Add initial workflow_by_config

examples/workflow_by_config.py

@@ -0,0 +1,49 @@
+#  Copyright (c) Microsoft Corporation.
+#  Licensed under the MIT License.
+
+import sys
+from pathlib import Path
+
+import qlib
+import fire
+import yaml
+import pandas as pd
+from qlib.config import REG_CN
+from qlib.utils import exists_qlib_data, init_instance_by_config
+from qlib.workflow import R
+from qlib.workflow.record_temp import SignalRecord, PortAnaRecord
+
+# worflow handler function
+def workflow(config_path):
+    with open(config_path) as fp:
+        config = yaml.load(fp, Loader=yaml.FullLoader)
+
+    provider_uri = config.get("PROVIDER_URI")
+    if not exists_qlib_data(provider_uri):
+        print(f"Qlib data is not found in {provider_uri}")
+        sys.path.append(str(Path(__file__).resolve().parent.parent.joinpath("scripts")))
+        from get_data import GetData
+
+        GetData().qlib_data_cn(target_dir=provider_uri)
+
+    qlib.init(provider_uri=provider_uri, region=REG_CN)
+
+    # model initiaiton
+    model = init_instance_by_config(config.get("TASK")["model"])
+    dataset = init_instance_by_config(config.get("TASK")["dataset"])
+
+    # start exp
+    with R.start("workflow"):
+        model.fit(dataset)
+
+        # prediction
+        recorder = R.get_recorder()
+        sr = SignalRecord(model, dataset, recorder)
+        sr.generate()
+
+        # backtest
+        par = PortAnaRecord(recorder, config.get("PORT_ANALYSIS_CONFIG"))
+        par.generate()
+
+if __name__ == "__main__":
+    fire.Fire(workflow)