05-04 16:10:12.279004] INFO: 基础特征抽取: 年份 2018, 特征行数=816987

[2022-05-04 16:10:12.387481] INFO: 基础特征抽取: 总行数: 836464

[2022-05-04 16:10:12.398266] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[4.916602s].

[2022-05-04 16:10:12.406602] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 16:10:28.190634] INFO: moduleinvoker: standardlize.v8 运行完成[15.784021s].

[2022-05-04 16:10:28.202548] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 16:10:35.261184] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.284s

[2022-05-04 16:10:36.568523] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.306s

[2022-05-04 16:10:37.871054] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.300s

[2022-05-04 16:10:39.134835] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.262s

[2022-05-04 16:10:40.372907] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.236s

[2022-05-04 16:10:41.719876] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.345s

[2022-05-04 16:10:42.980801] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.259s

[2022-05-04 16:10:44.350308] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.368s

[2022-05-04 16:10:45.732239] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.380s

[2022-05-04 16:10:47.101364] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.367s

[2022-05-04 16:10:48.486368] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.383s

[2022-05-04 16:10:49.907855] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.420s

[2022-05-04 16:10:51.297084] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.387s

[2022-05-04 16:10:52.724636] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.426s

[2022-05-04 16:10:54.189312] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.462s

[2022-05-04 16:10:55.542595] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.352s

[2022-05-04 16:10:56.948109] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.404s

[2022-05-04 16:10:58.321479] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.372s

[2022-05-04 16:10:59.758184] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.435s

[2022-05-04 16:11:01.180088] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.420s

[2022-05-04 16:11:02.574526] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.393s

[2022-05-04 16:11:04.381251] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.805s

[2022-05-04 16:11:05.896740] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.514s

[2022-05-04 16:11:07.517499] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.618s

[2022-05-04 16:11:09.071216] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.552s

[2022-05-04 16:11:10.512494] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.439s

[2022-05-04 16:11:12.010422] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.496s

[2022-05-04 16:11:13.533774] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.522s

[2022-05-04 16:11:21.399669] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 7.864s

[2022-05-04 16:11:27.621250] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 6.219s

[2022-05-04 16:11:33.663813] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 6.041s

[2022-05-04 16:11:39.400817] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 5.735s

[2022-05-04 16:11:45.319311] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 5.917s

[2022-05-04 16:11:50.894614] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 5.574s

[2022-05-04 16:11:56.207286] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 5.311s

[2022-05-04 16:12:00.160761] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 3.952s

[2022-05-04 16:12:03.843687] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 3.681s

[2022-05-04 16:12:07.603957] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 3.759s

[2022-05-04 16:12:11.356614] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 3.751s

[2022-05-04 16:12:15.845415] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 4.487s

[2022-05-04 16:12:19.566608] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 3.720s

[2022-05-04 16:12:23.300188] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 3.732s

[2022-05-04 16:12:46.635971] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 23.334s

[2022-05-04 16:13:10.622475] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 23.985s

[2022-05-04 16:13:33.858632] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 23.235s

[2022-05-04 16:14:00.788456] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 26.928s

[2022-05-04 16:14:23.385999] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 22.596s

[2022-05-04 16:14:48.354662] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 24.967s

[2022-05-04 16:15:13.455927] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 25.099s

[2022-05-04 16:15:36.964324] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 23.507s

[2022-05-04 16:16:01.348980] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 24.383s

[2022-05-04 16:16:28.460322] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 27.109s

[2022-05-04 16:16:54.318805] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 25.857s

[2022-05-04 16:17:18.934960] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 24.614s

[2022-05-04 16:17:43.854861] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 24.918s

[2022-05-04 16:18:06.580771] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 22.724s

[2022-05-04 16:18:29.964428] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 23.382s

[2022-05-04 16:18:56.503186] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 26.537s

[2022-05-04 16:19:20.171900] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 23.667s

[2022-05-04 16:19:46.555326] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 26.382s

[2022-05-04 16:20:10.944592] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 24.387s

[2022-05-04 16:20:35.613701] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 24.667s

[2022-05-04 16:21:01.280992] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 25.666s

[2022-05-04 16:21:03.143796] INFO: derived_feature_extractor: /y_2014, 18612

[2022-05-04 16:21:04.657469] INFO: derived_feature_extractor: /y_2015, 569698

[2022-05-04 16:21:09.202333] INFO: derived_feature_extractor: /y_2016, 641546

[2022-05-04 16:21:14.290489] INFO: derived_feature_extractor: /y_2017, 743233

[2022-05-04 16:21:18.291304] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[650.088748s].

[2022-05-04 16:21:18.298448] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 16:21:21.070420] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.640s

[2022-05-04 16:21:21.706106] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.634s

[2022-05-04 16:21:22.337959] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.630s

[2022-05-04 16:21:22.954031] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.614s

[2022-05-04 16:21:23.563691] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.608s

[2022-05-04 16:21:24.168143] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.603s

[2022-05-04 16:21:24.767047] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.597s

[2022-05-04 16:21:25.411867] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.643s

[2022-05-04 16:21:26.048264] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.635s

[2022-05-04 16:21:26.728876] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.679s

[2022-05-04 16:21:27.370507] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.640s

[2022-05-04 16:21:27.984994] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.613s

[2022-05-04 16:21:28.638728] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.652s

[2022-05-04 16:21:29.335011] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.695s

[2022-05-04 16:21:30.050009] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.713s

[2022-05-04 16:21:30.885104] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.834s

[2022-05-04 16:21:31.557479] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.670s

[2022-05-04 16:21:32.237849] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.679s

[2022-05-04 16:21:32.943299] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.704s

[2022-05-04 16:21:33.902652] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.956s

[2022-05-04 16:21:34.778982] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.874s

[2022-05-04 16:21:35.624659] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.844s

[2022-05-04 16:21:36.404083] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.777s

[2022-05-04 16:21:37.190481] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.785s

[2022-05-04 16:21:38.056738] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.864s

[2022-05-04 16:21:38.819320] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.761s

[2022-05-04 16:21:39.536572] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.715s

[2022-05-04 16:21:40.260969] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.722s

[2022-05-04 16:21:43.128808] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 2.866s

[2022-05-04 16:21:46.022654] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 2.892s

[2022-05-04 16:21:48.837221] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 2.813s

[2022-05-04 16:21:51.477959] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 2.639s

[2022-05-04 16:21:53.835223] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 2.356s

[2022-05-04 16:21:56.203230] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 2.366s

[2022-05-04 16:21:58.633028] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 2.428s

[2022-05-04 16:22:00.359951] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 1.725s

[2022-05-04 16:22:02.194210] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 1.832s

[2022-05-04 16:22:04.119001] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 1.923s

[2022-05-04 16:22:05.952449] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 1.832s

[2022-05-04 16:22:07.719330] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 1.765s

[2022-05-04 16:22:09.453288] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 1.732s

[2022-05-04 16:22:11.129786] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 1.675s

[2022-05-04 16:22:34.437021] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 23.306s

[2022-05-04 16:22:58.055143] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 23.616s

[2022-05-04 16:23:22.753852] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 24.697s

[2022-05-04 16:23:46.444324] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 23.689s

[2022-05-04 16:24:10.861262] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 24.415s

[2022-05-04 16:24:33.644792] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 22.782s

[2022-05-04 16:24:56.582429] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 22.936s

[2022-05-04 16:25:17.950527] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 21.366s

[2022-05-04 16:25:42.356514] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 24.404s

[2022-05-04 16:26:10.309069] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 27.951s

[2022-05-04 16:26:35.868741] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 25.557s

[2022-05-04 16:27:00.457519] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 24.587s

[2022-05-04 16:27:22.893880] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 22.435s

[2022-05-04 16:27:46.671132] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 23.776s

[2022-05-04 16:28:12.113418] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 25.440s

[2022-05-04 16:28:37.757404] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 25.642s

[2022-05-04 16:29:01.629863] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 23.871s

[2022-05-04 16:29:28.299712] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 26.668s

[2022-05-04 16:29:51.669920] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 23.368s

[2022-05-04 16:30:15.824480] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 24.153s

[2022-05-04 16:30:39.672047] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 23.846s

[2022-05-04 16:30:40.606472] INFO: derived_feature_extractor: /y_2017, 19477

[2022-05-04 16:30:42.567697] INFO: derived_feature_extractor: /y_2018, 816987

[2022-05-04 16:30:47.045505] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[568.74704s].

[2022-05-04 16:30:47.051479] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 16:34:36.281719] INFO: moduleinvoker: standardlize.v8 运行完成[229.230219s].

