Metadata-Version: 1.0
Name: alpha-factory
Version: 0.0.4
Summary: generate alpha factors
Home-page: UNKNOWN
Author: Yili Peng
Author-email: yili.peng@outlook.com
License: UNKNOWN
Description: sample:
        
        from alpha_factory import factor_gen,df_gen
        import pandas as pd
        from RNWS import read
        
        # 1
        df_gen.generator(20,'.../frames_new.csv')
        
        # 2
        factor_path='.../factor_path_test'
        
        df=pd.read_csv('.../frames_new.csv',index_col=0)
        factor_gen.find_dependency(df)
        
        exr=read.read_df('.../exr',file_pattern='exr',start=20140101,end=20140201)
        cap=read.read_df('.../cap',file_pattern='cap',header=0,dat_col='cap',start=20140101,end=20140201)
        open_price,close,vwap,high,low,volume=read.read_df(r'.../mkt_data',file_pattern='mkt',start=20140101,end=20140201,header=0,dat_col=['open','close','vwap','high','low','volume'])
        ind1,ind2,ind3=read.read_df(r'.../ind',file_pattern='ind',start=20140101,end=20140201,header=0,dat_col=['level1','level2','level3'])
        parms={'exr':exr
               ,'cap':cap
               ,'open':open_price
               ,'close':close
               ,'vwap':vwap
               ,'high':high
               ,'low':low
               ,'volume':volume
               ,'ind1':ind1
               ,'ind2':ind2
               ,'ind3':ind3}
        
        #3 generate new factors
        with factor_gen.generator_class(df=df,factor_path=factor_path,**parms) as gc:
            gc=factor_gen.generator_class(df=df,factor_path=factor_path,**parms)
            gc.generator(batch_size=3)
            gc.generator(batch_size=5)
        
        # update
        with factor_gen.generator_class(df=df,factor_path=factor_path,**parms) as gc:
            gc.reload_factors()
            gc.generator(batch_size=3)
        
Keywords: quant factor model
Platform: UNKNOWN
