diff --git a/examples/highfreq/README.md b/examples/highfreq/README.md index e238e0328..a2b2d33ca 100644 --- a/examples/highfreq/README.md +++ b/examples/highfreq/README.md @@ -1,15 +1,20 @@ -# High-Frequency Dataset +# Introduction +This folder contains 2 examples +- A high-frequency dataset example +- An example of predicting the price trend in high-frequency data + +## High-Frequency Dataset This dataset is an example for RL high frequency trading. -## Get High-Frequency Data +### Get High-Frequency Data Get high-frequency data by running the following command: ```bash python workflow.py get_data ``` -## Dump & Reload & Reinitialize the Dataset +### Dump & Reload & Reinitialize the Dataset The High-Frequency Dataset is implemented as `qlib.data.dataset.DatasetH` in the `workflow.py`. `DatatsetH` is the subclass of [`qlib.utils.serial.Serializable`](https://qlib.readthedocs.io/en/latest/advanced/serial.html), whose state can be dumped in or loaded from disk in `pickle` format. @@ -27,9 +32,9 @@ Run the example by running the following command: python workflow.py dump_and_load_dataset ``` -## Benchmarks Performance -### Signal Test -Here are the results of signal test for benchmark models. We will keep updating benchmark models in future. +## Benchmarks Performance (predicting the price trend in high-frequency data) + +Here are the results of models for predicting the price trend in high-frequency data. We will keep updating benchmark models in future. | Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Long precision| Short Precision | Long-Short Average Return | Long-Short Average Sharpe | |---|---|---|---|---|---|---|---|---|---|