def make_pipeline(asset_finder):
private_universe = private_universe_mask( hs300.tolist(),asset_finder=asset_finder)
#print private_universe_mask(['000001','000002','000005'],asset_finder=asset_finder)
######################################################################################################
returns = Returns(inputs=[USEquityPricing.close], window_length=5) # 预测一周数据
######################################################################################################
ep = 1/Fundamental(mask = private_universe,asset_finder=asset_finder).pe
bp = 1/Fundamental(mask = private_universe,asset_finder=asset_finder).pb
bvps = Fundamental(mask = private_universe,asset_finder=asset_finder).bvps
market = Fundamental(mask = private_universe,asset_finder=asset_finder).outstanding
rev20 = Returns(inputs=[USEquityPricing.close], window_length=20,mask = private_universe)
vol20 = AverageDollarVolume(window_length=20,mask = private_universe)
illiq = ILLIQ(window_length=22,mask = private_universe)
rsi = RSI(window_length=22,mask = private_universe)
mom = Momentum(window_length=252,mask = private_universe)
sector = get_sector(asset_finder=asset_finder,mask=private_universe)
ONEHOTCLASS,sector_indict_keys = get_sector_by_onehot(asset_finder=asset_finder,mask=private_universe)
pipe_columns = {
'ep':ep.zscore(groupby=sector).downsample('month_start'),
'bp':bp.zscore(groupby=sector).downsample('month_start'),
'bvps':bvps.zscore(groupby=sector).downsample('month_start'),
'market_cap': market.zscore(groupby=sector).downsample('month_start'),
'vol20':vol20.zscore(groupby=sector),
'rev20':rev20.zscore(groupby=sector),
'ILLIQ':illiq.zscore(groupby=sector,mask=illiq.percentile_between(1, 99)),
'mom' :mom.zscore(groupby=sector,mask=mom.percentile_between(1, 99)),
'rsi' :rsi.zscore(groupby=sector,mask=rsi.percentile_between(1, 99)),
#'sector':sector,
#'returns':returns.quantiles(100),
'returns': returns.zscore(),
}
# pipe_screen = (low_returns | high_returns)
pipe = Pipeline(columns=pipe_columns,
screen=private_universe,
)
i = 0
for c in ONEHOTCLASS:
pipe.add(c,sector_indict_keys[i])
i +=1
return pipe
def make_pipeline(asset_finder):
private_universe = private_universe_mask( hs300.tolist(),asset_finder=asset_finder)
#print private_universe_mask(['000001','000002','000005'],asset_finder=asset_finder)
######################################################################################################
returns = Returns(inputs=[USEquityPricing.close], window_length=5) # 预测一周数据
######################################################################################################
ep = 1/Fundamental(mask = private_universe,asset_finder=asset_finder).pe
bp = 1/Fundamental(mask = private_universe,asset_finder=asset_finder).pb
bvps = Fundamental(mask = private_universe,asset_finder=asset_finder).bvps
market = Fundamental(mask = private_universe,asset_finder=asset_finder).outstanding
totals = Fundamental(mask = private_universe,asset_finder=asset_finder).totals
totalAssets = Fundamental(mask = private_universe,asset_finder=asset_finder).totalAssets
fixedAssets = Fundamental(mask = private_universe,asset_finder=asset_finder).fixedAssets
esp = Fundamental(mask = private_universe,asset_finder=asset_finder).esp
rev = Fundamental(mask = private_universe,asset_finder=asset_finder).rev
profit = Fundamental(mask = private_universe,asset_finder=asset_finder).profit
gpr = Fundamental(mask = private_universe,asset_finder=asset_finder).gpr
npr = Fundamental(mask = private_universe,asset_finder=asset_finder).npr
rev10 = Returns(inputs=[USEquityPricing.close], window_length=10,mask = private_universe)
vol10 = AverageDollarVolume(window_length=20,mask = private_universe)
rev20 = Returns(inputs=[USEquityPricing.close], window_length=20,mask = private_universe)
vol20 = AverageDollarVolume(window_length=20,mask = private_universe)
rev30 = Returns(inputs=[USEquityPricing.close], window_length=30,mask = private_universe)
vol30 = AverageDollarVolume(window_length=20,mask = private_universe)
illiq22 = ILLIQ(window_length=22,mask = private_universe)
illiq5 = ILLIQ(window_length=5,mask = private_universe)
rsi5 = RSI(window_length=5,mask = private_universe)
rsi22 = RSI(window_length=22,mask = private_universe)
mom5 = Momentum(window_length=5,mask = private_universe)
mom22 = Momentum(window_length=22,mask = private_universe)
sector = get_sector(asset_finder=asset_finder,mask=private_universe)
ONEHOTCLASS,sector_indict_keys = get_sector_by_onehot(asset_finder=asset_finder,mask=private_universe)
pipe_columns = {
'ep':ep.zscore(groupby=sector).downsample('month_start'),
'bp':bp.zscore(groupby=sector).downsample('month_start'),
'bvps':bvps.zscore(groupby=sector).downsample('month_start'),
'market_cap': market.zscore(groupby=sector).downsample('month_start'),
'totals': totals.zscore(groupby=sector).downsample('month_start'),
'totalAssets': totalAssets.zscore(groupby=sector).downsample('month_start'),
'fixedAssets': fixedAssets.zscore(groupby=sector).downsample('month_start'),
'esp': esp.zscore(groupby=sector).downsample('month_start'),
'rev': rev.zscore(groupby=sector).downsample('month_start'),
'profit': profit.zscore(groupby=sector).downsample('month_start'),
'gpr': gpr.zscore(groupby=sector).downsample('month_start'),
'npr': npr.zscore(groupby=sector).downsample('month_start'),
'vol10': vol10.zscore(groupby=sector),
'rev10': rev10.zscore(groupby=sector),
'vol20': vol20.zscore(groupby=sector),
'rev20': rev20.zscore(groupby=sector),
'vol30':vol30.zscore(groupby=sector),
'rev30':rev30.zscore(groupby=sector),
'ILLIQ5':illiq5.zscore(groupby=sector,mask=illiq5.percentile_between(1, 99)),
'ILLIQ22':illiq22.zscore(groupby=sector, mask=illiq22.percentile_between(1, 99)),
'mom5' :mom5.zscore(groupby=sector,mask=mom5.percentile_between(1, 99)),
'mom22': mom22.zscore(groupby=sector, mask=mom22.percentile_between(1, 99)),
'rsi5' :rsi5.zscore(groupby=sector,mask=rsi5.percentile_between(1, 99)),
'rsi22': rsi22.zscore(groupby=sector, mask=rsi22.percentile_between(1, 99)),
#'sector':sector,
#'returns':returns.quantiles(100),
'returns': returns * 100,
}
# pipe_screen = (low_returns | high_returns)
pipe = Pipeline(columns=pipe_columns,
screen=private_universe,
)
i = 0
for c in ONEHOTCLASS:
pipe.add(c,sector_indict_keys[i])
i +=1
return pipe
