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Merge nested main (#597)
* MVP for Indian Stocks in qlib using yahooquery * cleaned with black * cleaned with black * add YahooNormalizeIN and YahooNormalizeIN1d * cleaned the code * added 1min for IN and also updated readme * update comments * fix comments * recorder support upload both raw file and directory * fix comments * Update README.md * Fix docs of QlibRecorder * sort index after loader (#538) make sure the fetch method is based on a index-sorted pd.DataFrame * refactor online serving rolling api * refactor TRA * format by black * fix horizon * fix TRA when use single head * clean up * improve pretrain * update README * fix tra when logdir is None * fix tra when logdir is None * Update strategy.py * Update README.md * Update README.md * Conda Suggestion * code standard docs * Update ensemble.py (#560) * Fix CI Bug (#575) Co-authored-by: yuxwang <anduinnn@foxmail.com> * Update gen.py (#576) * Fix multi-process loop calls (#574) * check lexsort in the 'lazy_sort_index' function (#566) * check lexsort * check lexsort * lexsort comment * lexsort comment * Delete .DS_Store * Update README.md * bug fix & use oracle transport pretrain * mend * Add `backend_freq_config` parameter, support multi-freq uri * Add sample_config to QlibDataLoader, support multi-freq * add multi-freq example * get_cls_kwargs renamed get_callable_kwargs * support multi-freq uri * Add inst_processors to D.features * Fix typo * Fix the index type of the multi-freq example * Fix duplicate mlflow directories in tests * Add DataPathManager to QlibConfig && modify inst_processors to supports list only * Modify the default value in the multi_freq example * Modify client-server mode and dataset-cache to disable inst_processor * Add wheel package to github CI * fix comment * Update FAQ.rst * Update README.md Fix wrong link * Update the docs of TaskManager (#586) * Update manage.py * update yaml * update run_all_model * Modify the Feature to be case sensitive (#589) * update README * remove verbose * fix spell bug * fix typos (#592) * Update Release Note * fix portfolio bug * Add calendar support for resample * add freq kwargs * test.yml: Remove redundant code (#595) * Supporting shared processor (#596) * Supporting shared processor * fix readonly reverse bug * remove pytests dependency * with fit bug * fix parameter error * fix comments * Fix undefined names in Python code (#599) * Update pytorch_tabnet.py $ `flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics` ``` ./qlib/qlib/contrib/model/pytorch_tabnet.py:567:38: F821 undefined name 'inp' self.independ.append(GLU(inp, out_dim, vbs=vbs)) ^ ./qlib/examples/model_rolling/task_manager_rolling.py:75:18: F821 undefined name 'task_train' run_task(task_train, self.task_pool, experiment_name=self.experiment_name) ^ 2 F821 undefined name 'task_train' 2 ``` * Fix undefined names in Python code * from qlib.model.trainer import task_train * update seed * fix some docstring * add comments * Fix SimpleDatasetCache * Update setup.py updated classifiers * Update setup.py change to matplotlib==3.3 * Update python-publish.yml added python 3.9 * updategrade version number * Update model list * fix the type of filter_pipe * fix comment * fix record_temp * update cvxpy version * Update code_standard.rst (#587) * Update code_standard.rst * Update docs/developer/code_standard.rst Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * Add file lock for MLflowExpManager (#619) * fix torch version * Share version number (#620) * Update initialization.rst (#622) * Update initialization.rst * Update docs/start/initialization.rst Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * Update docs/start/initialization.rst Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * fix bugs for running previous exmaple * fix deal amount bug * update change doc (#623) * Add files via upload * Update README.md * Update README.md * Update README.md * Delete change doc.gif * Add files via upload * Update README.md * Delete change doc.gif * Add files via upload * Delete change doc.gif * Add files via upload * Update README.md Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * update doc * simplify run all model * fix run all model bug * Fix Models (#483) * fix gat dataset * fix tft model * Update tft.py * Fix tft.py Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com> * type and skip empty exp * fix model yaml config * fix tft import bug * skip empty result * fix model and yaml bug * fix wrong generate parameter * Modify multi-freq example (#626) * modify the example of multi-freq * add Copyright * add a comment to average_ops.py * modify the example of multi-freq * add comment to multi_freq_handler.py * add the Ref expression description to multi_freq_handler.py * add expression description to multi_freq_handler.py * update images * fix workflow and update framework Co-authored-by: Gaurav <2796gaurav@gmail.com> Co-authored-by: 2796gaurav <17353992+2796gaurav@users.noreply.github.com> Co-authored-by: bxdd <bxd98@126.com> Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> Co-authored-by: Dong Zhou <Zhou.Dong@microsoft.com> Co-authored-by: ZhangTP1996 <ztp18@mails.tsinghua.edu.cn> Co-authored-by: demon143 <59681577+demon143@users.noreply.github.com> Co-authored-by: Wangwuyi123 <51237097+Wangwuyi123@users.noreply.github.com> Co-authored-by: yuxwang <anduinnn@foxmail.com> Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com> Co-authored-by: Mark Zhao <50850474+markzhao98@users.noreply.github.com> Co-authored-by: cslwqxx <cslwqxx@users.noreply.github.com> Co-authored-by: Dong Zhou <evanzd@users.noreply.github.com> Co-authored-by: SaintMalik <37118134+saintmalik@users.noreply.github.com> Co-authored-by: Christian Clauss <cclauss@me.com> Co-authored-by: Anurag Kumar <mailanu98@gmail.com> Co-authored-by: demon143 <785696300@qq.com>
This commit is contained in:
wangwenxi-handsome
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@@ -19,7 +19,7 @@ class NestedDecisionExecutionWorkflow:
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benchmark = "SH000300"
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data_handler_config = {
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"start_time": "2008-01-01",
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"end_time": "2020-12-31",
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"end_time": "2021-05-31",
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"fit_start_time": "2008-01-01",
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"fit_end_time": "2014-12-31",
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"instruments": market,
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@@ -53,7 +53,7 @@ class NestedDecisionExecutionWorkflow:
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"segments": {
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"train": ("2007-01-01", "2014-12-31"),
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"valid": ("2015-01-01", "2016-12-31"),
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"test": ("2020-01-01", "2020-12-31"),
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"test": ("2020-01-01", "2021-05-31"),
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},
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},
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},
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@@ -75,7 +75,7 @@ class NestedDecisionExecutionWorkflow:
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"module_path": "qlib.backtest.executor",
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"kwargs": {
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"time_per_step": "5min",
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"generate_report": True,
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"generate_portfolio_metrics": True,
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"verbose": True,
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"indicator_config": {
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"show_indicator": True,
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@@ -86,7 +86,7 @@ class NestedDecisionExecutionWorkflow:
