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add time series model GRU

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This commit is contained in:
lwwang1995
2020-11-11 10:26:28 +08:00
parent b839733ec7
commit 9c2dbaa94e
4 changed files with 586 additions and 21 deletions
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83
qlib/contrib/data/handler.py
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@@ -8,29 +8,81 @@ from ...data.dataset import processor as processor_module
from ...log import TimeInspector
import copy
class ALPHA360(DataHandlerLP):
def __init__(self, instruments="csi500", start_time=None, end_time=None):
def __init__(
self,
instruments="csi500",
start_time=None,
end_time=None,
fit_start_time=None,
fit_end_time=None
):
data_loader = {
"class": "QlibDataLoader",
"kwargs": {
"config": {
"feature": {
"price": {"windows": range(60)},
"volume": {"windows": range(60)},
},
"feature": self.get_feature_config(),
"label": self.get_label_config(),
},
},
}
learn_processors = [
{"class": "DropnaLabel", "kwargs": {'group': 'label'}},
{"class": "CSZScoreNorm", "kwargs": {"fields_group": "label"}},
]
infer_processors = [
{"class": "ConfigSectionProcessor", "module_path": "qlib.contrib.data.processor"}
] # ConfigSectionProcessor will normalize LABEL0
super().__init__(instruments, start_time, end_time, data_loader=data_loader, infer_processors=infer_processors)
{"class": "ProcessInf", "kwargs": {}},
{"class": "ZscoreNorm", "kwargs": {"fit_start_time": fit_start_time, "fit_end_time": fit_end_time}},
{"class": "Fillna", "kwargs": {}},
]
super().__init__(
instruments,
start_time,
end_time,
data_loader=data_loader,
learn_processors=learn_processors,
infer_processors=infer_processors
)
def get_label_config(self):
return (["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])
def get_feature_config(self):
fields = []
names = []
for i in range(59,0,-1):
fields += ["Ref($close, %d)/$close"%(i)]
names += ["CLOSE%d"%(i)]
fields += ["Ref($open, %d)/$close"%(i)]
names += ["OPEN%d"%(i)]
fields += ["Ref($high, %d)/$close"%(i)]
names += ["HIGH%d"%(i)]
fields += ["Ref($low, %d)/$close"%(i)]
names += ["LOW%d"%(i)]
fields += ["Ref($vwap, %d)/$close"%(i)]
names += ["VWAP%d"%(i)]
fields += ["Ref($volume, %d)/$volume"%(i)]
names += ["VOLUME%d"%(i)]
fields += ["$close/$close"]
fields += ["$open/$close"]
fields += ["$high/$close"]
fields += ["$low/$close"]
fields += ["$vwap/$close"]
fields += ["$volume/$volume"]
names += ["CLOSE0"]
names += ["OPEN0"]
names += ["HIGH0"]
names += ["LOW0"]
names += ["VWAP0"]
names += ["VOLUME0"]
return fields, names
class ALPHA360vwap(ALPHA360):
def get_label_config(self):
@@ -90,7 +142,7 @@ class Alpha158(DataHandlerLP):
"kbar": {},
"price": {
"windows": [0],
"feature": ["OPEN", "HIGH", "LOW"],
"feature": ["OPEN", "HIGH", "LOW", "VWAP"],
},
"rolling": {},
}
@@ -281,16 +333,5 @@ class Alpha158(DataHandlerLP):
class Alpha158vwap(Alpha158):
def get_feature_config(self):
conf = {
"kbar": {},
"price": {
"windows": [0],
"feature": ["OPEN", "HIGH", "LOW", "VWAP"],
},
"rolling": {},
}
return self.parse_config_to_fields(conf)
def get_label_config(self):
return (["Ref($vwap, -2)/Ref($vwap, -1) - 1"], ["LABEL0"])