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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:
zhupr
2021-06-24 00:09:54 +08:00
37 changed files with 1075 additions and 148 deletions

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@@ -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
--------------------------------

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@@ -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`.

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@@ -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>`_.