[2022-05-04 16:34:36.288949] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 16:36:08.179187] INFO: moduleinvoker: standardlize.v8 运行完成[91.89023s].

[2022-05-04 16:36:08.191133] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 16:38:59.982287] INFO: moduleinvoker: fillnan.v1 运行完成[171.791147s].

[2022-05-04 16:38:59.995528] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 16:39:08.376870] INFO: moduleinvoker: fillnan.v1 运行完成[8.381307s].

[2022-05-04 16:39:08.404247] INFO: moduleinvoker: join.v3 开始运行..

[2022-05-04 16:52:57.189785] INFO: join: /data, 行数=1918134/1958183, 耗时=825.225569s

[2022-05-04 16:52:57.528959] INFO: join: 最终行数: 1918134

[2022-05-04 16:52:57.548171] INFO: moduleinvoker: join.v3 运行完成[829.143928s].

[2022-05-04 16:52:57.575956] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 16:56:32.019974] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[214.444043s].

[2022-05-04 16:56:32.044215] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 17:23:21.249887] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[1609.205675s].

[2022-05-04 17:23:21.274198] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 17:49:34.443626] INFO: moduleinvoker: cached.v3 运行完成[1573.169434s].

[2022-05-04 17:49:34.466068] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 17:51:19.715551] INFO: moduleinvoker: cached.v3 运行完成[105.249499s].

[2022-05-04 17:51:19.776347] INFO: moduleinvoker: backtest.v8 开始运行..

[2022-05-04 17:51:19.782636] INFO: backtest: biglearning backtest:V8.6.2

[2022-05-04 17:51:19.784367] INFO: backtest: product_type:stock by specified

[2022-05-04 17:51:19.869204] INFO: moduleinvoker: cached.v2 开始运行..

[2022-05-04 17:51:29.576518] INFO: backtest: 读取股票行情完成:1802864

[2022-05-04 17:51:31.047074] INFO: moduleinvoker: cached.v2 运行完成[11.177864s].

[2022-05-04 17:51:32.731724] INFO: algo: TradingAlgorithm V1.8.7

[2022-05-04 17:51:33.510590] INFO: algo: trading transform...

[2022-05-04 17:52:06.600422] INFO: Performance: Simulated 243 trading days out of 243.

[2022-05-04 17:52:06.602246] INFO: Performance: first open: 2018-01-02 09:30:00+00:00

[2022-05-04 17:52:06.603628] INFO: Performance: last close: 2018-12-28 15:00:00+00:00

[2022-05-04 17:52:15.646780] INFO: moduleinvoker: backtest.v8 运行完成[55.870445s].

[2022-05-04 17:52:15.648693] INFO: moduleinvoker: trade.v4 运行完成[55.922215s].

[2022-05-04 17:52:15.650202] INFO: AI: [ParallelEx(n_jobs=1)]: Done   4 out of   4 | elapsed: 318.9min remaining:    0.0s

[2022-05-04 17:52:15.657670] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 17:52:15.671960] INFO: moduleinvoker: 命中缓存

[2022-05-04 17:52:15.674587] INFO: moduleinvoker: instruments.v2 运行完成[0.016875s].

[2022-05-04 17:52:15.682859] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-05-04 17:52:15.707182] INFO: moduleinvoker: 命中缓存

[2022-05-04 17:52:15.708884] INFO: moduleinvoker: input_features.v1 运行完成[0.026048s].

[2022-05-04 17:52:15.714789] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 17:52:15.727090] INFO: moduleinvoker: 命中缓存

[2022-05-04 17:52:15.728930] INFO: moduleinvoker: instruments.v2 运行完成[0.014144s].

[2022-05-04 17:52:15.738798] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-05-04 17:52:17.677724] INFO: 自动标注(股票): 加载历史数据: 2201766 行

[2022-05-04 17:52:17.680366] INFO: 自动标注(股票): 开始标注 ..

[2022-05-04 17:52:19.913600] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[4.174793s].

[2022-05-04 17:52:19.933633] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 17:52:21.031853] INFO: 基础特征抽取: 年份 2015, 特征行数=20222

[2022-05-04 17:52:23.620492] INFO: 基础特征抽取: 年份 2016, 特征行数=641546

[2022-05-04 17:52:26.797007] INFO: 基础特征抽取: 年份 2017, 特征行数=743233

[2022-05-04 17:52:30.706199] INFO: 基础特征抽取: 年份 2018, 特征行数=816987

[2022-05-04 17:52:30.924433] INFO: 基础特征抽取: 总行数: 2221988

[2022-05-04 17:52:30.935191] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[11.001576s].

[2022-05-04 17:52:30.951271] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 17:52:32.584379] INFO: 基础特征抽取: 年份 2018, 特征行数=17720

[2022-05-04 17:52:36.417265] INFO: 基础特征抽取: 年份 2019, 特征行数=884867

[2022-05-04 17:52:36.509122] INFO: 基础特征抽取: 总行数: 902587

[2022-05-04 17:52:36.521695] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[5.570418s].

[2022-05-04 17:52:36.530088] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 17:52:55.698539] INFO: moduleinvoker: standardlize.v8 运行完成[19.16845s].

[2022-05-04 17:52:55.708333] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 17:53:04.107704] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.682s

[2022-05-04 17:53:05.696477] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.587s

[2022-05-04 17:53:07.519798] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.822s

[2022-05-04 17:53:09.135706] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.614s

[2022-05-04 17:53:10.719226] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.582s

[2022-05-04 17:53:12.311081] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.590s

[2022-05-04 17:53:13.801317] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.489s

[2022-05-04 17:53:15.334555] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.532s

[2022-05-04 17:53:16.864834] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.529s

[2022-05-04 17:53:18.413090] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 1.546s

[2022-05-04 17:53:19.949679] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.535s

[2022-05-04 17:53:21.465634] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.514s

[2022-05-04 17:53:23.109580] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.642s

[2022-05-04 17:53:24.603633] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.493s

[2022-05-04 17:53:26.122705] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.518s

[2022-05-04 17:53:27.673598] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.549s

[2022-05-04 17:53:29.255582] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.580s

[2022-05-04 17:53:30.771682] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.514s

[2022-05-04 17:53:32.352055] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.577s

[2022-05-04 17:53:34.080204] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.727s

[2022-05-04 17:53:35.672726] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.590s

[2022-05-04 17:53:37.385478] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.711s

[2022-05-04 17:53:39.002987] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.615s

[2022-05-04 17:53:40.718940] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.714s

[2022-05-04 17:53:42.339335] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.619s

[2022-05-04 17:53:43.973833] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.633s

[2022-05-04 17:53:45.560196] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.584s

[2022-05-04 17:53:47.151485] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.589s

[2022-05-04 17:53:54.136361] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 6.983s

[2022-05-04 17:54:01.224681] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 7.087s

[2022-05-04 17:54:08.807164] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 7.581s

[2022-05-04 17:54:16.168018] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 7.359s

[2022-05-04 17:54:23.094924] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 6.925s

[2022-05-04 17:54:30.211762] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 7.115s

[2022-05-04 17:54:37.109571] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 6.896s

[2022-05-04 17:54:41.902563] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 4.792s

[2022-05-04 17:54:47.233523] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 5.329s

[2022-05-04 17:54:52.421680] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 5.186s

[2022-05-04 17:54:57.518130] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 5.095s

[2022-05-04 17:55:02.337264] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 4.817s

[2022-05-04 17:55:07.910872] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 5.572s

[2022-05-04 17:55:12.773991] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 4.861s

[2022-05-04 17:55:39.591090] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 26.815s

[2022-05-04 17:56:09.649948] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 30.057s

[2022-05-04 17:56:37.886563] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 28.235s

[2022-05-04 17:57:07.258085] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 29.369s

[2022-05-04 17:57:36.085461] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 28.825s

[2022-05-04 17:58:02.621381] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 26.533s

[2022-05-04 17:58:29.151997] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 26.529s

[2022-05-04 17:58:57.680018] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 28.526s

[2022-05-04 17:59:26.985675] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 29.303s

[2022-05-04 17:59:55.347413] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 28.359s

[2022-05-04 18:00:22.600698] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 27.252s

[2022-05-04 18:00:49.201431] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 26.599s

[2022-05-04 18:01:16.864689] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 27.662s

[2022-05-04 18:01:43.358225] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 26.492s

[2022-05-04 18:02:11.222428] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 27.862s

[2022-05-04 18:02:43.118648] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 31.894s

[2022-05-04 18:03:16.338656] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 33.218s

[2022-05-04 18:03:47.372201] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 31.032s

[2022-05-04 18:04:14.254892] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 26.880s

[2022-05-04 18:04:47.319236] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 33.063s

[2022-05-04 18:05:20.979509] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 33.658s

[2022-05-04 18:10:48.651101] INFO: derived_feature_extractor: /y_2015, 20222

[2022-05-04 18:10:50.924135] INFO: derived_feature_extractor: /y_2016, 641546

[2022-05-04 18:10:56.409626] INFO: derived_feature_extractor: /y_2017, 743233

[2022-05-04 18:11:07.780990] INFO: derived_feature_extractor: /y_2018, 816987

[2022-05-04 18:11:12.250472] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[1096.542126s].

