wehub-resource-sync
209 lines
12 KiB
Python
209 lines
12 KiB
Python
from rdagent.core.experiment import FBWorkspace
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from rdagent.utils.env import QlibCondaConf, QlibCondaEnv
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ALPHA20 = {
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"RESI5": "Resi($close, 5)/$close",
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"WVMA5": "Std(Abs($close/Ref($close, 1)-1)*$volume, 5)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 5)+1e-12)",
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"RSQR5": "Rsquare($close, 5)",
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"KLEN": "($high-$low)/$open",
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"RSQR10": "Rsquare($close, 10)",
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"CORR5": "Corr($close, Log($volume+1), 5)",
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"CORD5": "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 5)",
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"CORR10": "Corr($close, Log($volume+1), 10)",
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"ROC60": "Ref($close, 60)/$close",
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"RESI10": "Resi($close, 10)/$close",
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"VSTD5": "Std($volume, 5)/($volume+1e-12)",
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"RSQR60": "Rsquare($close, 60)",
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"CORR60": "Corr($close, Log($volume+1), 60)",
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"WVMA60": "Std(Abs($close/Ref($close, 1)-1)*$volume, 60)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 60)+1e-12)",
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"STD5": "Std($close, 5)/$close",
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"RSQR20": "Rsquare($close, 20)",
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"CORD60": "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 60)",
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"CORD10": "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 10)",
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"CORR20": "Corr($close, Log($volume+1), 20)",
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"KLOW": "(Less($open, $close)-$low)/$open",
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}
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ALPHA158 = {
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"KMID": "($close-$open)/$open",
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"KLEN": "($high-$low)/$open",
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"KMID2": "($close-$open)/($high-$low+1e-12)",
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"KUP": "($high-Greater($open, $close))/$open",
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"KUP2": "($high-Greater($open, $close))/($high-$low+1e-12)",
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"KLOW": "(Less($open, $close)-$low)/$open",
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"KLOW2": "(Less($open, $close)-$low)/($high-$low+1e-12)",
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"KSFT": "(2*$close-$high-$low)/$open",
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"KSFT2": "(2*$close-$high-$low)/($high-$low+1e-12)",
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"OPEN0": "$open/$close",
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"HIGH0": "$high/$close",
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"LOW0": "$low/$close",
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"VWAP0": "$vwap/$close",
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"ROC5": "Ref($close, 5)/$close",
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"ROC10": "Ref($close, 10)/$close",
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"ROC20": "Ref($close, 20)/$close",
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"ROC30": "Ref($close, 30)/$close",
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"ROC60": "Ref($close, 60)/$close",
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"MA5": "Mean($close, 5)/$close",
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"MA10": "Mean($close, 10)/$close",
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"MA20": "Mean($close, 20)/$close",
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"MA30": "Mean($close, 30)/$close",
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"MA60": "Mean($close, 60)/$close",
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"STD5": "Std($close, 5)/$close",
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"STD10": "Std($close, 10)/$close",
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"STD20": "Std($close, 20)/$close",
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"STD30": "Std($close, 30)/$close",
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"STD60": "Std($close, 60)/$close",
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"BETA5": "Slope($close, 5)/$close",
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"BETA10": "Slope($close, 10)/$close",
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"BETA20": "Slope($close, 20)/$close",
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"BETA30": "Slope($close, 30)/$close",
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"BETA60": "Slope($close, 60)/$close",
