Rolling(ExpressionOps)添加N为ExpressionOps的处理
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enhancement
- Dominant language
- Python
- Stars
- 48.7k
- Forks
- 7.7k
- PR merge metrics
- No merged PRs in 30d
Description
🌟 Feature Description
Rolling(ExpressionOps)中rolling window size中有可能为expression表达式，比如取N日最高值之间的最低点，距离最高值的位置是一个变化的值。
Motivation
- Application scenario
- Related works (Papers, Github repos etc.):
qlib/data/ops.py
Rolling(ExpressionOps)._load_internal
是否可以考虑使用pandas的BaseIndexer对可变窗口的处理。
- Any other relevant and important information:
Alternatives
Additional Notes
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- Read the whole issue, then the project's contributing guide.
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- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start in qlib/data/ops.py at Rolling(ExpressionOps)._load_internal, then read pandas BaseIndexer documentation and the existing rolling-window handling. The work is done when expression-based, variable rolling window sizes such as the described N-day case are supported and their results are validated against the intended behavior.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- pandas, python
- Domain
- data, fintech-quant
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100