Update ic.py

wukan1986 · Feb 29, 2024 · 095418a · 095418a
1 parent 73499e5
commit 095418a
Showing 1 changed file with 8 additions and 0 deletions.
diff --git a/alphainspect/ic.py b/alphainspect/ic.py
@@ -1,3 +1,4 @@
+import itertools
 from typing import Sequence, Literal
 
 import numpy as np
@@ -40,6 +41,13 @@ def calc_ic(df_pl: pl.DataFrame, factor: str, forward_returns: Sequence[str]) ->
     ).sort(_DATE_)
 
 
+def calc_ic2(df_pl: pl.DataFrame, factors: Sequence[str], forward_returns: Sequence[str]) -> pl.DataFrame:
+    """多因子多收益的IC矩阵。方便部分用户统计大量因子信息"""
+    return df_pl.group_by(_DATE_).agg(
+        [rank_ic(x, y).alias(f'{x}__{y}') for x, y in itertools.product(factors, forward_returns)]
+    ).sort(_DATE_)
+
+
 def mutual_info_func(xx):
     yx = np.vstack(xx).T
     # 跳过nan