polars-ta 0.5.5__py3-none-any.whl → 0.5.6__py3-none-any.whl

polars_ta/_version.py

@@ -1 +1 @@
-__version__ = "0.5.5"
+__version__ = "0.5.6"

polars_ta/prefix/vec.py

@@ -7,6 +7,7 @@ from polars_ta.wq.vector import vec_ir as cs_vec_ir  # noqa
 from polars_ta.wq.vector import vec_kurtosis as cs_vec_kurtosis  # noqa
 from polars_ta.wq.vector import vec_l2_norm as cs_vec_l2_norm  # noqa
 from polars_ta.wq.vector import vec_max as cs_vec_max  # noqa
+from polars_ta.wq.vector import vec_median as cs_vec_median  # noqa
 from polars_ta.wq.vector import vec_min as cs_vec_min  # noqa
 from polars_ta.wq.vector import vec_norm as cs_vec_norm  # noqa
 from polars_ta.wq.vector import vec_percentage as cs_vec_percentage  # noqa

polars_ta/wq/cross_sectional.py

@@ -252,7 +252,6 @@ def cs_rank(x: Expr, pct: bool = True) -> Expr:
 
     Examples
     --------
-
     ```python
     df = pl.DataFrame({
         'a': [None, 1, 1, 1, 2, 2, 3, 10],
@@ -290,6 +289,37 @@ def cs_rank(x: Expr, pct: bool = True) -> Expr:
         return x.rank(method='dense')
 
 
+def cs_rank_if(condition: Expr, x: Expr, pct: bool = True) -> Expr:
+    """动态票池过滤排名
+
+    Parameters
+    ----------
+    condition:Expr
+        条件
+    x:Expr
+        因子
+    pct:bool
+
+    Examples
+    --------
+    ```python
+    df = pl.DataFrame({
+        'a': [None, 1, 1, 1, 2, 2, 3, 10],
+        'b': [1, 2, 3, 4, 5, 6, 7, 8],
+    }).with_columns(
+        out1=cs_rank_if(True, pl.col('a'), True), # 与cs_rank等价
+        out2=cs_rank_if(pl.col('b') > 3, -pl.col('a'), False),
+    )
+    ```
+
+    Notes
+    -----
+    已经产生了新的None，尽量避免之后再进行ts_时序计算
+
+    """
+    return cs_rank(when(condition).then(x).otherwise(None), pct)
+
+
 def _cs_qcut_rank(x: Expr, q: int = 10) -> Expr:
     """横截面上等频分箱
 

polars_ta/wq/preprocess.py

@@ -1,5 +1,6 @@
 """
-补空值 → 去极值 → 标准化 → 中性化 → 标准化（可选二次标准化）
+1. 补空值 → 去极值 → 标准化 → 中性化 → 标准化（可选二次标准化）
+2. 补空值 → 去极值 → 中性化 → 标准化
 
 # 对数市值。去极值
 MC_LOG = cs_quantile(log1p(market_cap), 0.01, 0.99)
@@ -95,16 +96,26 @@ def cs_zscore_resid(y: Expr, *more_x: Expr) -> Expr:
     return cs_resid(cs_zscore(y), *more_x)
 
 
+def cs_resid_zscore(y: Expr, *more_x: Expr) -> Expr:
+    """横截面中性化、标准化"""
+    return cs_resid(cs_zscore(y), *more_x)
+
+
 def cs_mad_zscore(y: Expr) -> Expr:
-    """横截面去极值、标准化"""
