DDG-DA paper code (#743)

* Merge data selection to main

* Update trainer for reweighter

* Typos fixed.

* update data selection interface

* successfully run exp after refactor some interface

* data selection share handler &  trainer

* fix meta model time series bug

* fix online workflow set_uri bug

* fix set_uri bug

* updawte ds docs and delay trainer bug

* docs

* resume reweighter

* add reweighting result

* fix qlib model import

* make recorder more friendly

* fix experiment workflow bug

* commit for merging master incase of conflictions

* Successful run DDG-DA with a single command

* remove unused code

* asdd more docs

* Update README.md

* Update & fix some bugs.

* Update configuration & remove debug functions

* Update README.md

* Modfify horizon from code rather than yaml

* Update performance in README.md

* fix part comments

* Remove unfinished TCTS.

* Fix some details.

* Update meta docs

* Update README.md of the benchmarks_dynamic

* Update README.md files

* Add README.md to the rolling_benchmark baseline.

* Refine the docs and link

* Rename README.md in benchmarks_dynamic.

* Remove comments.

* auto download data

Co-authored-by: wendili-cs <wendili.academic@qq.com>
Co-authored-by: demon143 <785696300@qq.com>

qlib/workflow/__init__.py

@@ -2,7 +2,7 @@
 # Licensed under the MIT License.
 
 from contextlib import contextmanager
-from typing import Any, Dict, Text, Optional
+from typing import Text, Optional, Any, Dict, Text, Optional
 from .expm import ExpManager
 from .exp import Experiment
 from .recorder import Recorder
@@ -15,7 +15,7 @@ class QlibRecorder:
     A global system that helps to manage the experiments.
     """
 
-    def __init__(self, exp_manager):
+    def __init__(self, exp_manager: ExpManager):
         self.exp_manager: ExpManager = exp_manager
 
     def __repr__(self):
@@ -341,6 +341,10 @@ class QlibRecorder:
     def set_uri(self, uri: Optional[Text]):
         """
         Method to reset the current uri of current experiment manager.
+
+        NOTE:
+        - When the uri is refer to a file path, please using the absolute path instead of strings like "~/mlruns/"
+          The backend don't support strings like this.
         """
         self.exp_manager.set_uri(uri)
 
@@ -501,13 +505,13 @@ class QlibRecorder:
             raise ValueError(
                 "You can choose only one of `local_path`(save the files in a path) or `kwargs`(pass in the objects directly)"
             )
-        self.get_exp().get_recorder().save_objects(local_path, artifact_path, **kwargs)
+        self.get_exp().get_recorder(start=True).save_objects(local_path, artifact_path, **kwargs)
 
     def load_object(self, name: Text):
         """
         Method for loading an object from artifacts in the experiment in the uri.
         """
-        return self.get_exp().get_recorder().load_object(name)
+        return self.get_exp().get_recorder(start=True).load_object(name)
 
     def log_params(self, **kwargs):
         """
@@ -532,7 +536,7 @@ class QlibRecorder:
         keyword argument:
             name1=value1, name2=value2, ...
         """
-        self.get_exp().get_recorder().log_params(**kwargs)
+        self.get_exp().get_recorder(start=True).log_params(**kwargs)
 
     def log_metrics(self, step=None, **kwargs):
         """
@@ -557,7 +561,7 @@ class QlibRecorder:
         keyword argument:
             name1=value1, name2=value2, ...
         """
-        self.get_exp().get_recorder().log_metrics(step, **kwargs)
+        self.get_exp().get_recorder(start=True).log_metrics(step, **kwargs)
 
     def set_tags(self, **kwargs):
         """
@@ -582,7 +586,7 @@ class QlibRecorder:
         keyword argument:
             name1=value1, name2=value2, ...
         """
-        self.get_exp().get_recorder().set_tags(**kwargs)
+        self.get_exp().get_recorder(start=True).set_tags(**kwargs)
 
 
 class RecorderWrapper(Wrapper):