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liaozhaorun
2025-02-15 23:33:34 +08:00
parent 18d0876d86
commit 49fa31ac63
13 changed files with 2028 additions and 2580 deletions
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code/train/V1.1.ipynb
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code/train/V1.2.ipynb
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code/train/V1.ipynb
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@@ -3,8 +3,8 @@
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-09T14:52:54.170824Z",
"start_time": "2025-02-09T14:52:53.544850Z"
"end_time": "2025-02-11T16:39:38.576665Z",
"start_time": "2025-02-11T16:39:38.019824Z"
}
},
"cell_type": "code",
@@ -12,28 +12,38 @@
"%load_ext autoreload\n",
"%autoreload 2\n",
"\n",
"from utils.utils import read_and_merge_h5_data"
"from utils.utils import read_and_merge_h5_data\n"
],
"id": "79a7758178bafdd3",
"outputs": [],
"execution_count": 1
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"The autoreload extension is already loaded. To reload it, use:\n",
" %reload_ext autoreload\n"
]
}
],
"execution_count": 8
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-09T14:53:36.873700Z",
"start_time": "2025-02-09T14:52:54.170824Z"
"end_time": "2025-02-11T16:40:45.842510Z",
"start_time": "2025-02-11T16:39:54.757326Z"
}
},
"cell_type": "code",
"source": [
"\n",
"print('daily data')\n",
"df = read_and_merge_h5_data('../../data/daily_data.h5', key='daily_data',\n",
" columns=['ts_code', 'trade_date', 'open', 'close', 'high', 'low', 'vol'],\n",
" df=None)\n",
"\n",
"print('daily basic')\n",
"df = read_and_merge_h5_data('../../data/daily_basic.h5', key='daily_basic_with_st',\n",
"df = read_and_merge_h5_data('../../data/daily_basic.h5', key='daily_basic',\n",
" columns=['ts_code', 'trade_date', 'turnover_rate', 'pe_ttm', 'circ_mv', 'volume_ratio',\n",
" 'is_st'], df=df)\n",
"\n",
@@ -60,26 +70,26 @@
]
}
],
"execution_count": 2
"execution_count": 10
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-09T14:53:37.426404Z",
"start_time": "2025-02-09T14:53:36.955552Z"
"end_time": "2025-02-11T16:40:45.905077Z",
"start_time": "2025-02-11T16:40:45.848510Z"
}
},
"cell_type": "code",
"source": "origin_columns = df.columns.tolist()",
"id": "c4e9e1d31da6dba6",
"outputs": [],
"execution_count": 3
"execution_count": 11
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-09T14:53:38.164112Z",
"start_time": "2025-02-09T14:53:38.070007Z"
"end_time": "2025-02-11T16:40:46.016229Z",
"start_time": "2025-02-11T16:40:45.938587Z"
}
},
"cell_type": "code",
@@ -221,13 +231,13 @@
],
"id": "a735bc02ceb4d872",
"outputs": [],
"execution_count": 4
"execution_count": 12
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-09T14:53:49.153376Z",
"start_time": "2025-02-09T14:53:38.164112Z"
"end_time": "2025-02-11T16:40:56.805530Z",
"start_time": "2025-02-11T16:40:46.048312Z"
}
},
"cell_type": "code",
@@ -247,8 +257,8 @@
"output_type": "stream",
"text": [
"<class 'pandas.core.frame.DataFrame'>\n",
"RangeIndex: 8364308 entries, 0 to 8364307\n",
"Data columns (total 83 columns):\n",
"RangeIndex: 8375079 entries, 0 to 8375078\n",
"Data columns (total 87 columns):\n",
" # Column Dtype \n",
"--- ------ ----- \n",
" 0 ts_code object \n",
@@ -258,103 +268,106 @@
" 4 high float64 \n",
" 5 low float64 \n",
" 6 vol float64 \n",
" 7 is_st object \n",
" 8 up_limit float64 \n",
" 9 down_limit float64 \n",
" 10 buy_sm_vol float64 \n",
" 11 sell_sm_vol float64 \n",
" 12 buy_lg_vol float64 \n",
" 13 sell_lg_vol float64 \n",
" 14 buy_elg_vol float64 \n",
" 15 sell_elg_vol float64 \n",
" 16 net_mf_vol float64 \n",
" 17 up float64 \n",
" 18 down float64 \n",
" 19 atr_14 float64 \n",
" 20 atr_6 float64 \n",
" 21 obv float64 \n",
" 22 maobv_6 float64 \n",
" 23 obv-maobv_6 float64 \n",
" 24 rsi_3 float64 \n",
" 25 rsi_6 float64 \n",
" 26 rsi_9 float64 \n",
" 27 return_10 float64 \n",
" 28 return_20 float64 \n",
" 29 avg_close_5 float64 \n",
" 30 std_return_5 float64 \n",
" 31 std_return_15 float64 \n",
" 32 std_return_25 float64 \n",
" 33 std_return_90 float64 \n",
" 34 std_return_90_2 float64 \n",
" 35 std_return_5 / std_return_90 float64 \n",
" 36 std_return_5 / std_return_25 float64 \n",
" 37 std_return_90 - std_return_90_2 float64 \n",
" 38 ema_5 float64 \n",
" 39 ema_13 float64 \n",
" 40 ema_20 float64 \n",
" 41 ema_60 float64 \n",
" 42 act_factor1 float64 \n",
" 43 act_factor2 float64 \n",
" 44 act_factor3 float64 \n",
" 45 act_factor4 float64 \n",
" 46 act_factor5 float64 \n",
" 47 act_factor6 float64 \n",
" 48 rank_act_factor1 float64 \n",
" 49 rank_act_factor2 float64 \n",
" 50 rank_act_factor3 float64 \n",
" 51 active_buy_volume_large float64 \n",
" 52 active_buy_volume_big float64 \n",
" 53 active_buy_volume_small float64 \n",
" 54 buy_lg_vol - sell_lg_vol float64 \n",
" 55 buy_elg_vol - sell_elg_vol float64 \n",
" 56 future_return1 float64 \n",
" 57 future_return2 float64 \n",
" 58 future_return3 float64 \n",
" 59 future_return4 float64 \n",
" 60 future_return5 float64 \n",
" 61 future_return6 float64 \n",
" 62 future_return7 float64 \n",
" 63 future_close1 float64 \n",
" 64 future_close2 float64 \n",
" 65 future_close3 float64 \n",
" 66 future_close4 float64 \n",
" 67 future_close5 float64 \n",
" 68 future_af11 float64 \n",
" 69 future_af12 float64 \n",
" 70 future_af13 float64 \n",
" 71 future_af14 float64 \n",
" 72 future_af15 float64 \n",
" 73 future_af21 float64 \n",
" 74 future_af22 float64 \n",
" 75 future_af23 float64 \n",
" 76 future_af24 float64 \n",
" 77 future_af25 float64 \n",
" 78 future_af31 float64 \n",
" 79 future_af32 float64 \n",
" 80 future_af33 float64 \n",
" 81 future_af34 float64 \n",
" 82 future_af35 float64 \n",
"dtypes: datetime64[ns](1), float64(80), object(2)\n",
"memory usage: 5.2+ GB\n",
" 7 turnover_rate float64 \n",
" 8 pe_ttm float64 \n",
" 9 circ_mv float64 \n",
" 10 volume_ratio float64 \n",
" 11 is_st object \n",
" 12 up_limit float64 \n",
" 13 down_limit float64 \n",
" 14 buy_sm_vol float64 \n",
" 15 sell_sm_vol float64 \n",
" 16 buy_lg_vol float64 \n",
" 17 sell_lg_vol float64 \n",
" 18 buy_elg_vol float64 \n",
" 19 sell_elg_vol float64 \n",
" 20 net_mf_vol float64 \n",
" 21 up float64 \n",
" 22 down float64 \n",
" 23 atr_14 float64 \n",
" 24 atr_6 float64 \n",
" 25 obv float64 \n",
" 26 maobv_6 float64 \n",
" 27 obv-maobv_6 float64 \n",
" 28 rsi_3 float64 \n",
" 29 rsi_6 float64 \n",
" 30 rsi_9 float64 \n",
" 31 return_10 float64 \n",
" 32 return_20 float64 \n",
" 33 avg_close_5 float64 \n",
" 34 std_return_5 float64 \n",
" 35 std_return_15 float64 \n",
" 36 std_return_25 float64 \n",
" 37 std_return_90 float64 \n",
" 38 std_return_90_2 float64 \n",
" 39 std_return_5 / std_return_90 float64 \n",
