Any examples to use Filter?

[bamboowind]

📖 Documentation

https://qlib.readthedocs.io/en/latest/reference/api.html#module-qlib.data.filter
From this part of the document, seems Filter is quite powerful, but no idea how to use it in the workflow. Can you give out some sample in .yml or in code?

[you-n-g]

We merged a PR for this feature several days ago.
#220

@Derek-Wds will supplement more documents about using filter in workflow later.
Thanks

[Derek-Wds]

@bamboowind Here is an example code that you can refer to for now (thanks for @shijie2016 providing the scripts~ #218 ):

filter: &filter
    filter_type: ExpressionDFilter
    rule_expression: "Ref($close, -2) / Ref($close, -1) > 1"
    filter_start_time: 2010-01-01
    filter_end_time: 2010-01-07
    keep: False

data_handler_config: &data_handler_config
    start_time: 2010-01-01
    end_time: 2021-01-22
    fit_start_time: 2010-01-01
    fit_end_time: 2015-12-31
    instruments:
        market: *market
        filter_pipe: [*filter]

Hope it helps!

[you-n-g]

@Derek-Wds Could you send a PR to update the docs.
Thanks

[bamboowind]

@bamboowind Here is an example code that you can refer to for now (thanks for @shijie2016 providing the scripts~ #218 ):

filter: &filter
    filter_type: ExpressionDFilter
    rule_expression: "Ref($close, -2) / Ref($close, -1) > 1"
    filter_start_time: 2010-01-01
    filter_end_time: 2010-01-07
    keep: False

data_handler_config: &data_handler_config
    start_time: 2010-01-01
    end_time: 2021-01-22
    fit_start_time: 2010-01-01
    fit_end_time: 2015-12-31
    instruments:
        market: *market
        filter_pipe: [*filter]

Hope it helps!

Thanks for sharing. What I am most interested in is the "SeriesDFilter", maybe I can use it for combining another strategy who supplies a code list?
Do you have any examples on this?
Thanks!

[you-n-g]

@bamboowind
SeriesDFilter is just a abstract class.
Current classes are subclasses of it.

You can implement your filter based on it.

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