[2022-05-04 18:11:12.259893] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 18:11:15.606492] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.825s

[2022-05-04 18:11:16.466826] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.858s

[2022-05-04 18:11:17.332533] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.864s

[2022-05-04 18:11:18.124174] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.790s

[2022-05-04 18:11:18.792095] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.666s

[2022-05-04 18:11:19.462653] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.668s

[2022-05-04 18:11:20.130843] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.667s

[2022-05-04 18:11:20.818608] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.686s

[2022-05-04 18:11:21.535974] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.716s

[2022-05-04 18:11:22.252788] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.715s

[2022-05-04 18:11:22.952046] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.698s

[2022-05-04 18:11:23.747315] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.794s

[2022-05-04 18:11:24.537493] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.789s

[2022-05-04 18:11:25.367263] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.824s

[2022-05-04 18:11:26.112278] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.743s

[2022-05-04 18:11:26.861317] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.748s

[2022-05-04 18:11:27.726824] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.864s

[2022-05-04 18:11:28.506206] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.778s

[2022-05-04 18:11:29.287009] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.779s

[2022-05-04 18:11:30.048983] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.760s

[2022-05-04 18:11:30.766872] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.716s

[2022-05-04 18:11:31.600156] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.831s

[2022-05-04 18:11:32.411938] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.810s

[2022-05-04 18:11:33.317931] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.904s

[2022-05-04 18:11:34.032834] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.713s

[2022-05-04 18:11:34.752820] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.716s

[2022-05-04 18:11:35.474024] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.720s

[2022-05-04 18:11:36.225190] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.750s

[2022-05-04 18:11:39.109697] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 2.883s

[2022-05-04 18:11:41.693234] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 2.582s

[2022-05-04 18:11:44.293620] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 2.599s

[2022-05-04 18:11:47.603634] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 3.308s

[2022-05-04 18:11:51.452030] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 3.846s

[2022-05-04 18:11:54.044746] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 2.591s

[2022-05-04 18:11:56.842530] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 2.796s

[2022-05-04 18:11:58.742883] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 1.899s

[2022-05-04 18:12:00.536566] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 1.792s

[2022-05-04 18:12:02.394017] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 1.856s

[2022-05-04 18:12:04.426941] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 2.031s

[2022-05-04 18:12:06.771006] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 2.342s

[2022-05-04 18:12:08.851578] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 2.079s

[2022-05-04 18:12:10.671550] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 1.818s

[2022-05-04 18:12:38.428324] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 27.755s

[2022-05-04 18:13:01.430690] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 23.001s

[2022-05-04 18:13:26.860231] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 25.428s

[2022-05-04 18:13:50.946450] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 24.084s

[2022-05-04 18:14:16.551542] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 25.603s

[2022-05-04 18:14:39.413514] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 22.860s

[2022-05-04 18:15:02.991439] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 23.576s

[2022-05-04 18:15:28.244856] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 25.252s

[2022-05-04 18:15:51.179947] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 22.934s

[2022-05-04 18:16:19.160894] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 27.979s

[2022-05-04 18:16:45.190382] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 26.028s

[2022-05-04 18:17:09.186674] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 23.995s

[2022-05-04 18:17:34.256456] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 25.068s

[2022-05-04 18:17:59.926809] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 25.669s

[2022-05-04 18:18:26.039004] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 26.111s

[2022-05-04 18:18:54.373490] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 28.333s

[2022-05-04 18:19:21.100027] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 26.722s

[2022-05-04 18:19:48.463837] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 27.362s

[2022-05-04 18:20:13.259852] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 24.793s

[2022-05-04 18:20:37.234093] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 23.973s

[2022-05-04 18:21:01.806845] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 24.571s

[2022-05-04 18:21:02.717669] INFO: derived_feature_extractor: /y_2018, 17720

[2022-05-04 18:21:05.171054] INFO: derived_feature_extractor: /y_2019, 884867

[2022-05-04 18:21:11.239154] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[598.979249s].

[2022-05-04 18:21:11.246681] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 18:33:08.059836] INFO: moduleinvoker: standardlize.v8 运行完成[716.813134s].

[2022-05-04 18:33:08.068194] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 18:35:35.504025] INFO: moduleinvoker: standardlize.v8 运行完成[147.435823s].

[2022-05-04 18:35:35.518168] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 18:37:24.802902] INFO: moduleinvoker: fillnan.v1 运行完成[109.284723s].

[2022-05-04 18:37:24.817355] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 18:37:33.936737] INFO: moduleinvoker: fillnan.v1 运行完成[9.119354s].

[2022-05-04 18:37:33.950134] INFO: moduleinvoker: join.v3 开始运行..

[2022-05-04 18:44:59.052599] INFO: join: /data, 行数=2170232/2206654, 耗时=441.370666s

[2022-05-04 18:44:59.241027] INFO: join: 最终行数: 2170232

[2022-05-04 18:44:59.263950] INFO: moduleinvoker: join.v3 运行完成[445.31381s].

[2022-05-04 18:44:59.325528] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 18:53:05.032825] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[485.707293s].

[2022-05-04 18:53:05.056887] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 19:23:52.266859] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[1847.209986s].

[2022-05-04 19:23:52.287689] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 19:55:16.428415] INFO: moduleinvoker: cached.v3 运行完成[1884.140722s].

[2022-05-04 19:55:16.450843] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 19:55:24.625303] INFO: moduleinvoker: cached.v3 运行完成[8.17446s].

[2022-05-04 19:55:24.691498] INFO: moduleinvoker: backtest.v8 开始运行..

[2022-05-04 19:55:24.705649] INFO: backtest: biglearning backtest:V8.6.2

[2022-05-04 19:55:24.707700] INFO: backtest: product_type:stock by specified

[2022-05-04 19:55:24.804372] INFO: moduleinvoker: cached.v2 开始运行..

[2022-05-04 19:55:24.818069] INFO: moduleinvoker: 命中缓存

[2022-05-04 19:55:24.821184] INFO: moduleinvoker: cached.v2 运行完成[0.016897s].

[2022-05-04 19:55:26.776574] INFO: algo: TradingAlgorithm V1.8.7

[2022-05-04 19:55:27.477512] INFO: algo: trading transform...

[2022-05-04 19:55:57.329131] INFO: Performance: Simulated 244 trading days out of 244.

[2022-05-04 19:55:57.331081] INFO: Performance: first open: 2019-01-02 09:30:00+00:00

[2022-05-04 19:55:57.332476] INFO: Performance: last close: 2019-12-31 15:00:00+00:00

[2022-05-04 19:56:07.032666] INFO: moduleinvoker: backtest.v8 运行完成[42.34118s].

[2022-05-04 19:56:07.035356] INFO: moduleinvoker: trade.v4 运行完成[42.400028s].

[2022-05-04 19:56:07.037388] INFO: AI: [ParallelEx(n_jobs=1)]: Done   5 out of   5 | elapsed: 442.8min remaining:    0.0s

[2022-05-04 19:56:07.047946] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 19:56:07.064269] INFO: moduleinvoker: 命中缓存

[2022-05-04 19:56:07.066735] INFO: moduleinvoker: instruments.v2 运行完成[0.018799s].

[2022-05-04 19:56:07.072929] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-05-04 19:56:07.080701] INFO: moduleinvoker: 命中缓存

[2022-05-04 19:56:07.082650] INFO: moduleinvoker: input_features.v1 运行完成[0.009735s].

[2022-05-04 19:56:07.089610] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 19:56:07.099376] INFO: moduleinvoker: 命中缓存

[2022-05-04 19:56:07.102026] INFO: moduleinvoker: instruments.v2 运行完成[0.012399s].

[2022-05-04 19:56:07.113083] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-05-04 19:56:09.335181] INFO: 自动标注(股票): 加载历史数据: 2445082 行

[2022-05-04 19:56:09.337338] INFO: 自动标注(股票): 开始标注 ..