" 40 std_return_5 / std_return_25 float64 \n",
" 41 std_return_90 - std_return_90_2 float64 \n",
" 42 ema_5 float64 \n",
" 43 ema_13 float64 \n",
" 44 ema_20 float64 \n",
" 45 ema_60 float64 \n",
" 46 act_factor1 float64 \n",
" 47 act_factor2 float64 \n",
" 48 act_factor3 float64 \n",
" 49 act_factor4 float64 \n",
" 50 act_factor5 float64 \n",
" 51 act_factor6 float64 \n",
" 52 rank_act_factor1 float64 \n",
" 53 rank_act_factor2 float64 \n",
" 54 rank_act_factor3 float64 \n",
" 55 active_buy_volume_large float64 \n",
" 56 active_buy_volume_big float64 \n",
" 57 active_buy_volume_small float64 \n",
" 58 buy_lg_vol - sell_lg_vol float64 \n",
" 59 buy_elg_vol - sell_elg_vol float64 \n",
" 60 future_return1 float64 \n",
" 61 future_return2 float64 \n",
" 62 future_return3 float64 \n",
" 63 future_return4 float64 \n",
" 64 future_return5 float64 \n",
" 65 future_return6 float64 \n",
" 66 future_return7 float64 \n",
" 67 future_close1 float64 \n",
" 68 future_close2 float64 \n",
" 69 future_close3 float64 \n",
" 70 future_close4 float64 \n",
" 71 future_close5 float64 \n",
" 72 future_af11 float64 \n",
" 73 future_af12 float64 \n",
" 74 future_af13 float64 \n",
" 75 future_af14 float64 \n",
" 76 future_af15 float64 \n",
" 77 future_af21 float64 \n",
" 78 future_af22 float64 \n",
" 79 future_af23 float64 \n",
" 80 future_af24 float64 \n",
" 81 future_af25 float64 \n",
" 82 future_af31 float64 \n",
" 83 future_af32 float64 \n",
" 84 future_af33 float64 \n",
" 85 future_af34 float64 \n",
" 86 future_af35 float64 \n",
"dtypes: datetime64[ns](1), float64(84), object(2)\n",
"memory usage: 5.4+ GB\n",
"None\n"
]
}
],
"execution_count": 5
"execution_count": 13
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-09T14:55:28.712343Z",
"start_time": "2025-02-09T14:53:49.279168Z"
"end_time": "2025-02-11T16:42:03.707721Z",
"start_time": "2025-02-11T16:40:56.889317Z"
}
},
"cell_type": "code",
"source": [
"def filter_data(df):\n",
" df = df.groupby('trade_date').apply(lambda x: x.nlargest(1000, 'act_factor3'))\n",
" df = df[df['is_st'] == False]\n",
" df = df[df['is_st'] == False]\n",
" df = df[~df['is_st']]\n",
" df = df[~df['ts_code'].str.startswith('30')]\n",
" df = df[~df['ts_code'].str.startswith('68')]\n",
" df = df[~df['ts_code'].str.startswith('8')]\n",
@@ -372,106 +385,110 @@
"output_type": "stream",
"text": [
"<class 'pandas.core.frame.DataFrame'>\n",
"RangeIndex: 1136157 entries, 0 to 1136156\n",
"Data columns (total 83 columns):\n",
"RangeIndex: 1101560 entries, 0 to 1101559\n",
"Data columns (total 87 columns):\n",
" # Column Non-Null Count Dtype \n",
"--- ------ -------------- ----- \n",
" 0 ts_code 1136157 non-null object \n",
" 1 trade_date 1136157 non-null datetime64[ns]\n",
" 2 open 1136157 non-null float64 \n",
" 3 close 1136157 non-null float64 \n",
" 4 high 1136157 non-null float64 \n",
" 5 low 1136157 non-null float64 \n",
" 6 vol 1136157 non-null float64 \n",
" 7 is_st 1136157 non-null object \n",
" 8 up_limit 1135878 non-null float64 \n",
" 9 down_limit 1135878 non-null float64 \n",
" 10 buy_sm_vol 1135663 non-null float64 \n",
" 11 sell_sm_vol 1135663 non-null float64 \n",
" 12 buy_lg_vol 1135663 non-null float64 \n",
" 13 sell_lg_vol 1135663 non-null float64 \n",
" 14 buy_elg_vol 1135663 non-null float64 \n",
" 15 sell_elg_vol 1135663 non-null float64 \n",
" 16 net_mf_vol 1135663 non-null float64 \n",
" 17 up 1136157 non-null float64 \n",
" 18 down 1136157 non-null float64 \n",
" 19 atr_14 1136157 non-null float64 \n",
" 20 atr_6 1136157 non-null float64 \n",
" 21 obv 1136157 non-null float64 \n",
" 22 maobv_6 1136157 non-null float64 \n",
" 23 obv-maobv_6 1136157 non-null float64 \n",
" 24 rsi_3 1136157 non-null float64 \n",
" 25 rsi_6 1136157 non-null float64 \n",
" 26 rsi_9 1136157 non-null float64 \n",
" 27 return_10 1136157 non-null float64 \n",
" 28 return_20 1136157 non-null float64 \n",
" 29 avg_close_5 1136157 non-null float64 \n",
" 30 std_return_5 1136157 non-null float64 \n",
" 31 std_return_15 1136157 non-null float64 \n",
" 32 std_return_25 1136157 non-null float64 \n",
" 33 std_return_90 1136131 non-null float64 \n",
" 34 std_return_90_2 1136129 non-null float64 \n",
" 35 std_return_5 / std_return_90 1136131 non-null float64 \n",
" 36 std_return_5 / std_return_25 1136157 non-null float64 \n",
" 37 std_return_90 - std_return_90_2 1136129 non-null float64 \n",
" 38 ema_5 1136157 non-null float64 \n",
" 39 ema_13 1136157 non-null float64 \n",
" 40 ema_20 1136157 non-null float64 \n",
" 41 ema_60 1136153 non-null float64 \n",
" 42 act_factor1 1136157 non-null float64 \n",
" 43 act_factor2 1136157 non-null float64 \n",
" 44 act_factor3 1136157 non-null float64 \n",
" 45 act_factor4 1136152 non-null float64 \n",
" 46 act_factor5 1136152 non-null float64 \n",
" 47 act_factor6 1136157 non-null float64 \n",
" 48 rank_act_factor1 1136157 non-null float64 \n",
" 49 rank_act_factor2 1136157 non-null float64 \n",
" 50 rank_act_factor3 1136157 non-null float64 \n",
" 51 active_buy_volume_large 1135659 non-null float64 \n",
" 52 active_buy_volume_big 1135636 non-null float64 \n",
" 53 active_buy_volume_small 1135663 non-null float64 \n",
" 54 buy_lg_vol - sell_lg_vol 1135660 non-null float64 \n",
" 55 buy_elg_vol - sell_elg_vol 1135640 non-null float64 \n",
" 56 future_return1 1136157 non-null float64 \n",
" 57 future_return2 1136157 non-null float64 \n",
" 58 future_return3 1136157 non-null float64 \n",
" 59 future_return4 1136157 non-null float64 \n",
" 60 future_return5 1136157 non-null float64 \n",
" 61 future_return6 1136157 non-null float64 \n",
" 62 future_return7 1136157 non-null float64 \n",
" 63 future_close1 1136157 non-null float64 \n",
" 64 future_close2 1136157 non-null float64 \n",
" 65 future_close3 1136157 non-null float64 \n",
" 66 future_close4 1136157 non-null float64 \n",
" 67 future_close5 1136157 non-null float64 \n",
" 68 future_af11 1136157 non-null float64 \n",
" 69 future_af12 1136157 non-null float64 \n",
" 70 future_af13 1136157 non-null float64 \n",
" 71 future_af14 1136157 non-null float64 \n",
" 72 future_af15 1136157 non-null float64 \n",
" 73 future_af21 1136157 non-null float64 \n",
" 74 future_af22 1136157 non-null float64 \n",
" 75 future_af23 1136157 non-null float64 \n",
" 76 future_af24 1136157 non-null float64 \n",
" 77 future_af25 1136157 non-null float64 \n",
" 78 future_af31 1136157 non-null float64 \n",
" 79 future_af32 1136157 non-null float64 \n",
" 80 future_af33 1136157 non-null float64 \n",
" 81 future_af34 1136157 non-null float64 \n",
" 82 future_af35 1136157 non-null float64 \n",
"dtypes: datetime64[ns](1), float64(80), object(2)\n",
"memory usage: 719.5+ MB\n",
" 0 ts_code 1101560 non-null object \n",
