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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>
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@@ -120,7 +120,7 @@ class Operator:
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# generate and save order list
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order_list = user.strategy.generate_trade_decision(
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score_series=score_series,
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current=user.account.current,
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current=user.account.current_position,
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trade_exchange=trade_exchange,
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trade_date=trade_date,
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)
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@@ -202,8 +202,8 @@ class Operator:
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score_series = load_score_series((pathlib.Path(path) / user_id), trade_date)
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update_account(user.account, trade_info, trade_exchange, trade_date)
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report = user.account.report.generate_report_dataframe()
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self.logger.info(report)
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portfolio_metrics = user.account.portfolio_metrics.generate_portfolio_metrics_dataframe()
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self.logger.info(portfolio_metrics)
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um.save_user_data(user_id)
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self.logger.info("Update account state {} for {}".format(trade_date, user_id))
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@@ -258,7 +258,7 @@ class Operator:
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# 3. generate and save order list
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order_list = user.strategy.generate_trade_decision(
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score_series=score_series,
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current=user.account.current,
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current=user.account.current_position,
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trade_exchange=trade_exchange,
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trade_date=trade_date,
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)
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@@ -273,8 +273,8 @@ class Operator:
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# 5. update account state
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trade_info = executor.load_trade_info_from_executed_file(user_path=user_path, trade_date=trade_date)
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update_account(user.account, trade_info, trade_exchange, trade_date)
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report = user.account.report.generate_report_dataframe()
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self.logger.info(report)
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portfolio_metrics = user.account.portfolio_metrics.generate_portfolio_metrics_dataframe()
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self.logger.info(portfolio_metrics)
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um.save_user_data(id)
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self.show(id, path, bench)
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@@ -295,12 +295,12 @@ class Operator:
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if id not in um.users:
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raise ValueError("Cannot find user ".format(id))
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bench = D.features([bench], ["$change"]).loc[bench, "$change"]
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report = um.users[id].account.report.generate_report_dataframe()
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report["bench"] = bench
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portfolio_metrics = um.users[id].account.portfolio_metrics.generate_portfolio_metrics_dataframe()
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portfolio_metrics["bench"] = bench
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analysis_result = {}
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r = (report["return"] - report["bench"]).dropna()
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r = (portfolio_metrics["return"] - portfolio_metrics["bench"]).dropna()
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analysis_result["excess_return_without_cost"] = risk_analysis(r)
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r = (report["return"] - report["bench"] - report["cost"]).dropna()
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r = (portfolio_metrics["return"] - portfolio_metrics["bench"] - portfolio_metrics["cost"]).dropna()
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analysis_result["excess_return_with_cost"] = risk_analysis(r)
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print("Result:")
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print("excess_return_without_cost:")
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