mirror of
https://github.com/microsoft/qlib.git
synced 2026-07-04 11:30:57 +08:00
Merge remote-tracking branch 'qlib/main' into qlib_main
# Conflicts: # scripts/data_collector/yahoo/README.md
This commit is contained in:
@@ -100,12 +100,19 @@ Converting CSV Format into Qlib Format
|
||||
|
||||
``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.
|
||||
|
||||
Users can download the demo china-stock data in CSV format as follows for reference to the CSV format.
|
||||
Besides downloading the prepared demo data, users could download demo data directly from the Collector as follows for reference to the CSV format.
|
||||
Here are some example:
|
||||
|
||||
.. code-block:: bash
|
||||
for daily data:
|
||||
.. code-block:: bash
|
||||
|
||||
python scripts/get_data.py csv_data_cn --target_dir ~/.qlib/csv_data/cn_data
|
||||
|
||||
for 1min data:
|
||||
.. code-block:: bash
|
||||
|
||||
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
|
||||
|
||||
Users can also provide their own data in CSV format. However, the CSV data **must satisfies** following criterions:
|
||||
|
||||
- CSV file is named after a specific stock *or* the CSV file includes a column of the stock name
|
||||
@@ -173,6 +180,16 @@ After conversion, users can find their Qlib format data in the directory `~/.qli
|
||||
|
||||
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.
|
||||
|
||||
Stock Pool (Market)
|
||||
--------------------------------
|
||||
|
||||
``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.
|
||||
|
||||
.. code-block:: bash
|
||||
|
||||
python collector.py --index_name CSI300 --qlib_dir <user qlib data dir> --method parse_instruments
|
||||
|
||||
|
||||
Multiple Stock Modes
|
||||
--------------------------------
|
||||
|
||||
|
||||
@@ -101,7 +101,7 @@ Graphical Result
|
||||
- Axis Y:
|
||||
- `ic`
|
||||
The `Pearson correlation coefficient` series between `label` and `prediction score`.
|
||||
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.
|
||||
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.
|
||||
|
||||
- `rank_ic`
|
||||
The `Spearman's rank correlation coefficient` series between `label` and `prediction score`.
|
||||
|
||||
@@ -111,8 +111,6 @@ Usage & Example
|
||||
pred_score, strategy=strategy, **BACKTEST_CONFIG
|
||||
)
|
||||
|
||||
Also, the above example has been given in ``examples/train_backtest_analyze.ipynb``.
|
||||
|
||||
To know more about the `prediction score` `pred_score` output by ``Forecast Model``, please refer to `Forecast Model: Model Training & Prediction <model.html>`_.
|
||||
|
||||
To know more about ``Intraday Trading``, please refer to `Intraday Trading: Model&Strategy Testing <backtest.html>`_.
|
||||
|
||||
Reference in New Issue
Block a user