fix bug in clip_outlier in class RobustZScoreNorm(Processor)#1294
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you-n-g merged 1 commit intomicrosoft:mainfrom Nov 11, 2022
Merged
fix bug in clip_outlier in class RobustZScoreNorm(Processor)#1294you-n-g merged 1 commit intomicrosoft:mainfrom
you-n-g merged 1 commit intomicrosoft:mainfrom
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@you-n-g Will you review this patch? |
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@you-n-g I edit this pr to make it clear, please let me know if any question. |
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Thanks! |
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bug
it's clear, since just few lines of change.
Description
current behaver: clip_outlier in RobustZScoreNorm clip all the values in dataframe
should be: clip_outlier should just clip the group speicified by arg fields_group
e.g.
If the input dataframe contain a label lager than 3, RobustZScoreNorm will clip it to 3. (close price for example)
this pic shows right results, after fixing with this patch:
this pic shows wrong results, which is current results:
Motivation and Context
How Has This Been Tested?
pytest qlib/tests/test_all_pipeline.pyunder upper directory ofqlib.Screenshots of Test Results (if appropriate):
Types of changes