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Jactus
2020-12-04 11:51:45 +08:00
parent 07fb9031c6
commit 99adc514a5
3 changed files with 7 additions and 11 deletions
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1
.github/workflows/test.yml vendored
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@@ -27,6 +27,7 @@ jobs:
run: | run: |
pip install --upgrade cython pip install --upgrade cython
pip install numpy jupyter jupyter_contrib_nbextensions pip install numpy jupyter jupyter_contrib_nbextensions
pip install -U scipy scikit-learn # installing without this line will cause errors on GitHub Actions, while instsalling locally won't
python setup.py install python setup.py install
- name: Install Lightgbm for MacOS - name: Install Lightgbm for MacOS

10
examples/run_all_model.py
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@@ -171,9 +171,9 @@ def get_all_results(folders) -> dict:
# function to generate and save markdown table # function to generate and save markdown table
def gen_and_save_md_table(metrics): def gen_and_save_md_table(metrics, dataset):
table = "| Model Name | Annualized Return | Information Ratio | Max Drawdown | IC | ICIR | Rank IC | Rank ICIR |\n" table = "| Model Name | Dataset | Annualized Return | Information Ratio | Max Drawdown | IC | ICIR | Rank IC | Rank ICIR |\n"
table += "|---|---|---|---|---|---|---|---|\n" table += "|---|---|---|---|---|---|---|---|---|\n"
for fn in metrics: for fn in metrics:
ar = metrics[fn]["annualized_return_with_cost"] ar = metrics[fn]["annualized_return_with_cost"]
ir = metrics[fn]["information_ratio_with_cost"] ir = metrics[fn]["information_ratio_with_cost"]
@@ -182,7 +182,7 @@ def gen_and_save_md_table(metrics):
icir = metrics[fn]["icir"] icir = metrics[fn]["icir"]
ric = metrics[fn]["rank_ic"] ric = metrics[fn]["rank_ic"]
ricir = metrics[fn]["rank_icir"] ricir = metrics[fn]["rank_icir"]
table += f"| {fn} | {ar[0]:5.4f}±{ar[1]:2.2f} | {ir[0]:5.4f}±{ir[1]:2.2f}| {md[0]:5.4f}±{md[1]:2.2f} | {ic[0]:5.4f}±{ic[1]:2.2f} | {icir[0]:5.4f}±{icir[1]:2.2f}| {ric[0]:5.4f}±{ric[1]:2.2f} | {ricir[0]:5.4f}±{ricir[1]:2.2f} |\n" table += f"| {fn} | {dataset} | {ar[0]:5.4f}±{ar[1]:2.2f} | {ir[0]:5.4f}±{ir[1]:2.2f}| {md[0]:5.4f}±{md[1]:2.2f} | {ic[0]:5.4f}±{ic[1]:2.2f} | {icir[0]:5.4f}±{icir[1]:2.2f}| {ric[0]:5.4f}±{ric[1]:2.2f} | {ricir[0]:5.4f}±{ricir[1]:2.2f} |\n"
pprint(table) pprint(table)
with open("table.md", "w") as f: with open("table.md", "w") as f:
f.write(table) f.write(table)
@@ -289,7 +289,7 @@ def run(times=1, models=None, dataset="Alpha360", exclude=False):
results = cal_mean_std(results) results = cal_mean_std(results)
# generating md table # generating md table
sys.stderr.write(f"Generating markdown table...\n") sys.stderr.write(f"Generating markdown table...\n")
gen_and_save_md_table(results) gen_and_save_md_table(results, dataset)
sys.stderr.write("\n") sys.stderr.write("\n")
# print erros # print erros
sys.stderr.write(f"Here are some of the errors of the models...\n") sys.stderr.write(f"Here are some of the errors of the models...\n")

7
setup.py
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@@ -94,12 +94,7 @@ setup(
long_description=long_description, long_description=long_description,
long_description_content_type="text/markdown", long_description_content_type="text/markdown",
python_requires=REQUIRES_PYTHON, python_requires=REQUIRES_PYTHON,
packages=find_packages( packages=find_packages(exclude=("tests",)),
exclude=(
"tests",
"examples",
)
),
# if your package is a single module, use this instead of 'packages': # if your package is a single module, use this instead of 'packages':
# py_modules=['qlib'], # py_modules=['qlib'],
entry_points={ entry_points={