[2022-05-04 19:56:11.831303] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[4.718212s].

[2022-05-04 19:56:11.859692] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 19:56:13.473714] INFO: 基础特征抽取: 年份 2016, 特征行数=19694

[2022-05-04 19:56:17.039162] INFO: 基础特征抽取: 年份 2017, 特征行数=743233

[2022-05-04 19:56:20.880212] INFO: 基础特征抽取: 年份 2018, 特征行数=816987

[2022-05-04 19:56:24.779805] INFO: 基础特征抽取: 年份 2019, 特征行数=884867

[2022-05-04 19:56:24.953189] INFO: 基础特征抽取: 总行数: 2464781

[2022-05-04 19:56:24.967337] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[13.107645s].

[2022-05-04 19:56:24.995722] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 19:56:26.713369] INFO: 基础特征抽取: 年份 2019, 特征行数=26163

[2022-05-04 19:56:30.635762] INFO: 基础特征抽取: 年份 2020, 特征行数=945961

[2022-05-04 19:56:30.730725] INFO: 基础特征抽取: 总行数: 972124

[2022-05-04 19:56:30.740643] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[5.744943s].

[2022-05-04 19:56:30.749698] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 19:56:51.303026] INFO: moduleinvoker: standardlize.v8 运行完成[20.553315s].

[2022-05-04 19:56:51.313153] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 19:56:59.720853] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 1.636s

[2022-05-04 19:57:01.396499] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.674s

[2022-05-04 19:57:03.072655] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 1.674s

[2022-05-04 19:57:04.798075] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.722s

[2022-05-04 19:57:06.666145] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 1.866s

[2022-05-04 19:57:08.634470] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 1.966s

[2022-05-04 19:57:10.523511] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.887s

[2022-05-04 19:57:12.526010] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 2.000s

[2022-05-04 19:57:14.485336] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 1.957s

[2022-05-04 19:57:16.610414] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 2.123s

[2022-05-04 19:57:18.400130] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.787s

[2022-05-04 19:57:20.088692] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.687s

[2022-05-04 19:57:21.796737] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 1.706s

[2022-05-04 19:57:23.658046] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 1.859s

[2022-05-04 19:57:25.352534] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 1.693s

[2022-05-04 19:57:26.991382] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.637s

[2022-05-04 19:57:28.571938] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.579s

[2022-05-04 19:57:30.185386] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.611s

[2022-05-04 19:57:31.790376] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.604s

[2022-05-04 19:57:33.426497] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 1.635s

[2022-05-04 19:57:34.994433] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.566s

[2022-05-04 19:57:36.589977] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.594s

[2022-05-04 19:57:38.242709] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.651s

[2022-05-04 19:57:39.847637] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.603s

[2022-05-04 19:57:41.461230] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.612s

[2022-05-04 19:57:43.077864] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.615s

[2022-05-04 19:57:44.696755] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.617s

[2022-05-04 19:57:46.344646] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.646s

[2022-05-04 19:57:53.282995] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 6.937s

[2022-05-04 19:58:00.160334] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 6.876s

[2022-05-04 19:58:06.942582] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 6.781s

[2022-05-04 19:58:13.636447] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 6.692s

[2022-05-04 19:58:20.230912] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 6.593s

[2022-05-04 19:58:27.305499] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 7.073s

[2022-05-04 19:58:34.158072] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 6.851s

[2022-05-04 19:58:38.776141] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 4.616s

[2022-05-04 19:58:43.410118] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 4.632s

[2022-05-04 19:58:47.993779] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 4.582s

[2022-05-04 19:58:53.002209] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 5.007s

[2022-05-04 19:58:58.656381] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 5.652s

[2022-05-04 19:59:03.967642] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 5.309s

[2022-05-04 19:59:09.205895] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 5.237s

[2022-05-04 19:59:37.273148] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 28.066s

[2022-05-04 20:00:02.717598] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 25.443s

[2022-05-04 20:00:27.023676] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 24.304s

[2022-05-04 20:00:52.693813] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 25.669s

[2022-05-04 20:01:18.580145] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 25.885s

[2022-05-04 20:01:46.299193] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 27.717s

[2022-05-04 20:02:11.955065] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 25.654s

[2022-05-04 20:02:36.502957] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 24.546s

[2022-05-04 20:03:02.304784] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 25.800s

[2022-05-04 20:03:30.999684] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 28.693s

[2022-05-04 20:03:57.325813] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 26.324s

[2022-05-04 20:04:22.910726] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 25.583s

[2022-05-04 20:04:50.630559] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 27.718s

[2022-05-04 20:05:17.812681] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 27.180s

[2022-05-04 20:05:44.893478] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 27.079s

[2022-05-04 20:06:14.867873] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 29.973s

[2022-05-04 20:06:46.428616] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 31.559s

[2022-05-04 20:07:12.561736] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 26.131s

[2022-05-04 20:07:38.923357] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 26.360s

[2022-05-04 20:08:05.857961] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 26.933s

[2022-05-04 20:08:31.490115] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 25.631s

[2022-05-04 20:08:33.996240] INFO: derived_feature_extractor: /y_2016, 19694

[2022-05-04 20:08:36.703720] INFO: derived_feature_extractor: /y_2017, 743233

[2022-05-04 20:08:43.001426] INFO: derived_feature_extractor: /y_2018, 816987

[2022-05-04 20:08:49.478281] INFO: derived_feature_extractor: /y_2019, 884867

[2022-05-04 20:08:54.366312] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[723.053159s].

[2022-05-04 20:08:54.375361] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 20:08:57.988739] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.822s

[2022-05-04 20:08:58.741625] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 0.751s

[2022-05-04 20:08:59.570614] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.827s

[2022-05-04 20:09:00.317584] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.745s

[2022-05-04 20:09:01.053624] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.735s

[2022-05-04 20:09:01.775350] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.720s

[2022-05-04 20:09:02.521958] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.745s

[2022-05-04 20:09:03.392575] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.869s

[2022-05-04 20:09:04.166804] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.773s

[2022-05-04 20:09:04.947898] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.780s

[2022-05-04 20:09:05.696275] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.747s

[2022-05-04 20:09:06.492511] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.794s

[2022-05-04 20:09:07.296158] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.802s

[2022-05-04 20:09:08.042338] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.745s

[2022-05-04 20:09:08.840730] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.797s

[2022-05-04 20:09:09.638650] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.796s

[2022-05-04 20:09:10.539168] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.899s

[2022-05-04 20:09:11.420902] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.880s

[2022-05-04 20:09:12.198556] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.776s

[2022-05-04 20:09:13.024007] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.824s

[2022-05-04 20:09:13.850911] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 0.825s

[2022-05-04 20:09:14.655673] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.803s

[2022-05-04 20:09:15.433585] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.776s

[2022-05-04 20:09:16.262569] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.827s

[2022-05-04 20:09:17.100228] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.836s

[2022-05-04 20:09:17.938332] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 0.837s

[2022-05-04 20:09:18.751468] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 0.811s

[2022-05-04 20:09:19.519248] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 0.766s

[2022-05-04 20:09:22.338669] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 2.818s

[2022-05-04 20:09:25.068706] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 2.729s

[2022-05-04 20:09:27.802996] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 2.732s

[2022-05-04 20:09:30.566661] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 2.761s

[2022-05-04 20:09:33.489987] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 2.921s

[2022-05-04 20:09:36.671499] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 3.180s

[2022-05-04 20:09:39.811925] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 3.139s

[2022-05-04 20:09:41.984387] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 2.171s

[2022-05-04 20:09:44.103253] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 2.117s

[2022-05-04 20:09:46.250388] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 2.146s

[2022-05-04 20:09:48.229378] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 1.977s

[2022-05-04 20:09:50.367199] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 2.136s

[2022-05-04 20:09:52.662948] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 2.294s

[2022-05-04 20:09:54.869571] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 2.205s

[2022-05-04 20:10:24.704425] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 29.833s

[2022-05-04 20:10:52.113509] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 27.407s

[2022-05-04 20:11:19.611051] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 27.496s

[2022-05-04 20:11:47.558633] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 27.946s

[2022-05-04 20:12:15.033569] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 27.473s

[2022-05-04 20:12:44.554992] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 29.520s

[2022-05-04 20:13:12.661571] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 28.105s

[2022-05-04 20:13:40.239693] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 27.576s

[2022-05-04 20:14:07.637338] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 27.396s

[2022-05-04 20:14:35.546037] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 27.906s

[2022-05-04 20:15:05.218204] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 29.670s

[2022-05-04 20:15:31.675048] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 26.455s

[2022-05-04 20:15:57.923632] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 26.247s

[2022-05-04 20:16:27.099792] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 29.174s

[2022-05-04 20:16:56.843701] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 29.742s

[2022-05-04 20:17:27.785114] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 30.940s

[2022-05-04 20:17:56.562119] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 28.775s

[2022-05-04 20:18:22.776699] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 26.213s

[2022-05-04 20:18:50.303644] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 27.525s

[2022-05-04 20:19:20.031140] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 29.726s

[2022-05-04 20:19:50.663959] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 30.631s

[2022-05-04 20:19:51.769944] INFO: derived_feature_extractor: /y_2019, 26163

[2022-05-04 20:19:54.223230] INFO: derived_feature_extractor: /y_2020, 945961

[2022-05-04 20:20:00.106650] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[665.731283s].

