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Code Activity

Adjust rolling api (#1594)

Browse Source 
* Intermediate version

* Fix yaml template & Successfully run rolling

* Be compatible with benchmark

* Get same results with previous linear model

* Black formatting

* Update black

* Update the placeholder mechanism

* Update CI

* Update CI

* Upgrade Black

* Fix CI and simplify code

* Fix CI

* Move the data processing caching mechanism into utils.

* Adjusting DDG-DA

* Organize import
This commit is contained in:
you-n-g
2023-07-14 12:16:12 +08:00
committed by GitHub
parent 8d3adf34ac
commit be4646b4b7
148 changed files with 1035 additions and 1028 deletions
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1
examples/benchmarks/LightGBM/multi_freq_handler.py
View File

@@ -48,7 +48,6 @@ class Avg15minHandler(DataHandlerLP):
)
def loader_config(self):
# Results for dataset: df: pd.DataFrame
# len(df.columns) == 6 + 6 * 16, len(df.index.get_level_values(level="datetime").unique()) == T
# df.columns: close0, close1, ..., close16, open0, ..., open16, ..., vwap16

3
examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
View File

@@ -14,8 +14,7 @@ port_analysis_config: &port_analysis_config
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
signal: <PRED>
topk: 50
n_drop: 5
backtest:

3
examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_csi500.yaml
View File

@@ -14,8 +14,7 @@ port_analysis_config: &port_analysis_config
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
signal: <PRED>
topk: 50
n_drop: 5
backtest:

4
examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_multi_freq.yaml
View File

@@ -33,9 +33,7 @@ port_analysis_config: &port_analysis_config
kwargs:
topk: 50
n_drop: 5
signal:
- <MODEL>
- <DATASET>
signal: <PRED>
backtest:
verbose: False
limit_threshold: 0.095

4
examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360.yaml
View File

@@ -21,9 +21,7 @@ port_analysis_config: &port_analysis_config
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy
kwargs:
signal:
- <MODEL>
- <DATASET>
signal: <PRED>
topk: 50
n_drop: 5
backtest:

4
examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360_csi500.yaml
View File

@@ -21,9 +21,7 @@ port_analysis_config: &port_analysis_config
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy
kwargs:
signal:
- <MODEL>
- <DATASET>
signal: <PRED>
topk: 50
n_drop: 5
backtest:

4
examples/benchmarks/LightGBM/workflow_config_lightgbm_configurable_dataset.yaml
View File

@@ -29,9 +29,7 @@ port_analysis_config: &port_analysis_config
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy
kwargs:
signal:
- <MODEL>
- <DATASET>
signal: <PRED>
topk: 50
n_drop: 5
backtest:

4
examples/benchmarks/LightGBM/workflow_config_lightgbm_multi_freq.yaml
View File

@@ -31,9 +31,7 @@ port_analysis_config: &port_analysis_config
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy
kwargs:
signal:
- <MODEL>
- <DATASET>
signal: <PRED>
topk: 50
n_drop: 5
backtest: