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stock_data_handle.py存在未来函数 #21

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sysy007uuu opened this issue Dec 5, 2024 · 2 comments
Open

stock_data_handle.py存在未来函数 #21

sysy007uuu opened this issue Dec 5, 2024 · 2 comments

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@sysy007uuu
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对整个数据集做标准化存在轻度的未来函数,加入新的数据会导致特征标准化的值发生变化
@weituo2002
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这直接就是造成了数据泄漏吧，标准化用到了均值和标准差，直接就偷看了后面的所有数据了

@Nitasurin
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Nitasurin commented Dec 12, 2024 •
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数据处理方法在别的issue有人介绍过是当前值除以OCHL中的最大值，我记得我之前有验证过确实是这样。这种处理方法对未来泄漏的信息严重程度反而与历史数据相关，有违常理：只要模型越确信某个标的接近1的价格不在过去，那必然在未来。极端点，按这种数据处理方法，只要检查标的历史数据，做多价格越低的标的，做空价格越高的标的就行
具体程度应该检查代码，但光凭这一点，我就觉得这玩意没有任何价值

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3 participants
@weituo2002 @sysy007uuu @Nitasurin