factor_template.py
from zs_quant import Factor
class MyFactor(Factor):
"""自定义因子模板"""
name = "MyAlpha_001"
category = "custom"
frequency = "daily"
def compute(self, data):
# 在此编写因子逻辑
close = data["close"]
volume = data["volume"]
factor = close.pct_change(20)
factor = factor.rank(pct=True)
return factor
def post_process(self, factor):
# 去极值 & 标准化
factor = self.winsorize(factor, 3)
factor = self.standardize(factor)
return factor