diff --git a/src/experiment/regression.py b/src/experiment/regression.py index f004ff0..92620cc 100644 --- a/src/experiment/regression.py +++ b/src/experiment/regression.py @@ -1,7 +1,7 @@ """LightGBM 回归训练示例 - 使用因子字符串表达式 使用字符串表达式定义因子,训练 LightGBM 回归模型预测未来5日收益率。 -Label: return_5 = (close / ts_delay(close, 5)) - 1 +Label: return_5 = (ts_delay(close, -5) / close) - 1 # 未来5日收益率 """ import os @@ -19,7 +19,8 @@ from src.training import ( StockFilterConfig, StockPoolManager, Trainer, - Winsorizer, NullFiller, + Winsorizer, + NullFiller, ) from src.training.config import TrainingConfig @@ -56,7 +57,7 @@ FACTOR_DEFINITIONS = { # Label 因子定义(不参与训练,用于计算目标) LABEL_FACTOR = { - "return_5": "(close / ts_delay(close, 5)) - 1", + "return_5": "(ts_delay(close, -5) / close) - 1", # 未来5日收益率 } # =============================================================================