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mirror of https://github.com/microsoft/qlib.git synced 2026-07-04 03:21:00 +08:00

Merge remote-tracking branch 'qlib/main' into qlib_register_ops

This commit is contained in:
zhupr
2021-01-20 15:16:06 +08:00
58 changed files with 922 additions and 444 deletions

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@@ -126,17 +126,17 @@ After conversion, users can find their Qlib format data in the directory `~/.qli
The arguments of `--include_fields` should correspond with the column names of CSV files. The columns names of dataset provided by ``Qlib`` should include open, close, high, low, volume and factor at least.
- `open`
The opening price
The adjusted opening price
- `close`
The closing price
The adjusted closing price
- `high`
The highest price
The adjusted highest price
- `low`
The lowest price
The adjusted lowest price
- `volume`
The trading volume
The adjusted trading volume
- `factor`
The Restoration factor
The Restoration factor. Normally, original_price = adj_price / factor
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.
@@ -296,6 +296,7 @@ The ``Processor`` module in ``Qlib`` is designed to be learnable and it is respo
- ``RobustZScoreNorm``: `processor` that applies robust z-score normalization.
- ``CSZScoreNorm``: `processor` that applies cross sectional z-score normalization.
- ``CSRankNorm``: `processor` that applies cross sectional rank normalization.
- ``CSZFillna``: `processor` that fills N/A values in a cross sectional way by the mean of the column.
Users can also create their own `processor` by inheriting the base class of ``Processor``. Please refer to the implementation of all the processors for more information (`Processor Link <https://github.com/microsoft/qlib/blob/main/qlib/data/dataset/processor.py>`_).

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@@ -34,8 +34,9 @@ Here is a general view of the structure of the system:
- Recorder 2
- ...
- ...
This experiment management system defines a set of interface and provided a concrete implementation based on the machine learning platform: ``MLFlow`` (`link <https://mlflow.org/>`_).
This experiment management system defines a set of interface and provided a concrete implementation ``MLflowExpManager``, which is based on the machine learning platform: ``MLFlow`` (`link <https://mlflow.org/>`_).
If users set the implementation of ``ExpManager`` to be ``MLflowExpManager``, they can use the command `mlflow ui` to visualize and check the experiment results. For more information, pleaes refer to the related documents `here <https://www.mlflow.org/docs/latest/cli.html#mlflow-ui>`_.
Qlib Recorder
===================
@@ -91,7 +92,7 @@ Record Template
The ``RecordTemp`` class is a class that enables generate experiment results such as IC and backtest in a certain format. We have provided three different `Record Template` class:
- ``SignalRecord``: This class generates the `preidction` results of the model.
- ``SignalRecord``: This class generates the `prediction` results of the model.
- ``SigAnaRecord``: This class generates the `IC`, `ICIR`, `Rank IC` and `Rank ICIR` of the model.
- ``PortAnaRecord``: This class generates the results of `backtest`. The detailed information about `backtest` as well as the available `strategy`, users can refer to `Strategy <../component/strategy.html>`_ and `Backtest <../component/backtest.html>`_.

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@@ -103,6 +103,12 @@ After saving the config into `configuration.yaml`, users could start the workflo
qrun configuration.yaml
If users want to use ``qrun`` under debug mode, please use the following command:
.. code-block:: bash
python -m pdb qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
.. note::
`qrun` will be placed in your $PATH directory when installing ``Qlib``.