claude_dev
f93621e3fc
- 实现因子表达式注册表（registry.py） - 实现 Alpha158 子集内置因子库（library.py） - 使用 vnpy.alpha ts_ 算子语法（ts_mean, ts_delta, ts_max, ts_min） - 修正列名：close/open/high/low/volume（非 _price 后缀） - TDD 实现：8 测试全部通过 - 支持因子分类过滤（custom/builtin） - 防止重复注册 Co-Authored-By: Claude <noreply@anthropic.com>
59 lines
1.5 KiB
Python
59 lines
1.5 KiB
Python
"""内置因子表达式库（Alpha158/101 子集，使用 vnpy.alpha ts_ 算子）."""
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from .registry import register_factor
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# 内置因子列表（使用 ts_ 算子 + 列名 close/open/high/low/volume）
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# 修正：使用 vnpy.alpha 表达式语法（ts_mean 等），而非 polars 语法
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BUILTIN_FACTORS = [
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{
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"name": "ma5",
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"expression": "ts_mean(close, 5)",
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"category": "builtin"
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},
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{
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"name": "ma10",
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"expression": "ts_mean(close, 10)",
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"category": "builtin"
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},
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{
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"name": "ma20",
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"expression": "ts_mean(close, 20)",
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"category": "builtin"
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},
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{
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"name": "vol_ma5",
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"expression": "ts_mean(volume, 5)",
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"category": "builtin"
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},
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{
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"name": "return_1d",
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"expression": "ts_delta(close, 1)",
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"category": "builtin"
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},
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{
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"name": "return_5d",
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"expression": "ts_delta(close, 5)",
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"category": "builtin"
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},
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{
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"name": "high_low_5",
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"expression": "(ts_max(high, 5) - ts_min(low, 5)) / close",
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"category": "builtin"
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},
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]
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def _register_all() -> None:
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"""注册所有内置因子到注册表."""
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from .registry import _REGISTRY
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for factor in BUILTIN_FACTORS:
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if factor["name"] not in _REGISTRY:
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register_factor(
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factor["name"],
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factor["expression"],
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factor["category"]
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)
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# 模块导入时自动注册内置因子
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_register_all()
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