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2021-10-16 17:09:28 +00:00
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17
CHANGES.rst
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@@ -159,6 +159,21 @@ Version 0.5.0
- Add baselines
- public data crawler
Version greater than Version 0.5.0
Version 0.8.0
--------------------
- The backtest is greatly refactored.
- Nested decision execution framework is supported
- There are lots of changes for daily trading, it is hard to list all of them. But a few important changes could be noticed
- The trading limitation is more accurate;
- In `previous version <https://github.com/microsoft/qlib/blob/v0.7.2/qlib/contrib/backtest/exchange.py#L160>`_, longing and shorting actions share the same action.
- In `current verison <https://github.com/microsoft/qlib/blob/7c31012b507a3823117bddcc693fc64899460b2a/qlib/backtest/exchange.py#L304>`_, the trading limitation is different between loging and shorting action.
- The constant is different when calculating annualized metrics.
- `Current version <https://github.com/microsoft/qlib/blob/7c31012b507a3823117bddcc693fc64899460b2a/qlib/contrib/evaluate.py#L42>`_ uses more accurate constant than `previous version <https://github.com/microsoft/qlib/blob/v0.7.2/qlib/contrib/evaluate.py#L22>`_
- `A new version <https://github.com/microsoft/qlib/blob/7c31012b507a3823117bddcc693fc64899460b2a/qlib/tests/data.py#L17>`_ of data is released. Due to the unstability of Yahoo data source, the data may be different after downloading data again.
- Users could chec kout the backtesting results between `Current version <https://github.com/microsoft/qlib/tree/7c31012b507a3823117bddcc693fc64899460b2a/examples/benchmarks>`_ and `previous version <https://github.com/microsoft/qlib/tree/v0.7.2/examples/benchmarks>`_
Other Versions
----------------------------------
Please refer to `Github release Notes <https://github.com/microsoft/qlib/releases>`_

4
examples/benchmarks/README.md
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@@ -8,6 +8,10 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
>
> In the new version of qlib, the default dataset is **v2**. Since the data is collected from the YahooFinance API (which is not very stable), the results of *v2* and *v1* may differ -->
> NOTE:
> The backtest start from 0.8.0 is quite different from previous version. Please check out the changelog for the difference.
## Alpha158 dataset
| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |