【代码报错】高频数据自建因子策略SQL输出为空数据
由bqkbdhd8创建,最终由small_q 被浏览 8 用户
基于高频数据自建因子构建策略 sql 输出为空数据
import dai
sql = """
SELECT
wq_test_1016_.factor as factor,
ln(cn_stock_prefactors.total_market_cap) as marcket_cap,
cn_stock_prefactors.sw2021_level1 as sw2021_level1,
m_avg(c_neutralize(factor,sw2021_level1,marcket_cap),10) as score,
date,
instrument
FROM cn_stock_prefactors
JOIN wq_test_1016_ USING(date, instrument)
WHERE cn_stock_prefactors.sw2021_level1 is not null
AND cn_stock_prefactors.total_market_cap is not null
QUALIFY
is_risk_warning = 0
AND net_profit_to_parent_deducted_ttm>0
AND c_pct_rank(total_market_cap) < 0.1
AND close/adjust_factor>1.5
AND list_sector IN (1, 2)
AND list_days > 365
AND suspended = 0
AND price_limit_status != 1
AND COLUMNS(*) IS NOT NULL
ORDER BY date, instrument
"""
df_all = dai.query(sql,filters={"date": ["2024-01-01", "2024-10-19"]}).df()
df_all
#输出是空
\