def VolPrice017(cls, data: pd.DataFrame, n: int = 20, **kwargs):
"""PMA 特殊"""
factor_name = sys._getframe().f_code.co_name + f"_{n}days"
data = data.set_index([KN.TRADE_DATE.value, KN.STOCK_ID.value])
data = data.sort_index()
# Calculate AM and PM returns on stocks
data['am_ret_stock'] = data['2hPrice'] / data[PVN.OPEN.value] - 1
data['pm_ret_stock'] = data['4hPrice'] / data['2hPrice'] - 1
# filter momentum
# data[factor_name] = data.groupby(KN.TRADE_DATE.value,
# group_keys=False).apply(lambda x: cls._reg(x, 'am_ret_stock', 'pm_ret_stock'))
# data['mean'] = data['res'].groupby(KN.STOCK_ID.value,
# group_keys=False).rolling(n, min_periods=1).apply(np.nanmean)
# data['std'] = data['res'].groupby(KN.STOCK_ID.value,
# group_keys=False).rolling(n, min_periods=1).apply(np.nanstd)
# data[factor_name] = data['mean'] / data['std']
# data[factor_name][np.isinf(data[factor_name])] = 0
data = cls().reindex(data)
data[factor_name] = data['pm_ret_stock'].groupby(
KN.TRADE_DATE.value).apply(
lambda x: x.rolling(n, min_periods=round(n * 0.8)).mean())
F = DataInfo()
F.data = data[factor_name]
F.data_type = 'HFD'
F.factor_category = cls().__class__.__name__
F.factor_name = factor_name
return F
def VolPrice013(cls, data: pd.DataFrame, **kwargs):
"""轨迹非流动因子(Illiq_Track)"""
F = DataInfo()
F.data = data
F.data_type = 'HFD'
F.factor_category = cls().__class__.__name__
F.factor_name = data.name
return F
def VolPrice012(cls, data: pd.DataFrame, **kwargs):
"""高频反转因子(HFD_Rev)"""
F = DataInfo()
F.data = data
F.data_type = 'HFD'
F.factor_category = cls().__class__.__name__
F.factor_name = data.name
return F
def VolPrice011(cls, data: pd.DataFrame, **kwargs):
"""聪明钱因子(SmartQ)"""
F = DataInfo()
F.data = data
F.data_type = 'HFD'
F.factor_category = cls().__class__.__name__
F.factor_name = data.name
return F
def VolPrice009(cls, data: pd.DataFrame, **kwargs):
"""改进反转(Rev_improve)"""
F = DataInfo()
F.data = data
F.data_type = 'HFD'
F.factor_category = cls().__class__.__name__
F.factor_name = data.name
return F
def VolPrice008(cls, data: pd.DataFrame, **kwargs):
"""大单驱动涨幅(MOM_bigOrder)"""
F = DataInfo()
F.data = data
F.data_type = 'HFD'
F.factor_category = cls().__class__.__name__
F.factor_name = data.name
return F
def VolPrice014(cls, data: pd.DataFrame, **kwargs):
"""
加权收盘价比(Close_Weight)
默认一分钟频率
"""
F = DataInfo()
F.data = data
F.data_type = 'HFD'
F.factor_category = cls().__class__.__name__
F.factor_name = data.name
return F
def VolPrice019(cls, data: pd.DataFrame, **kwargs):
"""
订单失衡率(HFD_OLR)
日频转月频需要采用衰减加权的方式
"""
F = DataInfo()
F.data = data
F.data_type = 'HFD'
F.factor_category = cls().__class__.__name__
F.factor_name = data.name
return F
def VolPrice020(cls, data: pd.DataFrame, **kwargs):
"""
市价偏离率(HFD_MPB)
日频转月频需要采用衰减加权的方式
剔除开盘集合竞价
集合竞价会存在0盘口，用前值填充
"""
F = DataInfo()
F.data = data
F.data_type = 'HFD'
F.factor_category = cls().__class__.__name__
F.factor_name = data.name
return F
