Add RecordTemp & update

qlib/workflow/record_temp.py

@@ -0,0 +1,137 @@
+#  Copyright (c) Microsoft Corporation.
+#  Licensed under the MIT License.
+
+import pandas as pd
+from pathlib import Path
+from ..contrib.evaluate import (
+    backtest as normal_backtest,
+    risk_analysis,
+)
+from ..utils import init_instance_by_config, get_module_by_module_path
+
+
+class RecordTemp:
+    def __init__(self, *args, **kwargs):
+        pass
+
+    def generate(self, **kwargs):
+        """
+        Generate certain records such as IC, backtest etc., and save them.
+
+        Parameters
+        ----------
+        kwargs
+
+        Return
+        ------
+        The generated records.
+        """
+        raise NotImplementedError(f"Please implement the `generate` method.")
+
+    def check(self, **kwargs):
+        """
+        Check if the records is properly generated and saved.
+
+        Parameters
+        ----------
+        kwargs
+        """
+        raise NotImplementedError(f"Please implement the `check` method.")
+
+
+# TODO: this can only be run under R's running experiment.
+class SignalRecord(RecordTemp):
+    def __init__(self, model, dataset, recorder, **kwargs):
+        super(SignalRecord, self).__init__()
+        self.model = model
+        self.dataset = dataset
+        self.recorder = recorder
+
+    def generate(self, **kwargs):
+        # generate prediciton
+        pred = self.model.predict(self.dataset)
+        self.recorder.save_object(pred, 'pred.pkl')
+        
+    def load(self):
+        # try to load the saved object
+        try:
+            pred = self.recorder.load_object('pred.pkl')
+            return pred
+        except:
+            raise Exception('Something went wrong when loading the saved object.')
+
+    def check(self, **kwargs):
+        return self.recorder.check('pred.pkl')
+
+
+# TODO
+class SigAnaRecord(SignalRecord):
+    def __init__(self, recorder, **kwargs):
+
+    def generate(self):
+        pass
+
+    def load(self):
+        pass
+
+    def check(self):
+        pass
+
+
+class PortAnaRecord(SignalRecord):
+    def __init__(self, recorder, STRATEGY_CONFIG, BACKTEST_CONFIG, **kwargs):
+        self.recorder = recorder
+        self.STRATEGY_CONFIG = STRATEGY_CONFIG
+        self.BACKTEST_CONFIG = BACKTEST_CONFIG
+        module = get_module_by_module_path("qlib.contrib.strategy")
+        self.strategy = init_instance_by_config(STRATEGY_CONFIG, module)
+        self.artifact_path = Path('portfolio_analysis').resolve()
+
+    def generate(self, **kwargs):
+        """
+        STRATEGY_CONFIG : dict
+            define the strategy class as well as the kwargs.
+        BACKTEST_CONFIG : dict
+            define the backtest kwargs.
+        """
+        # check previously stored prediction results
+        assert super().check(), "Make sure the parent process is completed and store the data properly."
+        # custom strategy and get backtest
+        pred_score = super().load()
+        report_normal, positions_normal = normal_backtest(pred_score, strategy=self.strategy, **self.BACKTEST_CONFIG)
+        self.recorder.save_object(report_normal, 'report_normal.pkl', self.artifact_path)
+        self.recorder.save_object(positions_normal, 'positions_normal.pkl', self.artifact_path)
+
+        # analysis
+        analysis = dict()
+        analysis["excess_return_without_cost"] = risk_analysis(report_normal["return"] - report_normal["bench"])
+        analysis["excess_return_with_cost"] = risk_analysis(
+            report_normal["return"] - report_normal["bench"] - report_normal["cost"]
+        )
+        analysis_df = pd.concat(analysis)  # type: pd.DataFrame
+        self.recorder.save_object(pred, 'port_analysis.pkl', self.artifact_path)
+
+    def load(self):
+        # try to load the saved object
+        try:
+            pred = self.recorder.load_object(self.artifact_path / 'port_analysis.pkl'')
+            return pred
+        except:
+            raise Exception('Something went wrong when loading the saved object.')
+
+    def check(self):
+        return self.recorder.check('port_analysis.pkl', self.artifact_path)
+
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