" 1 trade_date 1101560 non-null datetime64[ns]\n",
" 2 open 1101560 non-null float64 \n",
" 3 close 1101560 non-null float64 \n",
" 4 high 1101560 non-null float64 \n",
" 5 low 1101560 non-null float64 \n",
" 6 vol 1101560 non-null float64 \n",
" 7 turnover_rate 1101560 non-null float64 \n",
" 8 pe_ttm 932908 non-null float64 \n",
" 9 circ_mv 1101560 non-null float64 \n",
" 10 volume_ratio 1101096 non-null float64 \n",
" 11 is_st 1101560 non-null object \n",
" 12 up_limit 1101282 non-null float64 \n",
" 13 down_limit 1101282 non-null float64 \n",
" 14 buy_sm_vol 1101069 non-null float64 \n",
" 15 sell_sm_vol 1101069 non-null float64 \n",
" 16 buy_lg_vol 1101069 non-null float64 \n",
" 17 sell_lg_vol 1101069 non-null float64 \n",
" 18 buy_elg_vol 1101069 non-null float64 \n",
" 19 sell_elg_vol 1101069 non-null float64 \n",
" 20 net_mf_vol 1101069 non-null float64 \n",
" 21 up 1101560 non-null float64 \n",
" 22 down 1101560 non-null float64 \n",
" 23 atr_14 1100687 non-null float64 \n",
" 24 atr_6 1100687 non-null float64 \n",
" 25 obv 1101560 non-null float64 \n",
" 26 maobv_6 1101560 non-null float64 \n",
" 27 obv-maobv_6 1101560 non-null float64 \n",
" 28 rsi_3 1100687 non-null float64 \n",
" 29 rsi_6 1100687 non-null float64 \n",
" 30 rsi_9 1100687 non-null float64 \n",
" 31 return_10 1101560 non-null float64 \n",
" 32 return_20 1101560 non-null float64 \n",
" 33 avg_close_5 1101560 non-null float64 \n",
" 34 std_return_5 1101560 non-null float64 \n",
" 35 std_return_15 1101560 non-null float64 \n",
" 36 std_return_25 1101559 non-null float64 \n",
" 37 std_return_90 1101533 non-null float64 \n",
" 38 std_return_90_2 1101531 non-null float64 \n",
" 39 std_return_5 / std_return_90 1101533 non-null float64 \n",
" 40 std_return_5 / std_return_25 1101559 non-null float64 \n",
" 41 std_return_90 - std_return_90_2 1101531 non-null float64 \n",
" 42 ema_5 1100687 non-null float64 \n",
" 43 ema_13 1100687 non-null float64 \n",
" 44 ema_20 1100687 non-null float64 \n",
" 45 ema_60 1100682 non-null float64 \n",
" 46 act_factor1 1100687 non-null float64 \n",
" 47 act_factor2 1100687 non-null float64 \n",
" 48 act_factor3 1100687 non-null float64 \n",
" 49 act_factor4 1100682 non-null float64 \n",
" 50 act_factor5 1100682 non-null float64 \n",
" 51 act_factor6 1100687 non-null float64 \n",
" 52 rank_act_factor1 1100687 non-null float64 \n",
" 53 rank_act_factor2 1100687 non-null float64 \n",
" 54 rank_act_factor3 1100687 non-null float64 \n",
" 55 active_buy_volume_large 1101065 non-null float64 \n",
" 56 active_buy_volume_big 1101042 non-null float64 \n",
" 57 active_buy_volume_small 1101069 non-null float64 \n",
" 58 buy_lg_vol - sell_lg_vol 1101066 non-null float64 \n",
" 59 buy_elg_vol - sell_elg_vol 1101046 non-null float64 \n",
" 60 future_return1 1101560 non-null float64 \n",
" 61 future_return2 1101560 non-null float64 \n",
" 62 future_return3 1101560 non-null float64 \n",
" 63 future_return4 1101560 non-null float64 \n",
" 64 future_return5 1101560 non-null float64 \n",
" 65 future_return6 1101560 non-null float64 \n",
" 66 future_return7 1101560 non-null float64 \n",
" 67 future_close1 1101560 non-null float64 \n",
" 68 future_close2 1101560 non-null float64 \n",
" 69 future_close3 1101560 non-null float64 \n",
" 70 future_close4 1101560 non-null float64 \n",
" 71 future_close5 1101560 non-null float64 \n",
" 72 future_af11 1100687 non-null float64 \n",
" 73 future_af12 1100687 non-null float64 \n",
" 74 future_af13 1100687 non-null float64 \n",
" 75 future_af14 1100687 non-null float64 \n",
" 76 future_af15 1100687 non-null float64 \n",
" 77 future_af21 1100687 non-null float64 \n",
" 78 future_af22 1100687 non-null float64 \n",
" 79 future_af23 1100687 non-null float64 \n",
" 80 future_af24 1100687 non-null float64 \n",
" 81 future_af25 1100687 non-null float64 \n",
" 82 future_af31 1100687 non-null float64 \n",
" 83 future_af32 1100687 non-null float64 \n",
" 84 future_af33 1100687 non-null float64 \n",
" 85 future_af34 1100687 non-null float64 \n",
" 86 future_af35 1100687 non-null float64 \n",
"dtypes: datetime64[ns](1), float64(84), object(2)\n",
"memory usage: 731.2+ MB\n",
"None\n"
]
}
],
"execution_count": 6
"execution_count": 14
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-09T15:00:45.828404Z",
"start_time": "2025-02-09T15:00:45.294830Z"
"end_time": "2025-02-11T16:42:04.317134Z",
"start_time": "2025-02-11T16:42:03.969288Z"
}
},
"cell_type": "code",
@@ -516,17 +533,18 @@
"name": "stdout",
"output_type": "stream",
"text": [
"['up', 'down', 'atr_14', 'atr_6', 'obv', 'maobv_6', 'obv-maobv_6', 'rsi_3', 'rsi_6', 'rsi_9', 'return_10', 'return_20', 'avg_close_5', 'std_return_5', 'std_return_15', 'std_return_25', 'std_return_90', 'std_return_90_2', 'std_return_5 / std_return_90', 'std_return_5 / std_return_25', 'std_return_90 - std_return_90_2', 'ema_5', 'ema_13', 'ema_20', 'ema_60', 'act_factor1', 'act_factor2', 'act_factor3', 'act_factor4', 'act_factor5', 'act_factor6', 'rank_act_factor1', 'rank_act_factor2', 'rank_act_factor3', 'active_buy_volume_large', 'active_buy_volume_big', 'active_buy_volume_small', 'buy_lg_vol - sell_lg_vol', 'buy_elg_vol - sell_elg_vol']\n"
"860933\n",
"240627\n"
]
}
],
"execution_count": 19
"execution_count": 15
},
{
"metadata": {
"ExecuteTime": {
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"start_time": "2025-02-09T14:56:03.355725Z"
"end_time": "2025-02-11T16:42:06.417436Z",
"start_time": "2025-02-11T16:42:04.322121Z"
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"cell_type": "code",
@@ -558,26 +576,40 @@
],
"id": "f4f16d63ad18d1bc",
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"C:\\Users\\liaozhaorun\\AppData\\Local\\Temp\\ipykernel_88940\\2181928612.py:16: SettingWithCopyWarning: \n",
"A value is trying to be set on a copy of a slice from a DataFrame.\n",
"Try using .loc[row_indexer,col_indexer] = value instead\n",
"\n",
"See the caveats in the documentation: https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#returning-a-view-versus-a-copy\n",
" train_data['label'], test_data['label'] = get_label(train_data), get_label(test_data)\n",
"C:\\Users\\liaozhaorun\\AppData\\Local\\Temp\\ipykernel_88940\\2181928612.py:16: SettingWithCopyWarning: \n",
"A value is trying to be set on a copy of a slice from a DataFrame.\n",
"Try using .loc[row_indexer,col_indexer] = value instead\n",
"\n",
"See the caveats in the documentation: https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#returning-a-view-versus-a-copy\n",
" train_data['label'], test_data['label'] = get_label(train_data), get_label(test_data)\n"
]
},
{
"name": "stdout",
"output_type": "stream",
"text": [
"875004\n",
"最小日期: 2017-01-03\n",
"最大日期: 2022-12-30\n",
