Calculate N-period simple moving average

Shift entire series by N periods (generates NAN), preserving index

Calculate absolute value

Calculate rolling sum

Calculate exponential moving average, requires S>4*N periods for accuracy, EMA needs at least 120 periods, alpha=2/(span+1)

Conditional selection function

Calculate element-wise maximum of two series or series and scalar

Round to D decimal places while preserving index

Calculate highest value over N periods

计算单个因子表达式 Args: df: 输入数据 expr: 因子表达式 Returns: 计算结果Series或Series列表

Calculate Chinese-style SMA, needs 120 periods for accuracy (180 on XueQiu), alpha=1/(1+com)

创建结果Series

缓存表达式处理结果

加载配置文件

预处理DataFrame

Simulate a portfolio using the factor in input and returns the cumulative returns of the simulated portfolio Parameters ----------

Computes period wise returns for portfolio weighted by factor values. Parameters ---------- factor_data : pd.DataFrame - MultiIn

Computes asset weights by factor values and dividing by the sum of their absolute value (achieving gross leverage of 1). Positive factor valu

Calculate average absolute deviation (mean absolute difference from mean)

COUNT(CLOSE>O, N): Count number of True values in last N days

Check if S_BOOL condition holds from A periods ago to B periods ago, requires A>B & A>0 & B>=0

Calculate lowest value over N periods

构建安全的执行上下文

调用ffn计算ERC权重

创建配置目录

创建配置文件

为特定数据创建上下文

获取跨平台的配置目录

从模块导入函数

初始化配置系统

记录调试信息

后处理计算结果

收集历史数据并计算收益率

移除不安全的函数

保存配置到文件

验证输入DataFrame的格式

Create alphalens default axes style context. Under the hood, calls and returns seaborn.axes_style() with some custom settings. Usually you wo

批量计算多个因子表达式 Args: dfs: 股票数据字典 {symbol: dataframe} expr_list: 表达式列表 skip_existing: 是否跳过已存在的列

A date and equity pair is extracted from each index row in the factor dataframe and for each of these pairs a return series is built starting

Finds the N period forward returns (as percent change) for each asset provided. Parameters ---------- factor : pd.Series - Multi

Creates a tear sheet to view the average cumulative returns for a factor within a window (pre and post event). Parameters ----------

Creates a tear sheet for information analysis of a factor. Parameters ---------- factor_data : pd.DataFrame - MultiIndex A M

Creates a tear sheet for returns analysis of a factor. Parameters ---------- factor_data : pd.DataFrame - MultiIndex A Multi

Creates a small summary tear sheet with returns, information, and turnover analysis. Parameters ---------- factor_data : pd.Data

Creates a tear sheet for analyzing the turnover properties of a factor. Parameters ---------- factor_data : pd.DataFrame - MultiInde

Computes cumulative returns from simple daily returns. Parameters ---------- returns: pd.Series pd.Series containing daily f

Compute the difference between two pd.Timedelta taking into consideration custom frequency, which is used to deal with custom calendars, such

Computes the Spearman Rank Correlation based Information Coefficient (IC) between factor values and N period forward returns for each period

Simulate a portfolio using the factor in input and returns the assets positions as percentage of the total portfolio. Parameters ---

Formats the factor data, forward return data, and group mappings into a DataFrame that contains aligned MultiIndex indices of timestamp and a

Formats the factor data, pricing data, and group mappings into a DataFrame that contains aligned MultiIndex indices of timestamp and asset. T

获取配置文件路径信息

Utility that detects and returns the columns that are forward returns

Infer the trading calendar from factor and price information. Parameters ---------- factor_idx : pd.DatetimeIndex The factor

Create alphalens default plotting style context. Under the hood, calls and returns seaborn.plotting_context() with some custom settings.

Builds net position values time series, the portfolio percentage invested in each position. Parameters ---------- weights: pd.Se

Computes period wise factor quantiles. Parameters ---------- factor_data : pd.DataFrame - MultiIndex A MultiIndex DataFrame

根据新权重调整仓位

Re-raise the last exception that was active in the current scope without losing the stacktrace but adding an additional message. This is

Utility that converts a pandas.Timedelta to a string representation compatible with pandas.Timedelta constructor format Parameters -

Calculate average daily volume

Calculate ASI indicator, returns ASI line

Convert boolean condition to float True -> 1.0, False -> 0.0

Calculate Average True Range

Calculate periods since last condition was True

Count consecutive periods where condition S is True

Calculate periods since first True condition in last N periods

Calculate BBI (Bull and Bear Index)

Calculate BIAS indicator, returns BIAS1 line

Calculate Bollinger Bands, returns middle line

Calculate BRAR indicator, returns AR line