对特征进行滚动生成,主要用于CNN、RNN等模型。
输入参数
窗口大小:滚动窗口大小,1为不滚动,只使用当前特征。默认值1。
特征裁剪值:对特征值进行裁剪。例如填5表示特征值小于-5用-5代替,大于5用5代替。默认值5。
是否特征展开:如果为True则特征为1维,每行特征数是(window_size*feature_size),False则特征为2维,大小为(window_wize,feature_size)。
分组滚动窗口:对特征进行滚动时对什么字段进行分组,一般是instrument。默认值instrument。
示例
window_size=3, feature_clip=5, flatten=False, window_along_col=‘instrument’
{'x': array([[[0. , 0. , 0. ],
[0. , 0. , 0. ],
[1.0089687 , 0.9926471 , 1.0164424 ]],
[[0. , 0. , 0. ],
[1.0089687 , 0.9926471 , 1.0164424 ],
[1.0133852 , 1.0157349 , 0.99768656]],
[[1.0089687 , 0.9926471 , 1.0164424 ],
[1.0133852 , 1.0157349 , 0.99768656],
[1.0119878 , 1.0090053 , 1.0029559 ]],
[[1.0133852 , 1.0157349 , 0.99768656],
[1.0119878 , 1.0090053 , 1.0029559 ],
[0.99001795, 0.9813463 , 1.0088365 ]],
[[1.0119878 , 1.0090053 , 1.0029559 ],
[0.99001795, 0.9813463 , 1.0088365 ],
[0.9653036 , 0.9613328 , 1.0041305 ]],
[[0.99001795, 0.9813463 , 1.0088365 ],
[0.9653036 , 0.9613328 , 1.0041305 ],
[0.96774197, 0.99443257, 0.97315997]],
[[0.9653036 , 0.9613328 , 1.0041305 ],
[0.96774197, 0.99443257, 0.97315997],
[0.979781 , 1.0017226 , 0.97809607]],
[[0.96774197, 0.99443257, 0.97315997],
[0.979781 , 1.0017226 , 0.97809607],
[0.9859155 , 1.0034753 , 0.98250103]],
[[0.979781 , 1.0017226 , 0.97809607],
[0.9859155 , 1.0034753 , 0.98250103],
[0.97967124, 0.9792477 , 1.0004325 ]],
[[0.9859155 , 1.0034753 , 0.98250103],
[0.97967124, 0.9792477 , 1.0004325 ],
[0.9686161 , 0.9805309 , 0.98784864]],
[[0.97967124, 0.9792477 , 1.0004325 ],
[0.9686161 , 0.9805309 , 0.98784864],
[1.0062205 , 1.0263628 , 0.98037505]],
[[0.9686161 , 0.9805309 , 0.98784864],
[1.0062205 , 1.0263628 , 0.98037505],
[1.0147343 , 1.0126914 , 1.0020173 ]],
[[1.0062205 , 1.0263628 , 0.98037505],
[1.0147343 , 1.0126914 , 1.0020173 ],
[1.0122807 , 1.002171 , 1.0100877 ]],
[[1.0147343 , 1.0126914 , 1.0020173 ],
[1.0122807 , 1.002171 , 1.0100877 ],
[1.0182198 , 1.0121317 , 1.0060152 ]],
[[1.0122807 , 1.002171 , 1.0100877 ],
[1.0182198 , 1.0121317 , 1.0060152 ],
[0.98760074, 0.9751712 , 1.012746 ]],
[[1.0182198 , 1.0121317 , 1.0060152 ],
[0.98760074, 0.9751712 , 1.012746 ],
[0.9738448 , 0.9893711 , 0.98430693]],
[[0.98760074, 0.9751712 , 1.012746 ],
[0.9738448 , 0.9893711 , 0.98430693],
[0.9905413 , 1.0116279 , 0.9791558 ]],
[[0.9738448 , 0.9893711 , 0.98430693],
[0.9905413 , 1.0116279 , 0.9791558 ],
[1.0148731 , 1.0170978 , 0.99781275]]], dtype=float32)}