"260581\n",
"最小日期: 2023-01-03\n",
"最大日期: 2025-01-27\n"
"747134\n",
"184095\n"
]
}
],
"execution_count": 13
"execution_count": 16
},
{
"metadata": {
"ExecuteTime": {
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"start_time": "2025-02-09T14:56:05.367238Z"
"end_time": "2025-02-11T16:42:08.032246Z",
"start_time": "2025-02-11T16:42:06.481439Z"
}
},
"cell_type": "code",
@@ -771,13 +803,13 @@
],
"id": "8f134d435f71e9e2",
"outputs": [],
"execution_count": 14
"execution_count": 17
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-09T14:56:05.576927Z",
"start_time": "2025-02-09T14:56:05.480695Z"
"end_time": "2025-02-11T16:42:08.126033Z",
"start_time": "2025-02-11T16:42:08.047878Z"
}
},
"cell_type": "code",
@@ -802,13 +834,13 @@
],
"id": "4a4542e1ed6afe7d",
"outputs": [],
"execution_count": 15
"execution_count": 18
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-09T14:57:25.341222Z",
"start_time": "2025-02-09T14:56:05.640256Z"
"end_time": "2025-02-11T16:43:30.267422Z",
"start_time": "2025-02-11T16:42:08.363141Z"
}
},
"cell_type": "code",
@@ -831,22 +863,23 @@
"name": "stdout",
"output_type": "stream",
"text": [
"train data size: 875004\n",
"train data size: 747134\n",
"未发现缓存模型，开始训练新模型。\n",
"Training until validation scores don't improve for 50 rounds\n",
"[500]\ttrain's l2: 0.415226\tvalid's l2: 0.57674\n",
"Early stopping, best iteration is:\n",
"[378]\ttrain's l2: 0.435049\tvalid's l2: 0.589178\n",
"[477]\ttrain's l2: 0.417575\tvalid's l2: 0.576627\n",
"Evaluated only: l2\n"
]
}
],
"execution_count": 16
"execution_count": 19
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-09T14:57:27.394697Z",
"start_time": "2025-02-09T14:57:25.373274Z"
"end_time": "2025-02-11T16:43:32.102494Z",
"start_time": "2025-02-11T16:43:30.315429Z"
}
},
"cell_type": "code",
@@ -856,20 +889,20 @@
],
"id": "5bb96ca8492e74d",
"outputs": [],
"execution_count": 17
"execution_count": 20
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-09T14:57:27.489570Z",
"start_time": "2025-02-09T14:57:27.397368Z"
"end_time": "2025-02-11T16:43:32.197091Z",
"start_time": "2025-02-11T16:43:32.107477Z"
}
},
"cell_type": "code",
"source": "predictions[['trade_date', 'score', 'ts_code']].to_csv('predictions.csv', index=False)",
"id": "5d1522a7538db91b",
"outputs": [],
"execution_count": 18
"execution_count": 21
}
],
"metadata": {

486
code/train/predictions.csv
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2024-01-19,1.178331671274573,603579.SH
2024-01-22,1.6352965224693876,605268.SH
2024-01-23,1.4266068895392103,605117.SH
2024-01-24,0.8002314972730927,600138.SH
2024-01-25,0.6269522471780932,603099.SH
2024-01-26,1.1309900405971738,605111.SH
2024-01-29,1.125066361142788,002253.SZ
2024-01-30,1.351423375727843,003007.SZ
2024-01-31,1.5739771441257069,601138.SH
2024-02-01,1.499054147286471,002033.SZ
2024-02-02,1.5167645269468597,601038.SH
2024-02-05,1.903436398968963,000998.SZ
2024-02-06,0.8212170920332696,600705.SH
2024-02-07,0.8351364611756162,603199.SH
2024-02-08,0.6822013314565247,601998.SH
2024-02-19,0.5444839345994206,000999.SZ
2024-02-20,0.5734873097155654,603369.SH
2024-02-21,0.43260992475178217,600023.SH
2024-02-22,0.4837658423417254,000526.SZ
2024-02-23,0.25932845682914313,000157.SZ
2024-02-26,0.37391625217883473,000983.SZ
2024-02-27,0.06249364085384111,002039.SZ
2024-02-28,1.038623993098607,000680.SZ
2024-02-29,0.11792404338777529,603871.SH
2024-03-01,0.30810066963043975,603605.SH
2024-03-04,0.17622933681947947,600375.SH
2024-03-05,1.0199617166369774,002009.SZ
2024-03-06,0.7025950679251926,002209.SZ
2024-03-07,0.8130361341508562,002317.SZ
2024-03-08,0.6714948117029352,603960.SH
2024-03-11,0.7527103580484402,603960.SH
2024-03-12,0.773794092704635,603960.SH
2024-03-13,0.6395980350337678,603499.SH
2024-03-14,0.6983134888804106,603660.SH
2024-03-15,0.990357376475744,601138.SH
2024-03-18,0.4182273803259301,002075.SZ
2024-03-19,0.8116021296004745,603050.SH
2024-03-20,0.6916582321872963,605580.SH
2024-03-21,0.7126108686308776,002698.SZ
2024-03-22,0.795964501966808,603190.SH
2024-03-25,1.0652068531193497,603286.SH
2024-03-26,1.2060727717193194,002331.SZ
2024-03-27,1.8308956146424886,001696.SZ
2024-03-28,1.5762953683649072,002645.SZ
2024-03-29,0.8133804882766478,002055.SZ
2024-04-01,0.6881987381521469,002735.SZ
2024-04-02,0.9728619403924941,002085.SZ
2024-04-03,0.9735850429701983,002625.SZ
2024-04-08,0.9464502611855133,002805.SZ
2024-04-09,1.10422053943107,002085.SZ
2024-04-10,0.699553803327553,603822.SH
2024-04-11,1.2813227488155954,002544.SZ
2024-04-12,0.9677010248477915,605198.SH
2024-04-15,1.2722648770139777,002290.SZ
2024-04-16,2.1135975645782725,002521.SZ
2024-04-17,1.0448007042761251,000737.SZ
2024-04-18,1.3682438721410928,603619.SH
2024-04-19,0.6510347025537216,000933.SZ
2024-04-22,1.1007294592332375,600529.SH
2024-04-23,1.0096847778899667,002078.SZ
2024-04-24,0.5132039397179469,000949.SZ
2024-04-25,1.7289140437217827,600066.SH
2024-04-26,1.048178737250126,603556.SH
2024-04-29,0.28151131629200876,000949.SZ
2024-04-30,0.5902959535550075,605098.SH
2024-05-06,0.8659440618533316,001696.SZ
2024-05-07,0.4125483888931327,002225.SZ
2024-05-08,0.49991019731911135,002597.SZ
2024-05-09,0.8523675809088074,002590.SZ
2024-05-10,0.6072304373378594,001696.SZ
2024-05-13,0.9449133844307348,600326.SH
2024-05-14,0.756524501371889,002025.SZ
2024-05-15,0.7974348512463216,600682.SH
2024-05-16,0.9752446361705888,600644.SH
2024-05-17,1.1846986232709233,000702.SZ
2024-05-20,0.7167728676668204,002851.SZ
2024-05-21,1.071890852713521,603683.SH
2024-05-22,0.7124540930368298,600463.SH
2024-05-23,1.5016154741945653,002225.SZ
2024-05-24,1.2198831133459211,002968.SZ
2024-05-27,0.9536299254414154,000656.SZ
2024-05-28,0.8425457543469408,002761.SZ
2024-05-29,0.652762060180136,600979.SH
2024-05-30,0.9000889953940735,002455.SZ
2024-05-31,0.9330771253458983,601825.SH
2024-06-03,1.2914669574335471,001267.SZ
2024-06-04,0.829699499403838,600530.SH
2024-06-05,1.0758350766018299,002922.SZ
2024-06-06,0.8595311066455215,603360.SH
2024-06-07,1.0888503051113,002889.SZ
2024-06-11,1.0628038633716435,002475.SZ
2024-06-12,1.1159013979424315,603009.SH
2024-06-13,1.1812561799680747,600996.SH
2024-06-14,0.8256170648299659,600039.SH
2024-06-17,0.8645410455127762,000528.SZ
2024-06-18,0.6063406599939511,600996.SH
2024-06-19,0.7166446473651414,600192.SH
2024-06-20,0.932110291603618,605598.SH
2024-06-21,0.9558209107020993,603936.SH
2024-06-24,1.119014534304907,600992.SH
2024-06-25,1.3527294398026957,600584.SH
2024-06-26,0.7188166389093542,000504.SZ
2024-06-27,1.9515093336713365,002452.SZ
2024-06-28,0.8843544096493936,600889.SH
2024-07-01,0.6545882280229176,003004.SZ
2024-07-02,0.6762487770835988,600584.SH
2024-07-03,0.9128444390874889,601179.SH