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"class": "TWAPStrategy",
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"module_path": "qlib.contrib.strategy.rule_strategy",
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},
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"generate_report": True,
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"generate_portfolio_metrics": True,
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"indicator_config": {
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"show_indicator": True,
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},
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@@ -101,15 +101,15 @@ class NestedDecisionExecutionWorkflow:
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},
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},
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"track_data": True,
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"generate_report": True,
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"generate_portfolio_metrics": True,
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"indicator_config": {
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"show_indicator": True,
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},
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},
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},
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"backtest": {
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"start_time": "2020-01-01",
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"end_time": "2020-12-31",
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"start_time": "2020-09-20",
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"end_time": "2021-05-20",
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"account": 100000000,
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"exchange_kwargs": {
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"freq": "1min",
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@@ -124,8 +124,6 @@ class NestedDecisionExecutionWorkflow:
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def _init_qlib(self):
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"""initialize qlib"""
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# provider_uri_day = "/data/stock_data/huaxia/qlib"
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# provider_uri_1min = "/data2/stock_data/huaxia_1min_qlib"
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provider_uri_day = "~/.qlib/qlib_data/cn_data" # target_dir
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GetData().qlib_data(target_dir=provider_uri_day, region=REG_CN, version="v2", exists_skip=True)
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provider_uri_1min = HIGH_FREQ_CONFIG.get("provider_uri")
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@@ -133,31 +131,7 @@ class NestedDecisionExecutionWorkflow:
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target_dir=provider_uri_1min, interval="1min", region=REG_CN, version="v2", exists_skip=True
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)
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provider_uri_map = {"1min": provider_uri_1min, "day": provider_uri_day}
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client_config = {
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"calendar_provider": {
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"class": "LocalCalendarProvider",
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"module_path": "qlib.data.data",
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"kwargs": {
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"backend": {
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"class": "FileCalendarStorage",
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"module_path": "qlib.data.storage.file_storage",
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"kwargs": {"provider_uri_map": provider_uri_map},
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}
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},
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},
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"feature_provider": {
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"class": "LocalFeatureProvider",
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"module_path": "qlib.data.data",
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"kwargs": {
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"backend": {
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"class": "FileFeatureStorage",
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"module_path": "qlib.data.storage.file_storage",
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"kwargs": {"provider_uri_map": provider_uri_map},
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}
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},
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},
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}
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qlib.init(provider_uri=provider_uri_day, **client_config, redis_port=-1)
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qlib.init(provider_uri=provider_uri_map, dataset_cache=None, expression_cache=None)
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def _train_model(self, model, dataset):
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with R.start(experiment_name="train"):
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@@ -186,9 +160,8 @@ class NestedDecisionExecutionWorkflow:
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},
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}
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self.port_analysis_config["strategy"] = strategy_config
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self.port_analysis_config["backtest"]["benchmark"] = D.list_instruments(
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instruments=D.instruments(market=self.market), as_list=True
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)
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self.port_analysis_config["backtest"]["benchmark"] = self.benchmark
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with R.start(experiment_name="backtest"):
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recorder = R.get_recorder()
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@@ -201,6 +174,7 @@ class NestedDecisionExecutionWorkflow:
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)
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par.generate()
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# user could use following methods to analysis the position
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# report_normal_df = recorder.load_object("portfolio_analysis/report_normal_1day.pkl")
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# from qlib.contrib.report import analysis_position
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# analysis_position.report_graph(report_normal_df)
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@@ -212,7 +186,7 @@ class NestedDecisionExecutionWorkflow:
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self._train_model(model, dataset)
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executor_config = self.port_analysis_config["executor"]
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backtest_config = self.port_analysis_config["backtest"]
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backtest_config["benchmark"] = D.list_instruments(instruments=D.instruments(market=self.market), as_list=True)
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backtest_config["benchmark"] = self.benchmark
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strategy_config = {
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"class": "TopkDropoutStrategy",
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"module_path": "qlib.contrib.strategy.model_strategy",
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