release-0.5.0 (#1)

* init commit

* change the version number

* rich the docs&fix cache docs

* update index readme

* Modify cache class name

* Modify sharpe to information_ratio

* Modify Group- to Group

* add the description of graphical results & fix the backtest docs

* fix docs in details

* update docs

* Update introduction.rst

* Update README.md

* Update introduction.rst

* Update introduction.rst

* Update introduction.rst

* Update installation.rst

* Update installation.rst

* Update initialization.rst

* Update getdata.rst

* Update integration.rst

* Update initialization.rst

* Update getdata.rst

* Update estimator.rst

Modify some typos.

* Update README.md

Modify the typos.

* Update initialization.rst

* Update data.rst

* Update report.rst

* Update estimator.rst

* Update cumulative_return.py

* Update model.rst

* Update rank_label.py

* Update cumulative_return.py

* Update strategy.rst

* Update getdata.rst

* Update backtest.rst

* Update integration.rst

* Update getdata.rst

* Update introduction.rst

* Update introduction.rst

* Update README.md

* Update report.rst

* Update integration.rst

Fix typos

* Update installation.rst

Fix typos

* Update getdata.rst

* Update initialization.rst

Fix typos.

* add quick start docs&fix detials

* fix estimator docs & fix strategy docs

* fix the cahce in data.rst

* update documents

* Fix Corr && Rsquare

* fix data retrival example to csi300 & fix a data bug

* fix filter bug

* Fix data collector

* Modift model args

* add the log & fix README.md\quick.rst

* add enviroment depend & add intoduction of qlib-server online mode

* fix image center fomat & set log_only of docs is True

* fix README.md format

* update data preparation & readme logo image

* get_data support version

* Modify analysis names

* Modify analysis graph

* update report.rst & data.rst

* commmit estimator for merge

* minimal requirements

* Update README.md

* Update README.md

* Update README.md

* Update README.md

* Update README.md

* Update README.md

* Update README.md

* Update READEME.md

* Update READEME.md

* update estimator

* Fix doc urls

* fix get_data.py docstring

* update test_get_data.py

* Upate docs

* Upate docs

* Upate docs

Co-authored-by: bxdd <bxddream@gmail.com>
Co-authored-by: zhupr <zhu.pengrong@foxmail.com>
Co-authored-by: Wendi Li <wendili.academic@qq.com>
Co-authored-by: Dingsu Wang <dingsu.wang@gmail.com>
Co-authored-by: bxdd <45119470+bxdd@users.noreply.github.com>
Co-authored-by: cslwqxx <cslwqxx@users.noreply.github.com>

qlib/contrib/evaluate.py

@@ -27,14 +27,15 @@ def risk_analysis(r, N=252):
     r : pandas.Series
         daily return series
     N: int
-        scaler for annualizing sharpe ratio (day: 250, week: 50, month: 12)
+        scaler for annualizing information_ratio (day: 250, week: 50, month: 12)
     """
     mean = r.mean()
     std = r.std(ddof=1)
-    annual = mean * N
-    sharpe = mean / std * np.sqrt(N)
-    mdd = (r.cumsum() - r.cumsum().cummax()).min()
-    data = {"mean": mean, "std": std, "annual": annual, "sharpe": sharpe, "mdd": mdd}
+    annualized_return = mean * N
+    information_ratio = mean / std * np.sqrt(N)
+    max_drawdown = (r.cumsum() - r.cumsum().cummax()).min()
+    data = {"mean": mean, "std": std, "annualized_return": annualized_return,
+            "information_ratio": information_ratio, "max_drawdown": max_drawdown}
     res = pd.Series(data, index=data.keys()).to_frame("risk")
     return res