+    """横截面MAD去极值、标准化"""
     return cs_zscore(cs_mad(y))
 
 
 def cs_mad_zscore_resid(y: Expr, *more_x: Expr) -> Expr:
-    """横截面去极值、标准化、中性化"""
+    """横截面MAD去极值、标准化、中性化"""
     return cs_resid(cs_zscore(cs_mad(y)), *more_x)
 
 
 def cs_mad_zscore_resid_zscore(y: Expr, *more_x: Expr) -> Expr:
-    """横截面去极值、标准化、中性化、二次标准化"""
+    """横截面去MAD极值、标准化、中性化、二次标准化"""
     return cs_zscore(cs_resid(cs_zscore(cs_mad(y)), *more_x))
+
+
+def cs_quantile_zscore(y: Expr, low_limit: float = 0.025, up_limit: float = 0.975) -> Expr:
+    """横截面分位数去极值、标准化"""
+    return cs_zscore(cs_quantile(y, low_limit, up_limit))

polars_ta/wq/transformational.py

@@ -215,6 +215,11 @@ def sigmoid(x: Expr) -> Expr:
     return 1 / (1 + (-x).exp())
 
 
+def logit(x: Expr) -> Expr:
+    """对数几率，拉伸中间部分"""
+    return (x / (1 + x)).log()
+
+
 def tail(x: Expr, lower: float = 0, upper: float = 0, newval: float = 0) -> Expr:
     """If (x > lower AND x < upper) return newval, else return x. Lower, upper, newval should be constants.
 

polars_ta/wq/vector.py

@@ -80,3 +80,6 @@ def vec_stddev(x: Expr) -> Expr:
 def vec_sum(x: Expr) -> Expr:
     """Sum of vector field x"""
     return x.sum()
+
+def vec_median(x: Expr) -> Expr:
+    return x.median()

{polars_ta-0.5.5.dist-info → polars_ta-0.5.6.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: polars_ta
-Version: 0.5.5
+Version: 0.5.6
 Summary: polars expressions
 Author-email: wukan <wu-kan@163.com>
 License: MIT License

{polars_ta-0.5.5.dist-info → polars_ta-0.5.6.dist-info}/RECORD

@@ -1,5 +1,5 @@
 polars_ta/__init__.py,sha256=ig6f6c1AMSpntwKjqaX3msBzVIwkI7J776IujEmiuvA,123
-polars_ta/_version.py,sha256=78mfpLewKVki6c9UONSUdlVme_JsN9ZwIfp4Hf4jmG0,22
+polars_ta/_version.py,sha256=CMH34Gt1AqO7z_TqRj94XwohGoVCf8aes0djkqm45mk,22
 polars_ta/noise.py,sha256=LJHubBqnWlU3Bz84z07N1JB-b-hAMW2rgBF1BT4m0FE,1471
 polars_ta/candles/__init__.py,sha256=AW68IuFC0gD4_OyjwLP3p22WSzSIYqlSrsS9fW_15xw,141
 polars_ta/candles/cdl1.py,sha256=RnRu1QzpqEt5y0-1hlfZRUvza1no-Gj4x_dx2QWxr5A,3130
@@ -18,7 +18,7 @@ polars_ta/prefix/reports.py,sha256=B2QgdfX6RbZu9ytgaINv3Aq-ZAh_m3cr2pgbpFyL35A,4
 polars_ta/prefix/ta.py,sha256=qIb3oRmexNZ6LTQ35V194QTLqj8UgzjaYl5ASwqN5pc,4167
 polars_ta/prefix/talib.py,sha256=6JsrkgDIUsR2bIA7jVywxgWwxiiFuzsCPvbDeAt4qBA,9392