[2022-05-04 20:20:00.113497] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 20:28:00.621687] INFO: moduleinvoker: standardlize.v8 运行完成[480.508176s].

[2022-05-04 20:28:00.631345] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 20:29:40.586864] INFO: moduleinvoker: standardlize.v8 运行完成[99.955511s].

[2022-05-04 20:29:40.603111] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 20:32:02.278160] INFO: moduleinvoker: fillnan.v1 运行完成[141.675042s].

[2022-05-04 20:32:02.288890] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 20:32:12.403308] INFO: moduleinvoker: fillnan.v1 运行完成[10.114411s].

[2022-05-04 20:32:12.414691] INFO: moduleinvoker: join.v3 开始运行..

[2022-05-04 20:46:04.340126] INFO: join: /data, 行数=2412561/2448510, 耗时=827.676521s

[2022-05-04 20:46:04.682283] INFO: join: 最终行数: 2412561

[2022-05-04 20:46:04.704446] INFO: moduleinvoker: join.v3 运行完成[832.289734s].

[2022-05-04 20:46:04.732683] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 20:48:39.275221] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[154.54255s].

[2022-05-04 20:48:39.299542] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 21:34:37.319626] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[2758.020118s].

[2022-05-04 21:34:37.347828] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 22:08:42.192997] INFO: moduleinvoker: cached.v3 运行完成[2044.84516s].

[2022-05-04 22:08:42.218230] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 22:08:50.198227] INFO: moduleinvoker: cached.v3 运行完成[7.980009s].

[2022-05-04 22:08:50.311302] INFO: moduleinvoker: backtest.v8 开始运行..

[2022-05-04 22:08:50.318193] INFO: backtest: biglearning backtest:V8.6.2

[2022-05-04 22:08:50.322960] INFO: backtest: product_type:stock by specified

[2022-05-04 22:08:50.458036] INFO: moduleinvoker: cached.v2 开始运行..

[2022-05-04 22:08:50.478104] INFO: moduleinvoker: 命中缓存

[2022-05-04 22:08:50.480890] INFO: moduleinvoker: cached.v2 运行完成[0.022976s].

[2022-05-04 22:08:53.037720] INFO: algo: TradingAlgorithm V1.8.7

[2022-05-04 22:08:53.808455] INFO: algo: trading transform...

[2022-05-04 22:09:24.690101] INFO: Performance: Simulated 243 trading days out of 243.

[2022-05-04 22:09:24.691836] INFO: Performance: first open: 2020-01-02 09:30:00+00:00

[2022-05-04 22:09:24.693070] INFO: Performance: last close: 2020-12-31 15:00:00+00:00

[2022-05-04 22:09:33.278428] INFO: moduleinvoker: backtest.v8 运行完成[42.967131s].

[2022-05-04 22:09:33.280519] INFO: moduleinvoker: trade.v4 运行完成[43.069503s].

[2022-05-04 22:09:33.282092] INFO: AI: [ParallelEx(n_jobs=1)]: Done   6 out of   6 | elapsed: 576.2min remaining:    0.0s

[2022-05-04 22:09:33.291593] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 22:09:33.302731] INFO: moduleinvoker: 命中缓存

[2022-05-04 22:09:33.304629] INFO: moduleinvoker: instruments.v2 运行完成[0.013039s].

[2022-05-04 22:09:33.311442] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-05-04 22:09:33.320283] INFO: moduleinvoker: 命中缓存

[2022-05-04 22:09:33.322999] INFO: moduleinvoker: input_features.v1 运行完成[0.011585s].

[2022-05-04 22:09:33.332687] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-05-04 22:09:33.339518] INFO: moduleinvoker: 命中缓存

[2022-05-04 22:09:33.341321] INFO: moduleinvoker: instruments.v2 运行完成[0.008641s].

[2022-05-04 22:09:33.355177] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-05-04 22:09:33.368111] INFO: moduleinvoker: 命中缓存

[2022-05-04 22:09:33.371336] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.016208s].

[2022-05-04 22:09:33.396445] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 22:09:34.899610] INFO: 基础特征抽取: 年份 2017, 特征行数=19477

[2022-05-04 22:09:38.868849] INFO: 基础特征抽取: 年份 2018, 特征行数=816987

[2022-05-04 22:09:44.774886] INFO: 基础特征抽取: 年份 2019, 特征行数=884867

[2022-05-04 22:09:49.362816] INFO: 基础特征抽取: 年份 2020, 特征行数=945961

[2022-05-04 22:09:49.560506] INFO: 基础特征抽取: 总行数: 2667292

[2022-05-04 22:09:49.580713] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[16.184292s].

[2022-05-04 22:09:49.600686] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-05-04 22:09:51.463936] INFO: 基础特征抽取: 年份 2020, 特征行数=32852

[2022-05-04 22:09:57.137234] INFO: 基础特征抽取: 年份 2021, 特征行数=1061527

[2022-05-04 22:09:57.235658] INFO: 基础特征抽取: 总行数: 1094379

[2022-05-04 22:09:57.248869] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[7.648189s].

[2022-05-04 22:09:57.257468] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 22:09:57.266840] INFO: moduleinvoker: 命中缓存

[2022-05-04 22:09:57.268933] INFO: moduleinvoker: standardlize.v8 运行完成[0.01147s].

[2022-05-04 22:09:57.282467] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 22:10:07.519752] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 2.095s

[2022-05-04 22:10:09.811587] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 2.290s

[2022-05-04 22:10:11.863378] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 2.050s

[2022-05-04 22:10:13.812301] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 1.947s

[2022-05-04 22:10:15.815342] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 2.001s

[2022-05-04 22:10:17.818816] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 2.002s

[2022-05-04 22:10:19.813591] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 1.993s

[2022-05-04 22:10:21.744391] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 1.929s

[2022-05-04 22:10:24.305657] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 2.560s

[2022-05-04 22:10:26.484433] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 2.177s

[2022-05-04 22:10:28.375550] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 1.890s

[2022-05-04 22:10:30.307066] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 1.930s

[2022-05-04 22:10:32.728285] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 2.419s

[2022-05-04 22:10:35.148326] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 2.416s

[2022-05-04 22:10:37.152773] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 2.003s

[2022-05-04 22:10:39.004060] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 1.850s

[2022-05-04 22:10:40.930445] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 1.925s

[2022-05-04 22:10:42.720467] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 1.788s

[2022-05-04 22:10:44.497900] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 1.776s

[2022-05-04 22:10:46.549382] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 2.044s

[2022-05-04 22:10:48.382645] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.832s

[2022-05-04 22:10:50.194493] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 1.810s

[2022-05-04 22:10:51.963142] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 1.767s

[2022-05-04 22:10:53.865826] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 1.901s

[2022-05-04 22:10:55.737292] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 1.869s

[2022-05-04 22:10:57.650490] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.912s

[2022-05-04 22:10:59.549950] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.898s

[2022-05-04 22:11:01.525742] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.974s

[2022-05-04 22:11:09.980969] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 8.453s

[2022-05-04 22:11:19.255297] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 9.273s

[2022-05-04 22:11:27.154820] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 7.896s

[2022-05-04 22:11:36.458132] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 9.302s

[2022-05-04 22:11:44.982568] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 8.522s

[2022-05-04 22:11:52.752086] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 7.768s

[2022-05-04 22:12:00.425081] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 7.671s

[2022-05-04 22:12:05.626687] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 5.200s

[2022-05-04 22:12:10.952426] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 5.324s

[2022-05-04 22:12:17.709804] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 6.755s

[2022-05-04 22:12:23.196474] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 5.485s

[2022-05-04 22:12:28.486110] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 5.288s

[2022-05-04 22:12:34.956643] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 6.469s

[2022-05-04 22:12:40.983255] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 6.024s

[2022-05-04 22:13:10.984048] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 29.999s

