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Merge remote-tracking branch 'microsoft/main' into online_srv

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lzh222333
2021-06-01 08:29:02 +00:00
parent ab6b88ce14 4ff0c4fb0f
commit 231bdf8608
43 changed files with 1685 additions and 889 deletions
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64
examples/model_rolling/task_manager_rolling.py
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@@ -17,64 +17,8 @@ from qlib.workflow.task.gen import RollingGen, task_generator
from qlib.workflow.task.manage import TaskManager, run_task
from qlib.workflow.task.collect import RecorderCollector
from qlib.model.ens.group import RollingGroup
from qlib.model.trainer import TrainerRM, task_train
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": "csi100",
}
dataset_config = {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": data_handler_config,
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
},
},
}
record_config = [
{
"class": "SignalRecord",
"module_path": "qlib.workflow.record_temp",
},
{
"class": "SigAnaRecord",
"module_path": "qlib.workflow.record_temp",
},
]
# use lgb
task_lgb_config = {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
},
"dataset": dataset_config,
"record": record_config,
}
# use xgboost
task_xgboost_config = {
"model": {
"class": "XGBModel",
"module_path": "qlib.contrib.model.xgboost",
},
"dataset": dataset_config,
"record": record_config,
}
from qlib.model.trainer import TrainerRM
from qlib.tests.config import CSI100_RECORD_LGB_TASK_CONFIG, CSI100_RECORD_XGBOOST_TASK_CONFIG
class RollingTaskExample:
@@ -86,11 +30,13 @@ class RollingTaskExample:
task_db_name="rolling_db",
experiment_name="rolling_exp",
task_pool="rolling_task",
task_config=[task_xgboost_config, task_lgb_config],
task_config=None,
rolling_step=550,
rolling_type=RollingGen.ROLL_SD,
):
# TaskManager config
if task_config is None:
task_config = [CSI100_RECORD_XGBOOST_TASK_CONFIG, CSI100_RECORD_LGB_TASK_CONFIG]
mongo_conf = {
"task_url": task_url,
"task_db_name": task_db_name,