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"RSQR5": "Rsquare($close, 5)",
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"RSQR10": "Rsquare($close, 10)",
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"RSQR20": "Rsquare($close, 20)",
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"RSQR30": "Rsquare($close, 30)",
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"RSQR60": "Rsquare($close, 60)",
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"RESI5": "Resi($close, 5)/$close",
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"RESI10": "Resi($close, 10)/$close",
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"RESI20": "Resi($close, 20)/$close",
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"RESI30": "Resi($close, 30)/$close",
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"RESI60": "Resi($close, 60)/$close",
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"MAX5": "Max($high, 5)/$close",
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"MAX10": "Max($high, 10)/$close",
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"MAX20": "Max($high, 20)/$close",
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"MAX30": "Max($high, 30)/$close",
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"MAX60": "Max($high, 60)/$close",
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"MIN5": "Min($low, 5)/$close",
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"MIN10": "Min($low, 10)/$close",
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"MIN20": "Min($low, 20)/$close",
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"MIN30": "Min($low, 30)/$close",
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"MIN60": "Min($low, 60)/$close",
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"QTLU5": "Quantile($close, 5, 0.8)/$close",
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"QTLU10": "Quantile($close, 10, 0.8)/$close",
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"QTLU20": "Quantile($close, 20, 0.8)/$close",
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"QTLU30": "Quantile($close, 30, 0.8)/$close",
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"QTLU60": "Quantile($close, 60, 0.8)/$close",
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"QTLD5": "Quantile($close, 5, 0.2)/$close",
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"QTLD10": "Quantile($close, 10, 0.2)/$close",
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"QTLD20": "Quantile($close, 20, 0.2)/$close",
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"QTLD30": "Quantile($close, 30, 0.2)/$close",
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"QTLD60": "Quantile($close, 60, 0.2)/$close",
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"RANK5": "Rank($close, 5)",
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"RANK10": "Rank($close, 10)",
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"RANK20": "Rank($close, 20)",
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"RANK30": "Rank($close, 30)",
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"RANK60": "Rank($close, 60)",
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"RSV5": "($close-Min($low, 5))/(Max($high, 5)-Min($low, 5)+1e-12)",
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"RSV10": "($close-Min($low, 10))/(Max($high, 10)-Min($low, 10)+1e-12)",
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"RSV20": "($close-Min($low, 20))/(Max($high, 20)-Min($low, 20)+1e-12)",
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"RSV30": "($close-Min($low, 30))/(Max($high, 30)-Min($low, 30)+1e-12)",
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"RSV60": "($close-Min($low, 60))/(Max($high, 60)-Min($low, 60)+1e-12)",
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"IMAX5": "IdxMax($high, 5)/5",
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"IMAX10": "IdxMax($high, 10)/10",
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"IMAX20": "IdxMax($high, 20)/20",
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"IMAX30": "IdxMax($high, 30)/30",
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"IMAX60": "IdxMax($high, 60)/60",
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"IMIN5": "IdxMin($low, 5)/5",
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"IMIN10": "IdxMin($low, 10)/10",
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"IMIN20": "IdxMin($low, 20)/20",
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"IMIN30": "IdxMin($low, 30)/30",
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"IMIN60": "IdxMin($low, 60)/60",
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"IMXD5": "(IdxMax($high, 5)-IdxMin($low, 5))/5",
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"IMXD10": "(IdxMax($high, 10)-IdxMin($low, 10))/10",
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"IMXD20": "(IdxMax($high, 20)-IdxMin($low, 20))/20",
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"IMXD30": "(IdxMax($high, 30)-IdxMin($low, 30))/30",
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"IMXD60": "(IdxMax($high, 60)-IdxMin($low, 60))/60",
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"CORR5": "Corr($close, Log($volume+1), 5)",
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"CORR10": "Corr($close, Log($volume+1), 10)",
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"CORR20": "Corr($close, Log($volume+1), 20)",
