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2021-04-30 23:23:56 +08:00
parent d297a493b8 ee269b0914
commit e30df11a0b
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9
examples/highfreq/data/README.md
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@@ -25,4 +25,11 @@ The example is given in `workflow.py`, users can run the code as follows.
Run the example by running the following command:
```bash
python workflow.py dump_and_load_dataset
```
```
## Benchmarks Performance
### Signal Test
Here are the results of signal test for benchmark models. We will keep updating benchmark models in future.
| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Long precision| Short Precision | Long-Short Average Return | Long-Short Average Sharpe |
|---|---|---|---|---|---|---|---|---|---|
| LightGBM | Alpha158 | 0.3042±0.00 | 1.5372±0.00| 0.3117±0.00 | 1.6258±0.00 | 0.6720±0.00 | 0.6870±0.00 | 0.000769±0.00 | 1.0190±0.00 |

34
examples/highfreq/data/workflow.py
View File

@@ -27,12 +27,11 @@ from qlib.tests.data import GetData
from highfreq_ops import get_calendar_day, DayLast, FFillNan, BFillNan, Date, Select, IsNull, Cut
class HighfreqWorkflow(object):
class HighfreqWorkflow:
SPEC_CONF = {"custom_ops": [DayLast, FFillNan, BFillNan, Date, Select, IsNull, Cut], "expression_cache": None}
MARKET = "all"
BENCHMARK = "SH000300"
start_time = "2020-09-15 00:00:00"
end_time = "2021-01-18 16:00:00"
@@ -146,35 +145,40 @@ class HighfreqWorkflow(object):
self._prepare_calender_cache()
##=============reinit dataset=============
dataset.init(
dataset.config(
handler_kwargs={
"start_time": "2021-01-19 00:00:00",
"end_time": "2021-01-25 16:00:00",
},
segments={
"test": (
"2021-01-19 00:00:00",
"2021-01-25 16:00:00",
),
},
)
dataset.setup_data(
handler_kwargs={
"init_type": DataHandlerLP.IT_LS,
"start_time": "2021-01-19 00:00:00",
"end_time": "2021-01-25 16:00:00",
},
segment_kwargs={
"test": (
"2021-01-19 00:00:00",
"2021-01-25 16:00:00",
),
},
)
dataset_backtest.init(
dataset_backtest.config(
handler_kwargs={
"start_time": "2021-01-19 00:00:00",
"end_time": "2021-01-25 16:00:00",
},
segment_kwargs={
segments={
"test": (
"2021-01-19 00:00:00",
"2021-01-25 16:00:00",
),
},
)
dataset_backtest.setup_data(handler_kwargs={})
##=============get data=============
xtest = dataset.prepare(["test"])
backtest_test = dataset_backtest.prepare(["test"])
xtest = dataset.prepare("test")
backtest_test = dataset_backtest.prepare("test")
print(xtest, backtest_test)
return