[2022-05-04 22:13:44.226985] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 33.241s

[2022-05-04 22:14:16.780866] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 32.552s

[2022-05-04 22:14:43.718160] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 26.935s

[2022-05-04 22:15:12.495825] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 28.776s

[2022-05-04 22:15:42.411496] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 29.914s

[2022-05-04 22:16:11.716711] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 29.304s

[2022-05-04 22:16:41.078422] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 29.360s

[2022-05-04 22:17:14.927345] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 33.847s

[2022-05-04 22:17:48.067261] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 33.138s

[2022-05-04 22:18:20.584744] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 32.515s

[2022-05-04 22:18:49.294868] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 28.708s

[2022-05-04 22:19:18.290945] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 28.991s

[2022-05-04 22:19:48.251278] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 29.959s

[2022-05-04 22:20:22.552210] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 34.299s

[2022-05-04 22:20:56.942570] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 34.388s

[2022-05-04 22:21:27.435015] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 30.491s

[2022-05-04 22:21:58.615584] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 31.177s

[2022-05-04 22:22:32.094307] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 33.477s

[2022-05-04 22:23:02.254282] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 30.158s

[2022-05-04 22:23:35.924629] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 33.668s

[2022-05-04 22:23:38.480252] INFO: derived_feature_extractor: /y_2017, 19477

[2022-05-04 22:23:40.682347] INFO: derived_feature_extractor: /y_2018, 816987

[2022-05-04 22:23:47.387309] INFO: derived_feature_extractor: /y_2019, 884867

[2022-05-04 22:23:56.071700] INFO: derived_feature_extractor: /y_2020, 945961

[2022-05-04 22:24:02.234325] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[844.95189s].

[2022-05-04 22:24:02.264338] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-05-04 22:24:06.068364] INFO: derived_feature_extractor: 提取完成 mean(close_0, 5), 0.821s

[2022-05-04 22:24:07.079939] INFO: derived_feature_extractor: 提取完成 mean(low_0, 5), 1.009s

[2022-05-04 22:24:08.045965] INFO: derived_feature_extractor: 提取完成 mean(open_0, 5), 0.964s

[2022-05-04 22:24:09.010831] INFO: derived_feature_extractor: 提取完成 mean(high_0, 5), 0.963s

[2022-05-04 22:24:09.908568] INFO: derived_feature_extractor: 提取完成 mean(turn_0, 5), 0.896s

[2022-05-04 22:24:10.822034] INFO: derived_feature_extractor: 提取完成 mean(amount_0, 5), 0.912s

[2022-05-04 22:24:11.709887] INFO: derived_feature_extractor: 提取完成 mean(return_0, 5), 0.886s

[2022-05-04 22:24:12.617561] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.906s

[2022-05-04 22:24:13.530455] INFO: derived_feature_extractor: 提取完成 ts_max(low_0, 5), 0.911s

[2022-05-04 22:24:14.402994] INFO: derived_feature_extractor: 提取完成 ts_max(open_0, 5), 0.871s

[2022-05-04 22:24:15.193162] INFO: derived_feature_extractor: 提取完成 ts_max(high_0, 5), 0.789s

[2022-05-04 22:24:15.964588] INFO: derived_feature_extractor: 提取完成 ts_max(turn_0, 5), 0.770s

[2022-05-04 22:24:16.761607] INFO: derived_feature_extractor: 提取完成 ts_max(amount_0, 5), 0.796s

[2022-05-04 22:24:17.528220] INFO: derived_feature_extractor: 提取完成 ts_max(return_0, 5), 0.765s

[2022-05-04 22:24:18.320286] INFO: derived_feature_extractor: 提取完成 ts_min(close_0, 5), 0.790s

[2022-05-04 22:24:19.113548] INFO: derived_feature_extractor: 提取完成 ts_min(low_0, 5), 0.792s

[2022-05-04 22:24:19.900363] INFO: derived_feature_extractor: 提取完成 ts_min(open_0, 5), 0.785s

[2022-05-04 22:24:20.673977] INFO: derived_feature_extractor: 提取完成 ts_min(high_0, 5), 0.772s

[2022-05-04 22:24:21.487195] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0, 5), 0.812s

[2022-05-04 22:24:22.264601] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0, 5), 0.776s

[2022-05-04 22:24:23.349286] INFO: derived_feature_extractor: 提取完成 ts_min(return_0, 5), 1.083s

[2022-05-04 22:24:24.299408] INFO: derived_feature_extractor: 提取完成 std(close_0, 5), 0.946s

[2022-05-04 22:24:25.185160] INFO: derived_feature_extractor: 提取完成 std(low_0, 5), 0.884s

[2022-05-04 22:24:26.071185] INFO: derived_feature_extractor: 提取完成 std(open_0, 5), 0.884s

[2022-05-04 22:24:26.959460] INFO: derived_feature_extractor: 提取完成 std(high_0, 5), 0.887s

[2022-05-04 22:24:28.173652] INFO: derived_feature_extractor: 提取完成 std(turn_0, 5), 1.213s

[2022-05-04 22:24:29.260811] INFO: derived_feature_extractor: 提取完成 std(amount_0, 5), 1.084s

[2022-05-04 22:24:30.313417] INFO: derived_feature_extractor: 提取完成 std(return_0, 5), 1.050s

[2022-05-04 22:24:33.818450] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 3.503s

[2022-05-04 22:24:36.893490] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0, 5), 3.073s

[2022-05-04 22:24:39.932454] INFO: derived_feature_extractor: 提取完成 ts_rank(open_0, 5), 3.037s

[2022-05-04 22:24:43.075796] INFO: derived_feature_extractor: 提取完成 ts_rank(high_0, 5), 3.141s

[2022-05-04 22:24:46.248749] INFO: derived_feature_extractor: 提取完成 ts_rank(turn_0, 5), 3.171s

[2022-05-04 22:24:49.336378] INFO: derived_feature_extractor: 提取完成 ts_rank(amount_0, 5), 3.086s

[2022-05-04 22:24:52.568935] INFO: derived_feature_extractor: 提取完成 ts_rank(return_0, 5), 3.231s

[2022-05-04 22:24:55.037499] INFO: derived_feature_extractor: 提取完成 decay_linear(close_0, 5), 2.466s

[2022-05-04 22:24:57.515312] INFO: derived_feature_extractor: 提取完成 decay_linear(low_0, 5), 2.476s

[2022-05-04 22:25:00.110353] INFO: derived_feature_extractor: 提取完成 decay_linear(open_0, 5), 2.593s

[2022-05-04 22:25:02.475356] INFO: derived_feature_extractor: 提取完成 decay_linear(high_0, 5), 2.363s

[2022-05-04 22:25:05.022672] INFO: derived_feature_extractor: 提取完成 decay_linear(turn_0, 5), 2.545s

[2022-05-04 22:25:07.257782] INFO: derived_feature_extractor: 提取完成 decay_linear(amount_0, 5), 2.233s

[2022-05-04 22:25:09.751064] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 2.491s

[2022-05-04 22:25:40.045965] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, return_0, 5), 30.292s

[2022-05-04 22:26:09.500213] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, high_0, 5), 29.453s

[2022-05-04 22:26:38.905327] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, low_0, 5), 29.403s

[2022-05-04 22:27:09.476621] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, close_0, 5), 30.570s

[2022-05-04 22:27:40.226815] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, open_0, 5), 30.749s

[2022-05-04 22:28:10.498076] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 30.270s

[2022-05-04 22:28:40.077181] INFO: derived_feature_extractor: 提取完成 correlation(return_0, high_0, 5), 29.577s

[2022-05-04 22:29:10.020372] INFO: derived_feature_extractor: 提取完成 correlation(return_0, low_0, 5), 29.942s

[2022-05-04 22:29:40.186874] INFO: derived_feature_extractor: 提取完成 correlation(return_0, close_0, 5), 30.165s

[2022-05-04 22:30:12.876093] INFO: derived_feature_extractor: 提取完成 correlation(return_0, open_0, 5), 32.688s

[2022-05-04 22:30:44.114117] INFO: derived_feature_extractor: 提取完成 correlation(return_0, turn_0, 5), 31.236s

[2022-05-04 22:31:14.955340] INFO: derived_feature_extractor: 提取完成 correlation(high_0, low_0, 5), 30.839s

[2022-05-04 22:31:48.108062] INFO: derived_feature_extractor: 提取完成 correlation(high_0, close_0, 5), 33.149s

[2022-05-04 22:32:20.332117] INFO: derived_feature_extractor: 提取完成 correlation(high_0, open_0, 5), 32.222s

