liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-09 14:00:55 +08:00
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
Download Patch File Download Diff File Expand all files Collapse all files

3
examples/portfolio/prepare_riskdata.py
View File

@@ -9,7 +9,6 @@ from qlib.model.riskmodel import StructuredCovEstimator
def prepare_data(riskdata_root="./riskdata", T=240, start_time="2016-01-01"):
universe = D.features(D.instruments("csi300"), ["$close"], start_time=start_time).swaplevel().sort_index()
price_all = (
@@ -20,7 +19,6 @@ def prepare_data(riskdata_root="./riskdata", T=240, start_time="2016-01-01"):
riskmodel = StructuredCovEstimator()
for i in range(T - 1, len(price_all)):
date = price_all.index[i]
ref_date = price_all.index[i - T + 1]
@@ -47,7 +45,6 @@ def prepare_data(riskdata_root="./riskdata", T=240, start_time="2016-01-01"):
if __name__ == "__main__":
import qlib
qlib.init(provider_uri="~/.qlib/qlib_data/cn_data")