净因子数据
data-box的Python项目详细描述
这个项目是为了清理因子数据，并准备回测。
依赖关系
- Python3.5
- 熊猫0.22.0
- 纽比1.14.3
- 泡菜
- sklearn 0.19.1（仅限PCA）
示例
from data_box import data_box db=data_box()\ .set_lag(freq='d',day_lag=0)\ .load_adjPrice(price)\ # 'price' is a pd.DataFrame with dates(20190101 int type) as its index and tickers as its column .load_indestry(ind)\ .load_suspend(sus)\ .load_indexWeight(index_weight)\ .calc_indweight()\ # calculate industry weight based on index weight and stocks' industry in this index .load_cap(cap)\ .add_factor('f1',factor1)\ .add_factor('f2',factor2)\ .add_factor('f3',factor3)\ .align_data()\ .factor_pca()\ .factor_ind_neutral()\ .factor_size_neutral()\ .factor_zscore() print(db.Factor) print(db.Price) print(db.Sus) print(db.Cap)# save and reload db.save(path)db2=databox().load(path)
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