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Fix ops bug & add raise comments of Skew Kurt #70

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Merged
merged 1 commit into from
Nov 24, 2020
Merged

Fix ops bug & add raise comments of Skew Kurt #70

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11 changes: 7 additions & 4 deletions qlib/data/ops.py
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Original file line number Diff line number Diff line change
Expand Up @@ -16,9 +16,8 @@
from ._libs.rolling import rolling_slope, rolling_rsquare, rolling_resi
from ._libs.expanding import expanding_slope, expanding_rsquare, expanding_resi
except ImportError as err:
print(err)
print("Do not import qlib package in the repository directory")
sys.exit(-1)
print("Do not import qlib package in the repository directory!")
raise

__all__ = (
"Ref",
Expand Down Expand Up @@ -854,6 +853,8 @@ class Skew(Rolling):
"""

def __init__(self, feature, N):
if N != 0 and N < 3:
raise ValueError("The rolling window size of Skewness operation should >= 3")
super(Skew, self).__init__(feature, N, "skew")


Expand All @@ -874,6 +875,8 @@ class Kurt(Rolling):
"""

def __init__(self, feature, N):
if N != 0 and N < 4:
raise ValueError("The rolling window size of Kurtosis operation should >= 5")
super(Kurt, self).__init__(feature, N, "kurt")


Expand Down Expand Up @@ -1257,7 +1260,7 @@ def _load_internal(self, instrument, start_index, end_index, freq):

def weighted_mean(x):
w = np.arange(len(x))
w /= w.sum()
w = w / w.sum()
return np.nanmean(w * x)

if self.N == 0:
Expand Down