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41 lines
965 B
Python
41 lines
965 B
Python
"""动量类因子。"""
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from __future__ import annotations
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import pandas as pd
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from easy_tdx.factor.base import Factor, register_factor
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@register_factor
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class Momentum20D(Factor):
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name = "momentum_20d"
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category = "momentum"
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description = "20 日动量（20 日收益率）"
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inputs = ("close",)
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def compute(self, df: pd.DataFrame) -> pd.Series:
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return df["close"].pct_change(20)
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@register_factor
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class Momentum60D(Factor):
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name = "momentum_60d"
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category = "momentum"
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description = "60 日动量（60 日收益率）"
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inputs = ("close",)
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def compute(self, df: pd.DataFrame) -> pd.Series:
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return df["close"].pct_change(60)
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@register_factor
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class Reversal5D(Factor):
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name = "reversal_5d"
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category = "momentum"
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description = "5 日反转因子（负 5 日收益率）"
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inputs = ("close",)
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def compute(self, df: pd.DataFrame) -> pd.Series:
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return -df["close"].pct_change(5)
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