2024-07-04,1.1423863246899275,603225.SH
2024-07-05,0.9324658736527716,603936.SH
2024-07-08,1.780537827812583,603328.SH
2024-07-09,0.7579237257512456,000679.SZ
2024-07-10,0.6704021737995826,605117.SH
2024-07-11,0.6117132499929072,000622.SZ
2024-07-12,1.0566477568456074,002452.SZ
2024-07-15,0.6602660923500289,605081.SH
2024-07-16,0.5502090318853736,002420.SZ
2024-07-17,0.6837622842594867,002355.SZ
2024-07-18,0.8242173773899442,002384.SZ
2024-07-19,0.9979238076969816,002384.SZ
2024-07-22,0.4982073979858695,000421.SZ
2024-07-23,1.1543952284060066,002428.SZ
2024-07-24,1.2334918071766405,605111.SH
2024-07-25,0.8987252044027945,002496.SZ
2024-07-26,0.8562640506752258,600171.SH
2024-07-29,0.5774106541432314,002750.SZ
2024-07-30,0.5406184547635255,600563.SH
2024-07-31,0.5575394015591096,002700.SZ
2024-08-01,0.3836358457058139,600099.SH
2024-08-02,0.670543769867587,605081.SH
2024-08-05,1.2561423052432321,605117.SH
2024-08-06,0.9373802633817199,000584.SZ
2024-08-07,0.8074459777954732,603032.SH
2024-08-08,0.8017404350976902,600611.SH
2024-08-09,0.9444750578832374,000659.SZ
2024-08-12,0.8308531709022774,000880.SZ
2024-08-13,0.6345130236563948,600266.SH
2024-08-14,0.7618996741024034,000159.SZ
2024-08-15,0.7957196976564392,000880.SZ
2024-08-16,0.8007104277247147,603050.SH
2024-08-19,0.8488617680848443,603444.SH
2024-08-20,1.049247341754445,002488.SZ
2024-08-21,1.2543709456137933,002488.SZ
2024-08-22,1.0702026523317902,002208.SZ
2024-08-23,1.0790725273037058,002369.SZ
2024-08-26,0.8933596937509765,000532.SZ
2024-08-27,0.9555026539273229,605318.SH
2024-08-28,0.8517730333686951,002547.SZ
2024-08-29,0.8787028549560587,003001.SZ
2024-08-30,0.5949301031458588,601898.SH
2024-09-02,1.0927036539101782,603826.SH
2024-09-03,0.5011518255679451,000810.SZ
2024-09-04,0.913670019713004,001298.SZ
2024-09-05,0.5722903163709645,600375.SH
2024-09-06,1.054280211341685,002622.SZ
2024-09-09,1.1145869455283224,600375.SH
2024-09-10,0.6071645644461853,600804.SH
2024-09-11,0.8120257237744295,002808.SZ
2024-09-12,0.7226510652354332,600148.SH
2024-09-13,1.4358476935516946,603615.SH
2024-09-18,0.8351081061832145,002946.SZ
2024-09-19,0.605865384829211,600898.SH
2024-09-20,0.9533885243905273,603398.SH
2024-09-23,1.046054385469168,601162.SH
2024-09-24,0.3758184358111333,603559.SH
2024-09-25,0.8156363720747627,600756.SH
2024-09-26,0.5051488053045387,600550.SH
2024-09-27,0.16901120016969293,002016.SZ
2024-09-30,0.03361915273177237,603106.SH
2024-10-08,0.02829952163781644,603106.SH
2024-10-09,0.15132702693149014,601336.SH
2024-10-10,0.5264407322666304,000402.SZ
2024-10-11,1.0343311919140215,600657.SH
2024-10-14,0.47180187869811324,603383.SH
2024-10-15,0.8703255693900985,603106.SH
2024-10-16,0.8602575981884926,002987.SZ
2024-10-17,0.8415090474760394,000567.SZ
2024-10-18,0.15292428350076237,002542.SZ
2024-10-21,0.4922089945140812,002457.SZ
2024-10-22,0.4176771447393169,002423.SZ
2024-10-23,0.8519606263347589,000158.SZ
2024-10-24,0.5430046541942165,000935.SZ
2024-10-25,0.18041199007445233,603016.SH
2024-10-28,0.5571845419116188,000503.SZ
2024-10-29,0.4049481417593221,002851.SZ
2024-10-30,0.7134818524722009,600463.SH
2024-10-31,0.5829203522209173,603117.SH
2024-11-01,1.2246655429458404,002851.SZ
2024-11-04,0.8176452500049061,600843.SH
2024-11-05,0.896531400955133,002514.SZ
2024-11-06,0.8080466337179094,600292.SH
2024-11-07,0.8536978345761432,600481.SH
2024-11-08,0.735404763610977,002047.SZ
2024-11-11,0.7749352489908305,002428.SZ
2024-11-12,0.8967548353595826,002428.SZ
2024-11-13,1.0199850479686239,603859.SH
2024-11-14,0.9361081815051415,603559.SH
2024-11-15,1.5997213068383358,002086.SZ
2024-11-18,1.5789594007558525,002709.SZ
2024-11-19,1.5249787983366927,603825.SH
2024-11-20,0.736292965730012,002808.SZ
2024-11-21,0.7544341372210354,603859.SH
2024-11-22,1.2744170240551567,600593.SH
2024-11-25,0.8324187454861728,600787.SH
2024-11-26,1.0752006153991913,600736.SH
2024-11-27,0.6500606694243171,002245.SZ
2024-11-28,0.8456761058883665,000833.SZ
2024-11-29,0.8489157795122361,002354.SZ
2024-12-02,0.6832024025795977,002611.SZ
2024-12-03,0.8939114413301544,603366.SH
2024-12-04,1.0277665925094743,002822.SZ
2024-12-05,0.9103466279163851,002175.SZ
2024-12-06,0.7686238693084577,002467.SZ
2024-12-09,1.0846053237578963,601933.SH
2024-12-10,1.0700371757624498,600193.SH
2024-12-11,0.7673727634361369,002520.SZ
2024-12-12,0.8497906144901559,002362.SZ
2024-12-13,1.254346634364545,603429.SH
2024-12-16,1.0386293779387827,000727.SZ
2024-12-17,1.2458109349303497,600157.SH
2024-12-18,1.3409657396440136,003002.SZ
2024-12-19,1.1408332938187322,600593.SH
2024-12-20,0.8248161307709121,002512.SZ
2024-12-23,1.1576027817247634,002336.SZ
2024-12-24,0.8652560164174093,603610.SH
2024-12-25,0.8928903216570524,002045.SZ
2024-12-26,0.7436802683703838,603214.SH
2024-12-27,0.8278524197563604,002945.SZ
2024-12-30,0.6846259683364331,600223.SH
2024-12-31,1.0514482797503029,001309.SZ
2025-01-02,1.4104671874229635,603668.SH
1 trade_date score ts_code
2 2023-01-03 0.6847274162535452 600965.SH
3 2023-01-04 0.7414192412896188 000615.SZ
4 2023-01-05 0.5542654290126795 000430.SZ
5 2023-01-06 0.6959513776962396 002640.SZ
6 2023-01-09 0.7412055912703203 600785.SH
7 2023-01-10 0.6855907318251123 002762.SZ
8 2023-01-11 0.7292345443148791 002719.SZ
9 2023-01-12 0.7309633018913224 600996.SH
10 2023-01-13 0.8190324397886146 002279.SZ
11 2023-01-16 0.784606092607123 000850.SZ
12 2023-01-17 0.7241262895910806 002441.SZ
13 2023-01-18 0.7040191348893544 002467.SZ
14 2023-01-19 1.4428906481799044 002195.SZ
15 2023-01-20 0.8043769403690574 000561.SZ
16 2023-01-30 0.8713260866140435 000913.SZ
17 2023-01-31 0.7091214216170246 002560.SZ
18 2023-02-01 0.8674507984004312 002576.SZ
19 2023-02-02 0.8435316672358789 002576.SZ
20 2023-02-03 0.3637794960484866 603698.SH
21 2023-02-06 0.8498784343039595 002401.SZ
22 2023-02-07 0.5210597972482388 002767.SZ
23 2023-02-08 0.9567872514253289 002368.SZ
24 2023-02-09 0.5267235816880836 002155.SZ
25 2023-02-10 0.8402723790587989 002348.SZ
26 2023-02-13 0.4846072502710197 002348.SZ
27 2023-02-14 0.7626025684565886 002877.SZ
28 2023-02-15 0.697045569808066 600225.SH
29 2023-02-16 0.8282986278708487 002748.SZ
30 2023-02-17 1.8315250204409614 601020.SH
31 2023-02-20 0.9746443150927466 003021.SZ
32 2023-02-21 1.33028636760986 002339.SZ
33 2023-02-22 0.7778102046341324 002167.SZ
34 2023-02-23 1.1313865958453686 600100.SH
35 2023-02-24 0.5636940136703907 000716.SZ
36 2023-02-27 1.1864163478203489 600557.SH
37 2023-02-28 1.0001756905854564 603129.SH
38 2023-03-01 0.859829916936714 603025.SH
39 2023-03-02 0.7059826582301507 603186.SH
40 2023-03-03 0.6713484518505006 002942.SZ
41 2023-03-06 0.7514650334919161 002362.SZ
42 2023-03-07 0.9199279895136431 002350.SZ
43 2023-03-08 0.7172896853160168 601872.SH
