59 lines
1.9 KiB
Python
59 lines
1.9 KiB
Python
import warnings
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import numpy as np
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import pandas as pd
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import json
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# 抑制numpy的警告（由于数据中包含NaN值，这是正常的）
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warnings.filterwarnings("ignore", category=RuntimeWarning, module="numpy")
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np.seterr(all="ignore") # 忽略numpy的浮点错误警告
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from data import load_data
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from factor_mining.gp_miner import GPMiner, GPConfig
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if __name__ == "__main__":
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df = load_data("/Users/aszer/Documents/vscode/factorhack/ETH_USDT-1h.feather")
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# 以4小时为周期重采样K线数据（假定有datetime索引，常见ohlcv列）
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df = (
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df.resample("4h")
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.agg(
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{
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"open": "first",
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"high": "max",
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"low": "min",
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"close": "last",
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"volume": "sum",
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}
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)
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.dropna()
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)
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df = df[df.index < '2023-01-01']
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print("数据加载成功，前5行：")
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print(df.head())
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print(f"\n数据形状: {df.shape}")
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print(f"数据列: {df.columns.tolist()}")
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gp_config = GPConfig(
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ret_horizon=48,
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ic_window=120,
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ic_method="spearman",
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seed=None,
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population_size=200,
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generations=30,
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tournament_size=5,
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crossover_prob=0.9,
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mutation_prob=0.05,
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elitism=5,
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max_depth_init=1,
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max_depth=30,
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complexity_penalty=0.001,
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)
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miner = GPMiner(config=gp_config)
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res = miner.mine(df, ["open", "high", "low", "close", "volume"])
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with open("gp_miner_result.txt", "w") as out_file:
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for formula, ic_tuple in res:
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# ic_tuple 是元组，取第一个元素作为IC值
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ic = ic_tuple[0] if isinstance(ic_tuple, tuple) else ic_tuple
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print(f"{formula.expression}, IC: {ic:.4f}")
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# 将因子公式转换为字典并写入文件
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out_file.write(json.dumps(formula.to_dict(), ensure_ascii=False))
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out_file.write("\n")
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