[2022-05-04 22:32:52.866135] INFO: derived_feature_extractor: 提取完成 correlation(high_0, turn_0, 5), 32.532s

[2022-05-04 22:33:23.999888] INFO: derived_feature_extractor: 提取完成 correlation(low_0, close_0, 5), 31.132s

[2022-05-04 22:33:55.700321] INFO: derived_feature_extractor: 提取完成 correlation(low_0, open_0, 5), 31.699s

[2022-05-04 22:34:26.708199] INFO: derived_feature_extractor: 提取完成 correlation(low_0, turn_0, 5), 31.006s

[2022-05-04 22:35:03.987892] INFO: derived_feature_extractor: 提取完成 correlation(close_0, open_0, 5), 37.278s

[2022-05-04 22:35:37.689934] INFO: derived_feature_extractor: 提取完成 correlation(close_0, turn_0, 5), 33.700s

[2022-05-04 22:36:07.846125] INFO: derived_feature_extractor: 提取完成 correlation(open_0, turn_0, 5), 30.154s

[2022-05-04 22:36:09.037891] INFO: derived_feature_extractor: /y_2020, 32852

[2022-05-04 22:36:11.592997] INFO: derived_feature_extractor: /y_2021, 1061527

[2022-05-04 22:36:17.612373] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[735.348042s].

[2022-05-04 22:36:17.620749] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 22:47:43.167492] INFO: moduleinvoker: standardlize.v8 运行完成[685.546671s].

[2022-05-04 22:47:43.177261] INFO: moduleinvoker: standardlize.v8 开始运行..

[2022-05-04 22:49:36.088011] INFO: moduleinvoker: standardlize.v8 运行完成[112.91072s].

[2022-05-04 22:49:36.104568] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 22:50:49.908963] INFO: moduleinvoker: fillnan.v1 运行完成[73.804385s].

[2022-05-04 22:50:49.925560] INFO: moduleinvoker: fillnan.v1 开始运行..

[2022-05-04 22:51:01.012665] INFO: moduleinvoker: fillnan.v1 运行完成[11.087124s].

[2022-05-04 22:51:01.026613] INFO: moduleinvoker: join.v3 开始运行..

[2022-05-04 22:53:50.782096] INFO: join: /data, 行数=2611130/2649327, 耗时=160.779809s

[2022-05-04 22:53:50.936076] INFO: join: 最终行数: 2611130

[2022-05-04 22:53:51.019276] INFO: moduleinvoker: join.v3 运行完成[169.99266s].

[2022-05-04 22:53:51.104542] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 22:54:55.896736] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[64.792221s].

[2022-05-04 22:54:55.922309] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2022-05-04 23:11:51.602865] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[1015.680641s].

[2022-05-04 23:11:51.623126] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 23:35:41.334570] INFO: moduleinvoker: cached.v3 运行完成[1429.711445s].

[2022-05-04 23:35:41.352882] INFO: moduleinvoker: cached.v3 开始运行..

[2022-05-04 23:35:50.426702] INFO: moduleinvoker: cached.v3 运行完成[9.073679s].

[2022-05-04 23:35:50.511275] INFO: moduleinvoker: backtest.v8 开始运行..

[2022-05-04 23:35:50.517758] INFO: backtest: biglearning backtest:V8.6.2

[2022-05-04 23:35:50.519596] INFO: backtest: product_type:stock by specified

[2022-05-04 23:35:50.628068] INFO: moduleinvoker: cached.v2 开始运行..

[2022-05-04 23:35:55.771361] INFO: backtest: 读取股票行情完成:2160246

[2022-05-04 23:35:57.725526] INFO: moduleinvoker: cached.v2 运行完成[7.097507s].

[2022-05-04 23:35:59.931421] INFO: algo: TradingAlgorithm V1.8.7

[2022-05-04 23:36:00.752766] INFO: algo: trading transform...

[2022-05-04 23:36:32.590234] INFO: Performance: Simulated 243 trading days out of 243.

[2022-05-04 23:36:32.592049] INFO: Performance: first open: 2021-01-04 09:30:00+00:00

[2022-05-04 23:36:32.593489] INFO: Performance: last close: 2021-12-31 15:00:00+00:00

[2022-05-04 23:36:48.661567] INFO: moduleinvoker: backtest.v8 运行完成[58.1502s].

[2022-05-04 23:36:48.664198] INFO: moduleinvoker: trade.v4 运行完成[58.226022s].

[2022-05-04 23:36:48.667314] INFO: AI: [ParallelEx(n_jobs=1)]: Done   7 out of   7 | elapsed: 663.5min remaining:    0.0s

[2022-05-04 23:36:48.669206] INFO: AI: [ParallelEx(n_jobs=1)]: Done   7 out of   7 | elapsed: 663.5min finished

[2022-05-04 23:36:48.671303] INFO: moduleinvoker: hyper_run.v1 运行完成[39808.226625s].

7 [{'parameters': {'m22.start_date': '2012-01-01', 'm22.end_date': '2014-12-31', 'm26.start_date': '2015-01-01', 'm26.end_date': '2015-12-31'}}, {'parameters': {'m22.start_date': '2013-01-01', 'm22.end_date': '2015-12-31', 'm26.start_date': '2016-01-01', 'm26.end_date': '2016-12-31'}}, {'parameters': {'m22.start_date': '2014-01-01', 'm22.end_date': '2016-12-31', 'm26.start_date': '2017-01-01', 'm26.end_date': '2017-12-31'}}, {'parameters': {'m22.start_date': '2015-01-01', 'm22.end_date': '2017-12-31', 'm26.start_date': '2018-01-01', 'm26.end_date': '2018-12-31'}}, {'parameters': {'m22.start_date': '2016-01-01', 'm22.end_date': '2018-12-31', 'm26.start_date': '2019-01-01', 'm26.end_date': '2019-12-31'}}, {'parameters': {'m22.start_date': '2017-01-01', 'm22.end_date': '2019-12-31', 'm26.start_date': '2020-01-01', 'm26.end_date': '2020-12-31'}}, {'parameters': {'m22.start_date': '2018-01-01', 'm22.end_date': '2020-12-31', 'm26.start_date': '2021-01-01', 'm26.end_date': '2021-12-31'}}]

{'m22.start_date': '2012-01-01', 'm22.end_date': '2014-12-31', 'm26.start_date': '2015-01-01', 'm26.end_date': '2015-12-31'}

epoch 0   |  train_loss 1.01948|  vall_loss 0.98017|  0:01:17s
epoch 1   |  train_loss 0.99062|  vall_loss 0.98741|  0:02:31s
epoch 2   |  train_loss 0.99069|  vall_loss 0.98374|  0:03:45s
epoch 3   |  train_loss 0.99113|  vall_loss 0.98401|  0:05:00s
epoch 4   |  train_loss 0.99065|  vall_loss 0.98242|  0:06:17s
epoch 5   |  train_loss 0.98941|  vall_loss 0.98289|  0:07:35s
epoch 6   |  train_loss 0.98932|  vall_loss 0.98209|  0:08:51s
epoch 7   |  train_loss 0.98858|  vall_loss 0.98126|  0:10:09s
epoch 8   |  train_loss 0.98860|  vall_loss 0.98259|  0:11:28s
epoch 9   |  train_loss 0.98822|  vall_loss 0.98114|  0:12:44s

收益率284.06%
年化收益率301.39%
基准收益率5.58%
阿尔法3.09
贝塔0.98
夏普比率2.77
胜率0.66
盈亏比1.0
收益波动率54.55%
信息比率0.23
最大回撤49.57%

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-a44dd19caf60450aa62c957856fd7db5"}/bigcharts-data-end

{'m22.start_date': '2013-01-01', 'm22.end_date': '2015-12-31', 'm26.start_date': '2016-01-01', 'm26.end_date': '2016-12-31'}

epoch 0   |  train_loss 1.03173|  vall_loss 0.97674|  0:01:13s
epoch 1   |  train_loss 0.98885|  vall_loss 0.99058|  0:02:26s
epoch 2   |  train_loss 0.98916|  vall_loss 0.98212|  0:03:42s
epoch 3   |  train_loss 0.98863|  vall_loss 0.97968|  0:05:00s
epoch 4   |  train_loss 0.98897|  vall_loss 0.97933|  0:06:20s
epoch 5   |  train_loss 0.98805|  vall_loss 0.97884|  0:07:42s
epoch 6   |  train_loss 0.98778|  vall_loss 0.97758|  0:09:01s
epoch 7   |  train_loss 0.98702|  vall_loss 0.97773|  0:10:23s
epoch 8   |  train_loss 0.98630|  vall_loss 0.97787|  0:11:55s
epoch 9   |  train_loss 0.98597|  vall_loss 0.97875|  0:13:24s