44 2023-03-09 1.2558830649002728 002808.SZ
45 2023-03-10 1.2172505980712502 003020.SZ
46 2023-03-13 0.5215320654292881 600363.SH
47 2023-03-14 1.0463998807907229 601872.SH
48 2023-03-15 0.583641209552904 603966.SH
49 2023-03-16 0.9789347178467226 603803.SH
50 2023-03-17 0.6572400306835567 600780.SH
51 2023-03-20 0.9514948440683256 601003.SH
52 2023-03-21 0.842214622933076 002439.SZ
53 2023-03-22 1.1462525936633026 601698.SH
54 2023-03-23 0.48812639918095935 601199.SH
55 2023-03-24 0.4727906220196696 601698.SH
56 2023-03-27 0.7956407883949915 000810.SZ
57 2023-03-28 0.9780023176799034 601698.SH
58 2023-03-29 0.7581739222176508 002558.SZ
59 2023-03-30 1.2088597249444364 002425.SZ
60 2023-03-31 1.0383208709472522 000938.SZ
61 2023-04-03 0.7742369597473725 001872.SZ
62 2023-04-04 0.8024470755073208 002858.SZ
63 2023-04-06 0.7607284837753079 002261.SZ
64 2023-04-07 0.9927088245634893 002261.SZ
65 2023-04-10 0.8693657271995023 603019.SH
66 2023-04-11 1.3756495540495381 600228.SH
67 2023-04-12 0.6041603413288005 002222.SZ
68 2023-04-13 0.7744980911161148 002777.SZ
69 2023-04-14 0.8672190988257731 600633.SH
70 2023-04-17 1.4449313652608706 603083.SH
71 2023-04-18 0.6773096694945689 002517.SZ
72 2023-04-19 2.078581022345213 002908.SZ
73 2023-04-20 0.9806780152085147 600203.SH
74 2023-04-21 0.8344159521107176 000686.SZ
75 2023-04-24 1.210049105329498 600749.SH
76 2023-04-25 1.4048193576090038 603699.SH
77 2023-04-26 1.4845584717530398 600750.SH
78 2023-04-27 1.7290167418990006 002351.SZ
79 2023-04-28 0.6169128309035838 002343.SZ
80 2023-05-04 0.406077908055111 603019.SH
81 2023-05-05 0.9080152593104391 603258.SH
82 2023-05-08 0.796876165601434 603083.SH
83 2023-05-09 0.9700970682165659 002291.SZ
84 2023-05-10 1.3258832446428042 002291.SZ
85 2023-05-11 0.8900850443360986 600750.SH
86 2023-05-12 1.0650432251092237 601318.SH
87 2023-05-15 0.6787099027648815 002760.SZ
88 2023-05-16 0.722076527194143 603357.SH
89 2023-05-17 1.053645140729648 603357.SH
90 2023-05-18 0.6034913204660662 601518.SH
91 2023-05-19 0.5868824391890941 000600.SZ
92 2023-05-22 0.7653788907870708 002315.SZ
93 2023-05-23 0.8498831870683509 003021.SZ
94 2023-05-24 0.8222394685174235 600337.SH
95 2023-05-25 0.9415393784400905 600587.SH
96 2023-05-26 0.520220425480583 000600.SZ
97 2023-05-29 0.6595697603731597 002334.SZ
98 2023-05-30 0.606477318736669 603790.SH
99 2023-05-31 0.694237121673502 603662.SH
100 2023-06-01 0.5921959927449983 603196.SH
101 2023-06-02 0.6895081721399422 603019.SH
102 2023-06-05 0.5566382152721012 001309.SZ
103 2023-06-06 1.892873809852157 002587.SZ
104 2023-06-07 0.7678242983656595 605011.SH
105 2023-06-08 1.0539866095101476 000938.SZ
106 2023-06-09 0.8147649527362582 002292.SZ
107 2023-06-12 0.7188933998461803 002173.SZ
108 2023-06-13 0.681977313547429 603097.SH
109 2023-06-14 0.8733642333159071 002865.SZ
110 2023-06-15 0.8968643954524321 603108.SH
111 2023-06-16 0.7840028396319321 002897.SZ
112 2023-06-19 0.8775653925608153 603319.SH
113 2023-06-20 1.0844187891842454 002902.SZ
114 2023-06-21 1.2927896026027148 603629.SH
115 2023-06-26 1.2292848291237288 002261.SZ
116 2023-06-27 1.3781866321602365 000938.SZ
117 2023-06-28 0.8540277846763247 601138.SH
118 2023-06-29 0.8523211757782663 603779.SH
119 2023-06-30 1.1754329601349267 601127.SH
120 2023-07-03 1.2249906293712542 603015.SH
121 2023-07-04 1.1084820336750372 000936.SZ
122 2023-07-05 1.2710980206868936 000936.SZ
123 2023-07-06 0.747949676257483 603728.SH
124 2023-07-07 0.9061602512086774 002835.SZ
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@@ -1,265 +0,0 @@
trade_date,score,ts_code
2024-01-02,0.8906433047229376,002587.SZ
2024-01-03,0.800255773815545,000691.SZ
2024-01-04,0.918203870395468,002962.SZ
2024-01-05,1.1734063865615825,605117.SH
2024-01-08,1.2784720379037475,600761.SH
2024-01-09,0.5936470874291284,002862.SZ
2024-01-10,0.9080905815108482,000698.SZ
2024-01-11,0.827458720223193,603097.SH
2024-01-12,0.994883205877543,600593.SH
2024-01-15,0.6804254263110727,603212.SH
2024-01-16,0.7194593431343859,000698.SZ
2024-01-17,1.0860069907228742,603172.SH
2024-01-18,1.3749235527137786,603828.SH
2024-01-19,1.2391308950507334,603579.SH
2024-01-22,1.7603168299560354,605268.SH
2024-01-23,1.5656552549163458,605117.SH
2024-01-24,0.7379915949457881,600138.SH
2024-01-25,0.7346719736914655,603099.SH
2024-01-26,1.0310897640701377,605111.SH
2024-01-29,1.1768938262108766,603398.SH
2024-01-30,1.235487562255028,003007.SZ
2024-01-31,1.5371910050217372,601138.SH
2024-02-01,1.3629464247750829,600551.SH
2024-02-02,1.52270944692793,601038.SH
2024-02-05,1.847344110860692,000550.SZ
2024-02-06,0.8127749986671006,600705.SH
2024-02-07,0.7565034143929377,603199.SH
2024-02-08,0.7247153170440155,600188.SH
2024-02-19,0.41560847492124364,002032.SZ
2024-02-20,0.5419618315007714,603369.SH
2024-02-21,0.44193316268825533,600023.SH
2024-02-22,0.45382033625301066,000526.SZ
2024-02-23,0.25689917770287357,000157.SZ
2024-02-26,0.4253231714991775,000983.SZ
2024-02-27,0.03172161439110529,605151.SH
2024-02-28,1.074800376390378,000680.SZ
2024-02-29,0.11241663388214615,002467.SZ
2024-03-01,0.317478967758629,603605.SH
2024-03-04,0.17878811429242739,600860.SH
2024-03-05,1.0151694508153393,002009.SZ
2024-03-06,0.8229010452846762,002209.SZ
2024-03-07,0.8017175629386889,600584.SH
2024-03-08,0.6810433978551881,603960.SH
2024-03-11,0.9532104338812376,603960.SH
2024-03-12,0.7055297835013503,603960.SH
2024-03-13,0.5920124881579221,603499.SH
2024-03-14,0.661232064922907,603660.SH
2024-03-15,0.8778620305552904,601138.SH
2024-03-18,0.42042942845890563,002075.SZ
2024-03-19,0.7527868193603998,603050.SH
2024-03-20,0.5531908723666995,605580.SH
2024-03-21,0.7900117288163369,002698.SZ
2024-03-22,0.8285381778407641,603190.SH
2024-03-25,1.0749381159867608,603286.SH
2024-03-26,1.2654734266422276,002331.SZ
2024-03-27,1.8684480159293833,001696.SZ
2024-03-28,1.6075301389782366,002645.SZ
2024-03-29,0.8465441903404123,002055.SZ
2024-04-01,0.7568317810951942,002735.SZ
2024-04-02,1.0341346018053856,002085.SZ
2024-04-03,1.0122022102013215,002130.SZ
2024-04-08,0.8881305473937254,002805.SZ
2024-04-09,1.0559556356983075,002085.SZ
2024-04-10,0.6554344664442165,603822.SH
2024-04-11,1.2760784980841757,002544.SZ
2024-04-12,1.0181838249663664,605198.SH
2024-04-15,1.221720496054648,002290.SZ
2024-04-16,2.0663546208214703,002521.SZ
2024-04-17,1.1065962300439527,000737.SZ
2024-04-18,1.34853784445544,603619.SH
2024-04-19,0.6639505828915956,000933.SZ
2024-04-22,1.1652613644520093,600529.SH
2024-04-23,1.0507483721309534,002078.SZ
2024-04-24,0.7225763953314781,000949.SZ
2024-04-25,1.9430192587586146,600066.SH
2024-04-26,1.0817360300030114,603556.SH
2024-04-29,0.21577435079395113,600480.SH
