skdbj/llm-quant
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

extend factor window calculation for extended factors support

Browse Source
This commit is contained in:
sam 2025-10-08 21:22:25 +08:00
parent 85e7483286
commit 974fc90fc3
1 changed files with 8 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

9
app/features/factors.py
View File

@ -577,11 +577,18 @@ def _compute_security_factors(
包括基础因子、扩展因子和情绪因子的计算。 包括基础因子、扩展因子和情绪因子的计算。
""" """
# 确定所需的最大窗口大小 # 确定所需的最大窗口大小
close_windows = [spec.window for spec in specs if _factor_prefix(spec.name) in {"mom", "volat"}] # 包含所有因子（基础因子和扩展因子）的窗口需求
close_windows = [spec.window for spec in specs]
turnover_windows = [spec.window for spec in specs if _factor_prefix(spec.name) == "turn"] turnover_windows = [spec.window for spec in specs if _factor_prefix(spec.name) == "turn"]
max_close_window = max(close_windows) if close_windows else 0 max_close_window = max(close_windows) if close_windows else 0
max_turn_window = max(turnover_windows) if turnover_windows else 0 max_turn_window = max(turnover_windows) if turnover_windows else 0
# 确保窗口大小至少满足扩展因子的需求
from app.features.extended_factors import EXTENDED_FACTORS
extended_windows = [spec.window for spec in EXTENDED_FACTORS]
max_extended_window = max(extended_windows) if extended_windows else 0
max_close_window = max(max_close_window, max_extended_window)
# 获取所需的时间序列数据 # 获取所需的时间序列数据
close_series = _fetch_series_values( close_series = _fetch_series_values(
broker, broker,