收益率89.22%
年化收益率93.22%
基准收益率-11.28%
阿尔法1.32
贝塔1.17
夏普比率1.98
胜率0.62
盈亏比1.18
收益波动率34.88%
信息比率0.22
最大回撤17.55%

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-8ce01877345b4bd48ff128dc2f8f160a"}/bigcharts-data-end

{'m22.start_date': '2014-01-01', 'm22.end_date': '2016-12-31', 'm26.start_date': '2017-01-01', 'm26.end_date': '2017-12-31'}

epoch 0   |  train_loss 1.02499|  vall_loss 0.98968|  0:01:15s
epoch 1   |  train_loss 0.98723|  vall_loss 0.99005|  0:02:30s
epoch 2   |  train_loss 0.98719|  vall_loss 0.98856|  0:03:52s
epoch 3   |  train_loss 0.98668|  vall_loss 0.98888|  0:05:19s
epoch 4   |  train_loss 0.98645|  vall_loss 0.99129|  0:06:42s
epoch 5   |  train_loss 0.98656|  vall_loss 0.98843|  0:08:10s
epoch 6   |  train_loss 0.98624|  vall_loss 0.99405|  0:09:35s
epoch 7   |  train_loss 0.98600|  vall_loss 0.98800|  0:10:54s
epoch 8   |  train_loss 0.98534|  vall_loss 0.98730|  0:12:12s
epoch 9   |  train_loss 0.98495|  vall_loss 0.98702|  0:13:30s

收益率-3.69%
年化收益率-3.81%
基准收益率21.78%
阿尔法-0.15
贝塔0.74
夏普比率-0.1
胜率0.56
盈亏比0.87
收益波动率28.27%
信息比率-0.05
最大回撤21.93%

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-e7ac294ed80c4151950b27d0153c1dfc"}/bigcharts-data-end

{'m22.start_date': '2015-01-01', 'm22.end_date': '2017-12-31', 'm26.start_date': '2018-01-01', 'm26.end_date': '2018-12-31'}

epoch 0   |  train_loss 1.02033|  vall_loss 0.98423|  0:01:41s
epoch 1   |  train_loss 0.99062|  vall_loss 0.98572|  0:03:18s
epoch 2   |  train_loss 0.99073|  vall_loss 0.98440|  0:04:55s
epoch 3   |  train_loss 0.99036|  vall_loss 0.98526|  0:06:30s
epoch 4   |  train_loss 0.99014|  vall_loss 0.98723|  0:08:06s
epoch 5   |  train_loss 0.98958|  vall_loss 0.98444|  0:09:39s
epoch 6   |  train_loss 0.98934|  vall_loss 0.98433|  0:11:13s
epoch 7   |  train_loss 0.98874|  vall_loss 0.98346|  0:12:44s
epoch 8   |  train_loss 0.98811|  vall_loss 0.98375|  0:14:23s
epoch 9   |  train_loss 0.98772|  vall_loss 0.98253|  0:16:02s

收益率12.01%
年化收益率12.49%
基准收益率-25.31%
阿尔法0.62
贝塔1.07
夏普比率0.43
胜率0.56
盈亏比0.98
收益波动率35.76%
信息比率0.11
最大回撤27.01%

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-750927045ebf4edab63e37589a0ddde5"}/bigcharts-data-end

{'m22.start_date': '2016-01-01', 'm22.end_date': '2018-12-31', 'm26.start_date': '2019-01-01', 'm26.end_date': '2019-12-31'}

epoch 0   |  train_loss 1.01541|  vall_loss 0.98233|  0:01:55s
epoch 1   |  train_loss 0.99320|  vall_loss 0.98423|  0:03:44s
epoch 2   |  train_loss 0.99249|  vall_loss 0.98444|  0:05:27s
epoch 3   |  train_loss 0.99189|  vall_loss 0.98480|  0:07:13s
epoch 4   |  train_loss 0.99136|  vall_loss 0.98261|  0:08:57s
epoch 5   |  train_loss 0.99078|  vall_loss 0.98243|  0:10:48s
epoch 6   |  train_loss 0.99022|  vall_loss 0.98391|  0:12:33s
epoch 7   |  train_loss 0.98949|  vall_loss 0.98149|  0:14:06s
epoch 8   |  train_loss 0.98925|  vall_loss 0.98187|  0:15:38s
epoch 9   |  train_loss 0.98865|  vall_loss 0.98096|  0:17:08s

收益率35.16%
年化收益率36.51%
基准收益率36.07%
阿尔法0.04
贝塔0.89
夏普比率1.24
胜率0.54
盈亏比1.24
收益波动率25.22%
信息比率0.0
最大回撤16.52%

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-484a5b0ef498455abe686b64bdc2d4e5"}/bigcharts-data-end

{'m22.start_date': '2017-01-01', 'm22.end_date': '2019-12-31', 'm26.start_date': '2020-01-01', 'm26.end_date': '2020-12-31'}

epoch 0   |  train_loss 1.01878|  vall_loss 0.98826|  0:02:11s
epoch 1   |  train_loss 0.99323|  vall_loss 0.99103|  0:04:17s
epoch 2   |  train_loss 0.99267|  vall_loss 0.98930|  0:06:33s
epoch 3   |  train_loss 0.99221|  vall_loss 0.98966|  0:08:31s
epoch 4   |  train_loss 0.99175|  vall_loss 0.98905|  0:10:25s
epoch 5   |  train_loss 0.99118|  vall_loss 0.98965|  0:12:25s
epoch 6   |  train_loss 0.99083|  vall_loss 0.98861|  0:14:29s
epoch 7   |  train_loss 0.99086|  vall_loss 0.98838|  0:16:36s
epoch 8   |  train_loss 0.99035|  vall_loss 0.98904|  0:18:49s
epoch 9   |  train_loss 0.99004|  vall_loss 0.98811|  0:21:00s

收益率27.19%
年化收益率28.32%
基准收益率27.21%
阿尔法0.05
贝塔0.84
夏普比率0.97
胜率0.51
盈亏比1.28
收益波动率26.12%
信息比率0.0
最大回撤13.29%

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-9745d5d1984849909003e079ac912045"}/bigcharts-data-end

{'m22.start_date': '2018-01-01', 'm22.end_date': '2020-12-31', 'm26.start_date': '2021-01-01', 'm26.end_date': '2021-12-31'}

epoch 0   |  train_loss 1.01358|  vall_loss 0.99172|  0:02:05s
epoch 1   |  train_loss 0.99273|  vall_loss 0.99548|  0:04:12s
epoch 2   |  train_loss 0.99173|  vall_loss 0.99137|  0:06:20s
epoch 3   |  train_loss 0.99111|  vall_loss 0.99151|  0:08:19s
epoch 4   |  train_loss 0.99075|  vall_loss 0.99128|  0:10:24s
epoch 5   |  train_loss 0.98977|  vall_loss 0.99076|  0:12:25s
epoch 6   |  train_loss 0.98941|  vall_loss 0.99103|  0:14:25s
epoch 7   |  train_loss 0.98889|  vall_loss 0.98910|  0:16:21s
epoch 8   |  train_loss 0.98844|  vall_loss 0.98919|  0:18:22s
epoch 9   |  train_loss 0.98804|  vall_loss 0.98922|  0:20:23s

收益率41.09%
年化收益率42.9%
基准收益率-5.2%
阿尔法0.45
贝塔0.29
夏普比率1.55
胜率0.49
盈亏比1.54
收益波动率22.78%
信息比率0.1
最大回撤12.94%

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-356b44a6ed7440eaac429e8ec48d7a80"}/bigcharts-data-end

In [4]:

df = pd.DataFrame() 
for i in range(len(m3.result)):
    tmp = m3.result[i]['m42'].raw_perf.read()
    df = df.append(tmp[['returns','benchmark_period_return']])
    
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,
      '收益回测比': abs(annual_return_ratio / max_drawdown)
    }
d=get_stats(df['returns'], df['benchmark_period_return'])
df1=pd.DataFrame.from_dict(d,orient='index')
df1.T

Out[4]:

	return_ratio	annual_return_ratio	beta	alpha	sharp_ratio	return_volatility	max_drawdown	收益回测比
0	18.016166	0.545451	0.536771	0.608162	1.346483	0.341129	-0.495667	1.100437

In [5]:

T.plot((df['returns']+1).cumprod())

In [ ]: