semvec/pypi-packages huggingface dataset:
data-box 0.0.1
clean factor data

Data_Box
========

This project is to clean factor data and to prepare for back test.

Dependencies
------------

-  python 3.5
-  pandas 0.22.0
-  numpy 1.14.3
-  pickle
-  sklearn 0.19.1 (for pca only)

Example
-------

.. code:: bash

   from data_box import data_box

   db=data_box()\
       .set_lag(freq='d',day_lag=0)\
       .load_adjPrice(price)\ # 'price' is a pd.DataFrame with dates(20190101 int type) as its index and tickers as its column
       .load_indestry(ind)\
       .load_suspend(sus)\ 
       .load_indexWeight(index_weight)\
       .calc_indweight()\ # calculate industry weight based on index weight and stocks' industry in this index
       .load_cap(cap)\ 
       .add_factor('f1',factor1)\
       .add_factor('f2',factor2)\
       .add_factor('f3',factor3)\
       .align_data()\
       .factor_pca()\
       .factor_ind_neutral()\
       .factor_size_neutral()\
       .factor_zscore()

   print(db.Factor)
   print(db.Price)
   print(db.Sus)
   print(db.Cap)

   # save and reload
   db.save(path)
   db2=databox().load(path)