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"CORR30": "Corr($close, Log($volume+1), 30)",
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"CORR60": "Corr($close, Log($volume+1), 60)",
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"CORD5": "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 5)",
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"CORD10": "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 10)",
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"CORD20": "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 20)",
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"CORD30": "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 30)",
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"CORD60": "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 60)",
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"CNTP5": "Mean($close>Ref($close, 1), 5)",
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"CNTP10": "Mean($close>Ref($close, 1), 10)",
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"CNTP20": "Mean($close>Ref($close, 1), 20)",
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"CNTP30": "Mean($close>Ref($close, 1), 30)",
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"CNTP60": "Mean($close>Ref($close, 1), 60)",
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"CNTN5": "Mean($close<Ref($close, 1), 5)",
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"CNTN10": "Mean($close<Ref($close, 1), 10)",
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"CNTN20": "Mean($close<Ref($close, 1), 20)",
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"CNTN30": "Mean($close<Ref($close, 1), 30)",
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"CNTN60": "Mean($close<Ref($close, 1), 60)",
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"CNTD5": "Mean($close>Ref($close, 1), 5)-Mean($close<Ref($close, 1), 5)",
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"CNTD10": "Mean($close>Ref($close, 1), 10)-Mean($close<Ref($close, 1), 10)",
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"CNTD20": "Mean($close>Ref($close, 1), 20)-Mean($close<Ref($close, 1), 20)",
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"CNTD30": "Mean($close>Ref($close, 1), 30)-Mean($close<Ref($close, 1), 30)",
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"CNTD60": "Mean($close>Ref($close, 1), 60)-Mean($close<Ref($close, 1), 60)",
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"SUMP5": "Sum(Greater($close-Ref($close, 1), 0), 5)/(Sum(Abs($close-Ref($close, 1)), 5)+1e-12)",
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"SUMP10": "Sum(Greater($close-Ref($close, 1), 0), 10)/(Sum(Abs($close-Ref($close, 1)), 10)+1e-12)",
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"SUMP20": "Sum(Greater($close-Ref($close, 1), 0), 20)/(Sum(Abs($close-Ref($close, 1)), 20)+1e-12)",
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"SUMP30": "Sum(Greater($close-Ref($close, 1), 0), 30)/(Sum(Abs($close-Ref($close, 1)), 30)+1e-12)",
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"SUMP60": "Sum(Greater($close-Ref($close, 1), 0), 60)/(Sum(Abs($close-Ref($close, 1)), 60)+1e-12)",
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"SUMN5": "Sum(Greater(Ref($close, 1)-$close, 0), 5)/(Sum(Abs($close-Ref($close, 1)), 5)+1e-12)",
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"SUMN10": "Sum(Greater(Ref($close, 1)-$close, 0), 10)/(Sum(Abs($close-Ref($close, 1)), 10)+1e-12)",
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"SUMN20": "Sum(Greater(Ref($close, 1)-$close, 0), 20)/(Sum(Abs($close-Ref($close, 1)), 20)+1e-12)",
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"SUMN30": "Sum(Greater(Ref($close, 1)-$close, 0), 30)/(Sum(Abs($close-Ref($close, 1)), 30)+1e-12)",
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"SUMN60": "Sum(Greater(Ref($close, 1)-$close, 0), 60)/(Sum(Abs($close-Ref($close, 1)), 60)+1e-12)",
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"SUMD5": "(Sum(Greater($close-Ref($close, 1), 0), 5)-Sum(Greater(Ref($close, 1)-$close, 0), 5))/(Sum(Abs($close-Ref($close, 1)), 5)+1e-12)",
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"SUMD10": "(Sum(Greater($close-Ref($close, 1), 0), 10)-Sum(Greater(Ref($close, 1)-$close, 0), 10))/(Sum(Abs($close-Ref($close, 1)), 10)+1e-12)",
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"SUMD20": "(Sum(Greater($close-Ref($close, 1), 0), 20)-Sum(Greater(Ref($close, 1)-$close, 0), 20))/(Sum(Abs($close-Ref($close, 1)), 20)+1e-12)",
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"SUMD30": "(Sum(Greater($close-Ref($close, 1), 0), 30)-Sum(Greater(Ref($close, 1)-$close, 0), 30))/(Sum(Abs($close-Ref($close, 1)), 30)+1e-12)",
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"SUMD60": "(Sum(Greater($close-Ref($close, 1), 0), 60)-Sum(Greater(Ref($close, 1)-$close, 0), 60))/(Sum(Abs($close-Ref($close, 1)), 60)+1e-12)",
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"VMA5": "Mean($volume, 5)/($volume+1e-12)",
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"VMA10": "Mean($volume, 10)/($volume+1e-12)",
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"VMA20": "Mean($volume, 20)/($volume+1e-12)",
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"VMA30": "Mean($volume, 30)/($volume+1e-12)",
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"VMA60": "Mean($volume, 60)/($volume+1e-12)",
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"VSTD5": "Std($volume, 5)/($volume+1e-12)",
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"VSTD10": "Std($volume, 10)/($volume+1e-12)",
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"VSTD20": "Std($volume, 20)/($volume+1e-12)",
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"VSTD30": "Std($volume, 30)/($volume+1e-12)",
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"VSTD60": "Std($volume, 60)/($volume+1e-12)",
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"WVMA5": "Std(Abs($close/Ref($close, 1)-1)*$volume, 5)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 5)+1e-12)",
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"WVMA10": "Std(Abs($close/Ref($close, 1)-1)*$volume, 10)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 10)+1e-12)",
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"WVMA20": "Std(Abs($close/Ref($close, 1)-1)*$volume, 20)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 20)+1e-12)",
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"WVMA30": "Std(Abs($close/Ref($close, 1)-1)*$volume, 30)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 30)+1e-12)",
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"WVMA60": "Std(Abs($close/Ref($close, 1)-1)*$volume, 60)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 60)+1e-12)",
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"VSUMP5": "Sum(Greater($volume-Ref($volume, 1), 0), 5)/(Sum(Abs($volume-Ref($volume, 1)), 5)+1e-12)",
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"VSUMP10": "Sum(Greater($volume-Ref($volume, 1), 0), 10)/(Sum(Abs($volume-Ref($volume, 1)), 10)+1e-12)",
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"VSUMP20": "Sum(Greater($volume-Ref($volume, 1), 0), 20)/(Sum(Abs($volume-Ref($volume, 1)), 20)+1e-12)",
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"VSUMP30": "Sum(Greater($volume-Ref($volume, 1), 0), 30)/(Sum(Abs($volume-Ref($volume, 1)), 30)+1e-12)",
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"VSUMP60": "Sum(Greater($volume-Ref($volume, 1), 0), 60)/(Sum(Abs($volume-Ref($volume, 1)), 60)+1e-12)",
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"VSUMN5": "Sum(Greater(Ref($volume, 1)-$volume, 0), 5)/(Sum(Abs($volume-Ref($volume, 1)), 5)+1e-12)",
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"VSUMN10": "Sum(Greater(Ref($volume, 1)-$volume, 0), 10)/(Sum(Abs($volume-Ref($volume, 1)), 10)+1e-12)",
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"VSUMN20": "Sum(Greater(Ref($volume, 1)-$volume, 0), 20)/(Sum(Abs($volume-Ref($volume, 1)), 20)+1e-12)",
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"VSUMN30": "Sum(Greater(Ref($volume, 1)-$volume, 0), 30)/(Sum(Abs($volume-Ref($volume, 1)), 30)+1e-12)",
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"VSUMN60": "Sum(Greater(Ref($volume, 1)-$volume, 0), 60)/(Sum(Abs($volume-Ref($volume, 1)), 60)+1e-12)",
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"VSUMD5": "(Sum(Greater($volume-Ref($volume, 1), 0), 5)-Sum(Greater(Ref($volume, 1)-$volume, 0), 5))/(Sum(Abs($volume-Ref($volume, 1)), 5)+1e-12)",
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"VSUMD10": "(Sum(Greater($volume-Ref($volume, 1), 0), 10)-Sum(Greater(Ref($volume, 1)-$volume, 0), 10))/(Sum(Abs($volume-Ref($volume, 1)), 10)+1e-12)",
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"VSUMD20": "(Sum(Greater($volume-Ref($volume, 1), 0), 20)-Sum(Greater(Ref($volume, 1)-$volume, 0), 20))/(Sum(Abs($volume-Ref($volume, 1)), 20)+1e-12)",
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"VSUMD30": "(Sum(Greater($volume-Ref($volume, 1), 0), 30)-Sum(Greater(Ref($volume, 1)-$volume, 0), 30))/(Sum(Abs($volume-Ref($volume, 1)), 30)+1e-12)",
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"VSUMD60": "(Sum(Greater($volume-Ref($volume, 1), 0), 60)-Sum(Greater(Ref($volume, 1)-$volume, 0), 60))/(Sum(Abs($volume-Ref($volume, 1)), 60)+1e-12)",
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}
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_TFW = FBWorkspace() # test feature workspace
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TEST_FEATURE_CODE = """
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import qlib
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from qlib.data import D
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qlib.init()
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expressions = {experessions}
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df = D.features(["SH600000"], expressions, start_time="2008-01-01", end_time="2020-08-31")
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"""
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def validate_qlib_features(expressions: list[str]) -> bool:
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_TFW.inject_files(**{"test_fea.py": TEST_FEATURE_CODE.format(experessions=str(expressions))})
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qlib_env = QlibCondaEnv(conf=QlibCondaConf())
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qlib_env.prepare()
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res = _TFW.run(
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env=qlib_env,
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entry="python test_fea.py",
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)
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return res.exit_code == 0
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