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lzh222333
2021-04-29 04:30:09 +00:00
parent 6f669348a8
commit 67c5740c83
19 changed files with 677 additions and 1010 deletions
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15
qlib/model/ens/group.py
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@@ -1,3 +1,10 @@
# Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
"""
Group can group a set of object based on `group_func` and change them to a dict.
"""
from qlib.model.ens.ensemble import Ensemble, RollingEnsemble
from typing import Callable, Union
from joblib import Parallel, delayed
@@ -21,20 +28,20 @@ class Group:
self._group_func = group_func
self._ens_func = ens
def group(self, *args, **kwargs):
def group(self, *args, **kwargs) -> dict:
# TODO: such design is weird when `_group_func` is the only configurable part in the class
if isinstance(getattr(self, "_group_func", None), Callable):
return self._group_func(*args, **kwargs)
else:
raise NotImplementedError(f"Please specify valid `group_func`.")
def reduce(self, *args, **kwargs):
def reduce(self, *args, **kwargs) -> dict:
if isinstance(getattr(self, "_ens_func", None), Callable):
return self._ens_func(*args, **kwargs)
else:
raise NotImplementedError(f"Please specify valid `_ens_func`.")
def __call__(self, ungrouped_dict: dict, n_jobs=1, verbose=0, *args, **kwargs):
def __call__(self, ungrouped_dict: dict, n_jobs=1, verbose=0, *args, **kwargs) -> dict:
"""Group the ungrouped_dict into different groups.
Args:
@@ -59,7 +66,7 @@ class Group:
class RollingGroup(Group):
"""group the rolling dict"""
def group(self, rolling_dict: dict):
def group(self, rolling_dict: dict) -> dict:
"""Given an rolling dict likes {(A,B,R): things}, return the grouped dict likes {(A,B): {R:things}}
NOTE: There is a assumption which is the rolling key is at the end of key tuple, because the rolling results always need to be ensemble firstly.