2024-04-30,0.5290265764148879,605098.SH
2024-05-06,0.7885258258967485,001696.SZ
2024-05-07,0.415812996822765,002225.SZ
2024-05-08,0.5596574674012184,603232.SH
2024-05-09,0.8548632655231382,002590.SZ
2024-05-10,0.5787850519196119,001696.SZ
2024-05-13,0.9751906596140552,000952.SZ
2024-05-14,0.7644462578838344,600645.SH
2024-05-15,0.8589488842170756,600682.SH
2024-05-16,1.049953727857974,600644.SH
2024-05-17,1.1220964730505885,000702.SZ
2024-05-20,0.8027292772970297,002851.SZ
2024-05-21,1.1153910838352858,603683.SH
2024-05-22,0.6413250933571519,002922.SZ
2024-05-23,1.570388967019694,002225.SZ
2024-05-24,1.2444795042063028,002968.SZ
2024-05-27,0.9627736773164858,600675.SH
2024-05-28,0.9448048863120843,002761.SZ
2024-05-29,0.6810520099963742,600979.SH
2024-05-30,0.842272857355848,600530.SH
2024-05-31,1.0001129400930693,600101.SH
2024-06-03,1.3637566909343166,001267.SZ
2024-06-04,0.9588694721783405,600530.SH
2024-06-05,1.0953534292665954,002922.SZ
2024-06-06,0.8110235687535462,603360.SH
2024-06-07,1.2134023901747366,002889.SZ
2024-06-11,1.0772961141495465,002655.SZ
2024-06-12,1.1183914831029496,603009.SH
2024-06-13,1.0362186103086477,600996.SH
2024-06-14,0.7480333968482387,600039.SH
2024-06-17,1.0007287301926653,000528.SZ
2024-06-18,0.5381156056733658,600996.SH
2024-06-19,0.7036814608094294,600830.SH
2024-06-20,0.8499910179916197,605598.SH
2024-06-21,1.2150720829980681,603936.SH
2024-06-24,1.0311244474924908,600992.SH
2024-06-25,1.2484419002632245,600584.SH
2024-06-26,0.7320854040096385,000819.SZ
2024-06-27,1.9029808384109885,002452.SZ
2024-06-28,0.8803270724492669,600889.SH
2024-07-01,0.6059109111833119,000622.SZ
2024-07-02,0.656778781716391,600584.SH
2024-07-03,0.8605418473204086,601179.SH
2024-07-04,1.073683249192727,603225.SH
2024-07-05,0.8800051248743536,603936.SH
2024-07-08,1.8061114289786495,603328.SH
2024-07-09,0.5826571385994789,000679.SZ
2024-07-10,0.8413277231762297,605117.SH
2024-07-11,0.6665748975268276,000622.SZ
2024-07-12,1.0278922272860618,002452.SZ
2024-07-15,0.6403011305936952,605081.SH
2024-07-16,0.592445020815451,002420.SZ
2024-07-17,0.5442518053370551,002355.SZ
2024-07-18,0.8022024783282671,002384.SZ
2024-07-19,0.9433013682690108,002384.SZ
2024-07-22,0.6240394772580439,000421.SZ
2024-07-23,1.237721650844904,002428.SZ
2024-07-24,1.186379759584258,605111.SH
2024-07-25,0.8926351872925693,002496.SZ
2024-07-26,0.8499067690354271,600171.SH
2024-07-29,0.7013969819645556,002750.SZ
2024-07-30,0.615258963090716,600563.SH
2024-07-31,0.5799237504937365,002700.SZ
2024-08-01,0.5070284832062075,600834.SH
2024-08-02,0.6485822834772664,600604.SH
2024-08-05,1.3222325162798954,605117.SH
2024-08-06,0.9935887583155018,000584.SZ
2024-08-07,0.7440148514526516,603032.SH
2024-08-08,0.8934326068252262,600611.SH
2024-08-09,0.9907610203863012,000659.SZ
2024-08-12,0.7143811940598249,000880.SZ
2024-08-13,0.5948683342786406,600266.SH
2024-08-14,0.7780755309120447,000159.SZ
2024-08-15,0.8738359592762805,000880.SZ
2024-08-16,0.7460601727356423,603050.SH
2024-08-19,0.8904872743308099,603444.SH
2024-08-20,1.077089845741329,002488.SZ
2024-08-21,1.330096420372438,002488.SZ
2024-08-22,1.04117609681098,002208.SZ
2024-08-23,1.2634267858516914,002369.SZ
2024-08-26,0.8745811905917017,000532.SZ
2024-08-27,0.836754154047108,002760.SZ
2024-08-28,0.7231326607988842,002547.SZ
2024-08-29,0.8735120215139563,003001.SZ
2024-08-30,0.6615140980616735,601898.SH
2024-09-02,1.093224090711538,603826.SH
2024-09-03,0.41407989346203866,002309.SZ
2024-09-04,0.7919233491318468,001298.SZ
2024-09-05,0.6449753890047838,000908.SZ
2024-09-06,1.17109797325565,002622.SZ
2024-09-09,1.2278175192855338,000999.SZ
2024-09-10,0.7463596223821397,600804.SH
2024-09-11,0.7470176349514708,002808.SZ
2024-09-12,0.7243651180373872,603559.SH
2024-09-13,1.474732794777432,603615.SH
2024-09-18,0.883126816576788,000659.SZ
2024-09-19,0.640225572474989,600898.SH
2024-09-20,1.051164703847969,603398.SH
2024-09-23,0.9312327237656652,601162.SH
2024-09-24,0.47774549082415085,603559.SH
2024-09-25,0.9563618822865794,600756.SH
2024-09-26,0.5275946326737218,002686.SZ
2024-09-27,0.18984202360702415,002016.SZ
2024-09-30,0.035786009050673036,603106.SH
2024-10-08,0.032889649456072596,603106.SH
2024-10-09,0.12465071252054723,601336.SH
2024-10-10,0.6969210259884471,000402.SZ
2024-10-11,1.0531806211526256,600099.SH
2024-10-14,0.46171010596010975,601162.SH
2024-10-15,1.050584350922452,000402.SZ
2024-10-16,0.9133292498947153,002987.SZ
2024-10-17,0.7700882254413255,000567.SZ
2024-10-18,0.1201641254984537,600895.SH
2024-10-21,0.6976186419462845,002457.SZ
2024-10-22,0.29432613116032685,002423.SZ
2024-10-23,0.7806425787966057,000158.SZ
2024-10-24,0.6036172569478745,002199.SZ
2024-10-25,0.12282827583399647,603016.SH
2024-10-28,0.5245178749249334,000503.SZ
2024-10-29,0.5076972792469883,002851.SZ
2024-10-30,0.7895092176015108,600463.SH
2024-10-31,0.6192784720087864,603117.SH
2024-11-01,1.204091078793982,002134.SZ
2024-11-04,0.8093625376363384,002570.SZ
2024-11-05,0.8638488115176264,600172.SH
2024-11-06,0.8186577511607894,600292.SH
2024-11-07,0.8635644200307799,600481.SH
2024-11-08,0.747868586080844,002047.SZ
2024-11-11,0.8396084711761063,002428.SZ
2024-11-12,0.7919805059954543,603859.SH
2024-11-13,0.9060991217118458,603859.SH
2024-11-14,0.9421847563274262,600966.SH
2024-11-15,1.5178035825387006,002086.SZ
2024-11-18,1.5376931721833804,600212.SH
2024-11-19,1.4060097628439219,603825.SH
2024-11-20,0.8890834002457785,002808.SZ
2024-11-21,0.8855345297456824,603859.SH
2024-11-22,1.119413451276471,600593.SH
2024-11-25,0.7785122491322624,600787.SH
2024-11-26,1.0000210964516405,600736.SH
2024-11-27,0.8847088850937169,002245.SZ
2024-11-28,0.8621169938483969,601360.SH
2024-11-29,0.7042168573520408,002354.SZ
2024-12-02,0.6426744321671465,002611.SZ
2024-12-03,0.9021248369663103,603366.SH
2024-12-04,0.9942733603597254,002822.SZ
2024-12-05,0.8594169937974554,002175.SZ
2024-12-06,0.6985253068214117,603366.SH
2024-12-09,0.9476416369172441,601933.SH
2024-12-10,1.053999067291189,600193.SH
2024-12-11,0.6996323878339654,002193.SZ
2024-12-12,0.9535599508119768,002362.SZ
2024-12-13,1.3279717542253164,603429.SH
2024-12-16,1.0260681164941636,000727.SZ
2024-12-17,1.3063049942413876,600157.SH
2024-12-18,1.3121814535335503,002878.SZ
2024-12-19,1.219098477203033,600593.SH
2024-12-20,0.8480675770196239,002512.SZ
2024-12-23,1.1806404660060321,600724.SH
2024-12-24,0.8537658533885591,603610.SH
2024-12-25,0.8752079792242901,002965.SZ
2024-12-26,0.720498836899636,603214.SH
2024-12-27,0.8552518755027023,002945.SZ
2024-12-30,0.7853260336927593,600223.SH
2024-12-31,1.0774196590782728,600183.SH
2025-01-02,1.345874429894366,603225.SH
2025-01-03,1.4595000226870254,603379.SH
2025-01-06,1.8567194520891437,002130.SZ
2025-01-07,1.327995034218316,002881.SZ
2025-01-08,0.7854520495476546,600126.SH
2025-01-09,0.8656051617404842,000756.SZ
2025-01-10,1.1141535494224937,605016.SH
2025-01-13,2.0375745364278695,605080.SH
2025-01-14,0.6228152667370752,603269.SH
2025-01-15,0.7099046974063614,600673.SH
2025-01-16,0.7230959774435842,600381.SH
2025-01-17,0.8735560458074921,603007.SH
2025-01-20,0.6265446536616674,002164.SZ
2025-01-21,1.4687297319348953,000534.SZ
2025-01-22,0.7347201431708319,000408.SZ
2025-01-23,0.7698608009850573,603121.SH
2025-01-24,0.6733337270251429,603360.SH
2025-01-27,1.3722279750234074,002484.SZ
2025-02-05,1.0995625926629562,603667.SH
2025-02-06,0.9540560778289151,603308.SH
2025-02-07,0.8152925075270021,000856.SZ
2025-02-10,0.4527649047879118,603166.SH
1 trade_date,score,ts_code
2 2024-01-02,0.8906433047229376,002587.SZ
3 2024-01-03,0.800255773815545,000691.SZ
4 2024-01-04,0.918203870395468,002962.SZ
5 2024-01-05,1.1734063865615825,605117.SH
6 2024-01-08,1.2784720379037475,600761.SH
7 2024-01-09,0.5936470874291284,002862.SZ
8 2024-01-10,0.9080905815108482,000698.SZ
9 2024-01-11,0.827458720223193,603097.SH
10 2024-01-12,0.994883205877543,600593.SH
11 2024-01-15,0.6804254263110727,603212.SH
12 2024-01-16,0.7194593431343859,000698.SZ
13 2024-01-17,1.0860069907228742,603172.SH
14 2024-01-18,1.3749235527137786,603828.SH
15 2024-01-19,1.2391308950507334,603579.SH
16 2024-01-22,1.7603168299560354,605268.SH
17 2024-01-23,1.5656552549163458,605117.SH
18 2024-01-24,0.7379915949457881,600138.SH
19 2024-01-25,0.7346719736914655,603099.SH
20 2024-01-26,1.0310897640701377,605111.SH
21 2024-01-29,1.1768938262108766,603398.SH
22 2024-01-30,1.235487562255028,003007.SZ
23 2024-01-31,1.5371910050217372,601138.SH
24 2024-02-01,1.3629464247750829,600551.SH
25 2024-02-02,1.52270944692793,601038.SH
26 2024-02-05,1.847344110860692,000550.SZ
27 2024-02-06,0.8127749986671006,600705.SH
28 2024-02-07,0.7565034143929377,603199.SH
29 2024-02-08,0.7247153170440155,600188.SH
30 2024-02-19,0.41560847492124364,002032.SZ
31 2024-02-20,0.5419618315007714,603369.SH
32 2024-02-21,0.44193316268825533,600023.SH
33 2024-02-22,0.45382033625301066,000526.SZ
34 2024-02-23,0.25689917770287357,000157.SZ
35 2024-02-26,0.4253231714991775,000983.SZ
36 2024-02-27,0.03172161439110529,605151.SH
37 2024-02-28,1.074800376390378,000680.SZ
38 2024-02-29,0.11241663388214615,002467.SZ
39 2024-03-01,0.317478967758629,603605.SH
40 2024-03-04,0.17878811429242739,600860.SH
41 2024-03-05,1.0151694508153393,002009.SZ
42 2024-03-06,0.8229010452846762,002209.SZ
43 2024-03-07,0.8017175629386889,600584.SH
44 2024-03-08,0.6810433978551881,603960.SH
45 2024-03-11,0.9532104338812376,603960.SH
46 2024-03-12,0.7055297835013503,603960.SH
47 2024-03-13,0.5920124881579221,603499.SH
48 2024-03-14,0.661232064922907,603660.SH
49 2024-03-15,0.8778620305552904,601138.SH
50 2024-03-18,0.42042942845890563,002075.SZ
51 2024-03-19,0.7527868193603998,603050.SH
52 2024-03-20,0.5531908723666995,605580.SH
53 2024-03-21,0.7900117288163369,002698.SZ
54 2024-03-22,0.8285381778407641,603190.SH
55 2024-03-25,1.0749381159867608,603286.SH
56 2024-03-26,1.2654734266422276,002331.SZ
57 2024-03-27,1.8684480159293833,001696.SZ
58 2024-03-28,1.6075301389782366,002645.SZ
59 2024-03-29,0.8465441903404123,002055.SZ
60 2024-04-01,0.7568317810951942,002735.SZ
61 2024-04-02,1.0341346018053856,002085.SZ
62 2024-04-03,1.0122022102013215,002130.SZ
63 2024-04-08,0.8881305473937254,002805.SZ
64 2024-04-09,1.0559556356983075,002085.SZ
65 2024-04-10,0.6554344664442165,603822.SH
66 2024-04-11,1.2760784980841757,002544.SZ
67 2024-04-12,1.0181838249663664,605198.SH
68 2024-04-15,1.221720496054648,002290.SZ
69 2024-04-16,2.0663546208214703,002521.SZ
70 2024-04-17,1.1065962300439527,000737.SZ
71 2024-04-18,1.34853784445544,603619.SH
72 2024-04-19,0.6639505828915956,000933.SZ
73 2024-04-22,1.1652613644520093,600529.SH
74 2024-04-23,1.0507483721309534,002078.SZ
75 2024-04-24,0.7225763953314781,000949.SZ
76 2024-04-25,1.9430192587586146,600066.SH
77 2024-04-26,1.0817360300030114,603556.SH
78 2024-04-29,0.21577435079395113,600480.SH
79 2024-04-30,0.5290265764148879,605098.SH
80 2024-05-06,0.7885258258967485,001696.SZ
81 2024-05-07,0.415812996822765,002225.SZ
82 2024-05-08,0.5596574674012184,603232.SH
83 2024-05-09,0.8548632655231382,002590.SZ
84 2024-05-10,0.5787850519196119,001696.SZ
85 2024-05-13,0.9751906596140552,000952.SZ
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import numpy as np
import pandas as pd
def read_and_merge_h5_data(h5_filename, key, columns, df=None):
"""
读取 HDF5 文件中的数据，根据指定的 columns 筛选数据，
如果传入 df 参数，则将其与读取的数据根据 ts_code 和 trade_date 合并。
参数:
- h5_filename: HDF5 文件名
- key: 数据存储在 HDF5 文件中的 key
- columns: 要读取的列名列表
- df: 需要合并的 DataFrame（如果为空，则不进行合并）
返回:
- 合并后的 DataFrame
"""
# 处理 _ 开头的列名
processed_columns = []
for col in columns:
if col.startswith('_'):
processed_columns.append(col[1:]) # 去掉下划线
else:
processed_columns.append(col)
# 从 HDF5 文件读取数据，选择需要的列
data = pd.read_hdf(h5_filename, key=key, columns=processed_columns)
# 修改列名，如果列名以前有 _，加上 _
for col in data.columns:
if col not in columns: # 只有不在 columns 中的列才需要加下划线
new_col = f'_{col}'
data.rename(columns={col: new_col}, inplace=True)
# 如果传入的 df 不为空，则进行合并
if df is not None and not df.empty:
# 确保两个 DataFrame 都有 ts_code 和 trade_date 列
df['trade_date'] = pd.to_datetime(df['trade_date'], format='%Y%m%d')
data['trade_date'] = pd.to_datetime(data['trade_date'], format='%Y%m%d')
# 根据 ts_code 和 trade_date 合并
merged_df = pd.merge(df, data, on=['ts_code', 'trade_date'], how='left')
else:
# 如果 df 为空，则直接返回读取的数据
merged_df = data
return merged_df
def calculate_risk_adjusted_return(df, days=1, method='ratio', lambda_=0.5, eps=1e-8):
"""
计算单只股票的风险调整收益。
参数：
- df: DataFrame，包含 'ts_code' 和 'close' 列，按日期排序（假设 'trade_date' 已排序）。
- days: 预测未来多少天的收益，默认1天。
- method: 'ratio'（收益/波动率） 或 'difference'（收益 - λ * 波动率）。
- lambda_: 风险惩罚系数，仅当 method='difference' 时有效。
- eps: 防止除零的小常数。
返回：
- df：添加 'risk_adj_return' 列的 DataFrame，表示风险调整后的收益。
"""
# 确保数据按 ts_code 和 trade_date 排序
df = df.sort_values(by=['ts_code', 'trade_date'])
# 计算未来的对数收益率
df['future_return'] = np.log(df.groupby('ts_code')['close'].shift(-days) / df['close'])
# 计算历史收益（对数收益率）
df['historical_return'] = np.log(df.groupby('ts_code')['close'].shift(1) / df['close'])
# 计算波动率（历史收益的标准差）
df['volatility'] = df.groupby('ts_code')['historical_return'].rolling(window=days).std().reset_index(level=0,
drop=True)
# 根据选择的 method 计算风险调整收益
if method == 'ratio':
# 收益/波动率（防止除零）
df['risk_adj_return'] = df['future_return'] / (df['volatility'] + eps)
elif method == 'difference':
# 收益 - λ * 波动率
df['risk_adj_return'] = df['future_return'] - lambda_ * df['volatility']
else:
raise ValueError("Invalid method. Use 'ratio' or 'difference'.")
return df