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Update TCTS. (#495)

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* Update TCTS Model.

Co-authored-by: lewwang <lwwang@microsoft.com>
This commit is contained in:
Lewen Wang
2021-07-04 16:45:05 +08:00
committed by GitHub
parent 2d4f0e80f9
commit ace7484304
10 changed files with 117 additions and 156 deletions
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7
qlib/workflow/record_temp.py
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@@ -227,10 +227,11 @@ class SigAnaRecord(SignalRecord):
artifact_path = "sig_analysis"
def __init__(self, recorder, ana_long_short=False, ann_scaler=252, **kwargs):
def __init__(self, recorder, ana_long_short=False, ann_scaler=252, label_col=0, **kwargs):
super().__init__(recorder=recorder, **kwargs)
self.ana_long_short = ana_long_short
self.ann_scaler = ann_scaler
self.label_col = label_col
def generate(self, **kwargs):
try:
@@ -243,7 +244,7 @@ class SigAnaRecord(SignalRecord):
if label is None or not isinstance(label, pd.DataFrame) or label.empty:
logger.warn(f"Empty label.")
return
ic, ric = calc_ic(pred.iloc[:, 0], label.iloc[:, 0])
ic, ric = calc_ic(pred.iloc[:, 0], label.iloc[:, self.label_col])
metrics = {
"IC": ic.mean(),
"ICIR": ic.mean() / ic.std(),
@@ -252,7 +253,7 @@ class SigAnaRecord(SignalRecord):
}
objects = {"ic.pkl": ic, "ric.pkl": ric}
if self.ana_long_short:
long_short_r, long_avg_r = calc_long_short_return(pred.iloc[:, 0], label.iloc[:, 0])
long_short_r, long_avg_r = calc_long_short_return(pred.iloc[:, 0], label.iloc[:, self.label_col])
metrics.update(
{
"Long-Short Ann Return": long_short_r.mean() * self.ann_scaler,