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Merge remote-tracking branch 'qlib/main' into qlib_main
# Conflicts: # scripts/data_collector/yahoo/README.md
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@@ -100,12 +100,19 @@ Converting CSV Format into Qlib Format
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``Qlib`` has provided the script ``scripts/dump_bin.py`` to convert **any** data in CSV format into `.bin` files (``Qlib`` format) as long as they are in the correct format.
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Users can download the demo china-stock data in CSV format as follows for reference to the CSV format.
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Besides downloading the prepared demo data, users could download demo data directly from the Collector as follows for reference to the CSV format.
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Here are some example:
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.. code-block:: bash
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for daily data:
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.. code-block:: bash
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python scripts/get_data.py csv_data_cn --target_dir ~/.qlib/csv_data/cn_data
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for 1min data:
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.. code-block:: bash
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python scripts/data_collector/yahoo/collector.py download_data --source_dir ~/.qlib/stock_data/source/cn_1min --region CN --start 2021-05-20 --end 2021-05-23 --delay 0.1 --interval 1min --limit_nums 10
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Users can also provide their own data in CSV format. However, the CSV data **must satisfies** following criterions:
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- CSV file is named after a specific stock *or* the CSV file includes a column of the stock name
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@@ -173,6 +180,16 @@ After conversion, users can find their Qlib format data in the directory `~/.qli
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In the convention of `Qlib` data processing, `open, close, high, low, volume, money and factor` will be set to NaN if the stock is suspended.
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Stock Pool (Market)
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--------------------------------
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``Qlib`` defines `stock pool <https://github.com/microsoft/qlib/blob/main/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml#L4>`_ as stock list and their date ranges. Predefined stock pools (e.g. csi300) may be imported as follows.
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.. code-block:: bash
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python collector.py --index_name CSI300 --qlib_dir <user qlib data dir> --method parse_instruments
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Multiple Stock Modes
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--------------------------------
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@@ -101,7 +101,7 @@ Graphical Result
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- Axis Y:
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- `ic`
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The `Pearson correlation coefficient` series between `label` and `prediction score`.
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In the above example, the `label` is formulated as `Ref($close, -1)/$close - 1`. Please refer to `Data Featrue <data.html#feature>`_ for more details.
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In the above example, the `label` is formulated as `Ref($close, -1)/$close - 1`. Please refer to `Data Feature <data.html#feature>`_ for more details.
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- `rank_ic`
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The `Spearman's rank correlation coefficient` series between `label` and `prediction score`.
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@@ -111,8 +111,6 @@ Usage & Example
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pred_score, strategy=strategy, **BACKTEST_CONFIG
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)
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Also, the above example has been given in ``examples/train_backtest_analyze.ipynb``.
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To know more about the `prediction score` `pred_score` output by ``Forecast Model``, please refer to `Forecast Model: Model Training & Prediction <model.html>`_.
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To know more about ``Intraday Trading``, please refer to `Intraday Trading: Model&Strategy Testing <backtest.html>`_.
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@@ -82,7 +82,7 @@ The Custom models need to inherit `qlib.model.base.Model <../reference/api.html#
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return pd.Series(self.model.predict(x_test.values), index=x_test.index)
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- Override the `finetune` method (Optional)
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- This method is optional to the users, and when users one to use this method on their own models, they should inherit the ``ModelFT`` base class, which includes the interface of `finetune`.
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- This method is optional to the users. When users want to use this method on their own models, they should inherit the ``ModelFT`` base class, which includes the interface of `finetune`.
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- The parameters must include the parameter `dataset`.
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- Code Example: In the following example, users will use `LightGBM` as the model and finetune it.
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.. code-block:: Python
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