 polars_ta/prefix/tdx.py,sha256=EttaExzqoA3Y3lD-YKA32-5GfJ6jgKjt-nRuoeuK0wQ,11429
-polars_ta/prefix/vec.py,sha256=jQ0w3ECn60j5Uefxe_-4bD1d_iQIvwOfXoXpcP1Bp4E,1055
+polars_ta/prefix/vec.py,sha256=vsRbRryBdtrAPZ1CRcatzcx_-JNieF9CAacw6yXZbvI,1123
 polars_ta/prefix/wq.py,sha256=PpSLQQ3vD0Mf3Tiz_AFSi--q8p7CkLg9CHh_ayMfoYo,35
 polars_ta/reports/__init__.py,sha256=KEATtWxhdaO6XScHYN2XE4WkYbYpQvDOEyXgyc2z22g,45
 polars_ta/reports/cicc.py,sha256=ZpNzHo5h855Xo9IeKeOzlUjjwE5tR8opb11UoJVxGkg,707
@@ -64,13 +64,13 @@ polars_ta/wq/__init__.py,sha256=C3YYJc997XCUI7H_afGT_mj2m4UdHMcql4sboCVvrXU,327
 polars_ta/wq/_nb.py,sha256=9N7afRiABqdjO1QPnRlP1RIKJ98cQLpv6nF3dsqUA6k,11281
 polars_ta/wq/_slow.py,sha256=MfWg9FYX8NGNLWN4ezI_awf3pPTqhSq_zo0LOS4nCzw,937
 polars_ta/wq/arithmetic.py,sha256=NwyX-K8j9ul7XHHSNuGimBq6f3NvcOGQ4le5PQuaRPc,26346
-polars_ta/wq/cross_sectional.py,sha256=4HFs9QDx4Vfmxr3XfjmUwGZNc07D5Z2buKZmwD4x1rs,14768
+polars_ta/wq/cross_sectional.py,sha256=wAVG8jUpF8wZlJPm1LExmwLHdgmx2u1OOCECumYjy10,15457
 polars_ta/wq/logical.py,sha256=PfcPrY3iYoYFDTJ-B1IlCfpab1uTWV7GN1TdRtjauEk,2241
-polars_ta/wq/preprocess.py,sha256=Wb-n5HccciexrfMmL8-WJvMkMeDXMGYAf0mrurXE3kI,3297
+polars_ta/wq/preprocess.py,sha256=sGvCKMpGMWKXwd2OC7mM65G4Ecd-dIGH9jkyQraIZhE,3705
 polars_ta/wq/time_series.py,sha256=nywBEfkVrTsUgyUL7NCSMUSBoLm09e0ToCp9zwrxbvM,33155
-polars_ta/wq/transformational.py,sha256=HBnxQiS2Pw0fHnRW-aLqbznQVl1SSbZ9OqZG62igiJk,7266
-polars_ta/wq/vector.py,sha256=Qs-mHC2YsiWXoyMuXZZPzd5W5w_HL1ZgDCj9wRAnqmQ,1902
-polars_ta-0.5.5.dist-info/METADATA,sha256=XXh2IiEyvAH7YE4owO0HxmhM6Vczw1mSSftiCk7HXig,8839
-polars_ta-0.5.5.dist-info/WHEEL,sha256=qtCwoSJWgHk21S1Kb4ihdzI2rlJ1ZKaIurTj_ngOhyQ,87
-polars_ta-0.5.5.dist-info/licenses/LICENSE,sha256=nREFtfwxWCCYD-ZA1jMzhhxMyTz-wGWFlnkpgg0DCtQ,1062
-polars_ta-0.5.5.dist-info/RECORD,,
+polars_ta/wq/transformational.py,sha256=ewZPwzeg5ak6fxCDI_PY5mDJrNryOIoCX4x7LTyPXNU,7371
+polars_ta/wq/vector.py,sha256=Hkg5q3zi1QOylccB43FvnR_AcCjG4JxhmeKW5RdMn3Q,1957
+polars_ta-0.5.6.dist-info/METADATA,sha256=9Xm_okfFEEFZM1MOq_0h8txvRq-06ZnX4Z-V_UDXcCM,8839
+polars_ta-0.5.6.dist-info/WHEEL,sha256=qtCwoSJWgHk21S1Kb4ihdzI2rlJ1ZKaIurTj_ngOhyQ,87
+polars_ta-0.5.6.dist-info/licenses/LICENSE,sha256=nREFtfwxWCCYD-ZA1jMzhhxMyTz-wGWFlnkpgg0DCtQ,1062
+polars_ta-0.5.6.dist-info/RECORD,,