shenglinqian / quant_feature_engineering

feature engineering for quant

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quant_feature_engineering

feature engineering for quant

用于生成资产的特征工程项目,主要输入数据为价量数据,输出为短期涨跌或者是短期相对大盘的涨跌(超额收益)

输入数据格式为dataframe,索引为date,字段为open high low close volume

调用示例

import feature_engineering as fea_eng
#生成特征函数列表
feature_funcs=fea_eng.my_features_functions()
my_func_name_list=feature_funcs.get_all_methold()
func_list=[]
for func_name in my_func_name_list:
      func_list.append(eval("feature_funcs."+func_name))

#生成特征,25是滚动天数
my_fea_eng=fea_eng.feature_engineering(func_list,25)
pip_df_result=my_fea_eng.output_feature(data)

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feature engineering for quant

License:MIT License


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Language:Python 100.0%