mirror of
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Update benchmark based on new backtest (#634)
* free random seed * update model baselines * more robust for parameters
This commit is contained in:
you-n-g
@@ -306,7 +306,7 @@ All the models listed above are runnable with ``Qlib``. Users can find the confi
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- Users can use the tool `qrun` mentioned above to run a model's workflow based from a config file.
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- Users can use the tool `qrun` mentioned above to run a model's workflow based from a config file.
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- Users can create a `workflow_by_code` python script based on the [one](examples/workflow_by_code.py) listed in the `examples` folder.
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- Users can create a `workflow_by_code` python script based on the [one](examples/workflow_by_code.py) listed in the `examples` folder.
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- Users can use the script [`run_all_model.py`](examples/run_all_model.py) listed in the `examples` folder to run a model. Here is an example of the specific shell command to be used: `python run_all_model.py --models=lightgbm`, where the `--models` arguments can take any number of models listed above(the available models can be found in [benchmarks](examples/benchmarks/)). For more use cases, please refer to the file's [docstrings](examples/run_all_model.py).
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- Users can use the script [`run_all_model.py`](examples/run_all_model.py) listed in the `examples` folder to run a model. Here is an example of the specific shell command to be used: `python run_all_model.py run --models=lightgbm`, where the `--models` arguments can take any number of models listed above(the available models can be found in [benchmarks](examples/benchmarks/)). For more use cases, please refer to the file's [docstrings](examples/run_all_model.py).
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- **NOTE**: Each baseline has different environment dependencies, please make sure that your python version aligns with the requirements(e.g. TFT only supports Python 3.6~3.7 due to the limitation of `tensorflow==1.15.0`)
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- **NOTE**: Each baseline has different environment dependencies, please make sure that your python version aligns with the requirements(e.g. TFT only supports Python 3.6~3.7 due to the limitation of `tensorflow==1.15.0`)
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## Run multiple models
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## Run multiple models
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@@ -316,7 +316,7 @@ The script will create a unique virtual environment for each model, and delete t
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Here is an example of running all the models for 10 iterations:
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Here is an example of running all the models for 10 iterations:
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```python
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```python
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python run_all_model.py 10
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python run_all_model.py run 10
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```
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```
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It also provides the API to run specific models at once. For more use cases, please refer to the file's [docstrings](examples/run_all_model.py).
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It also provides the API to run specific models at once. For more use cases, please refer to the file's [docstrings](examples/run_all_model.py).
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@@ -8,44 +8,48 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
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>
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>
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> In the new version of qlib, the default dataset is **v2**. Since the data is collected from the YahooFinance API (which is not very stable), the results of *v2* and *v1* may differ
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> In the new version of qlib, the default dataset is **v2**. Since the data is collected from the YahooFinance API (which is not very stable), the results of *v2* and *v1* may differ
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## Alpha360 dataset
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| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |
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|---|---|---|---|---|---|---|---|---|
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| Linear | Alpha360 | 0.0150±0.00 | 0.1049±0.00| 0.0284±0.00 | 0.1970±0.00 | -0.0659±0.00 | -0.7072±0.00| -0.2955±0.00 |
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| CatBoost (Liudmila Prokhorenkova, et al.) | Alpha360 | 0.0397±0.00 | 0.2878±0.00| 0.0470±0.00 | 0.3703±0.00 | 0.0342±0.00 | 0.4092±0.00| -0.1057±0.00 |
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| XGBoost (Tianqi Chen, et al.) | Alpha360 | 0.0400±0.00 | 0.3031±0.00| 0.0461±0.00 | 0.3862±0.00 | 0.0528±0.00 | 0.6307±0.00| -0.1113±0.00 |
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| LightGBM (Guolin Ke, et al.) | Alpha360 | 0.0399±0.00 | 0.3075±0.00| 0.0492±0.00 | 0.4019±0.00 | 0.0323±0.00 | 0.4370±0.00| -0.0917±0.00 |
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| MLP | Alpha360 | 0.0285±0.00 | 0.1981±0.02| 0.0402±0.00 | 0.2993±0.02 | 0.0073±0.02 | 0.0880±0.22| -0.1446±0.03 |
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| GRU (Kyunghyun Cho, et al.) | Alpha360 | 0.0490±0.01 | 0.3787±0.05| 0.0581±0.00 | 0.4664±0.04 | 0.0726±0.02 | 0.9817±0.34| -0.0902±0.03 |
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| LSTM (Sepp Hochreiter, et al.) | Alpha360 | 0.0443±0.01 | 0.3401±0.05| 0.0536±0.01 | 0.4248±0.05 | 0.0627±0.03 | 0.8441±0.48| -0.0882±0.03 |
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| ALSTM (Yao Qin, et al.) | Alpha360 | 0.0493±0.01 | 0.3778±0.06| 0.0585±0.00 | 0.4606±0.04 | 0.0513±0.03 | 0.6727±0.38| -0.1085±0.02 |
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| GATs (Petar Velickovic, et al.) | Alpha360 | 0.0475±0.00 | 0.3515±0.02| 0.0592±0.00 | 0.4585±0.01 | 0.0876±0.02 | 1.1513±0.27| -0.0795±0.02 |
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| DoubleEnsemble (Chuheng Zhang, et al.) | Alpha360 | 0.0407±0.00| 0.3053±0.00 | 0.0490±0.00 | 0.3840±0.00 | 0.0380±0.02 | 0.5000±0.21 | -0.0984±0.02 |
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| TabNet (Sercan O. Arik, et al.)| Alpha360 | 0.0192±0.00 | 0.1401±0.00| 0.0291±0.00 | 0.2163±0.00 | -0.0258±0.00 | -0.2961±0.00| -0.1429±0.00 |
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| TCTS (Xueqing Wu, et al.)| Alpha360 | 0.0485±0.00 | 0.3689±0.04| 0.0586±0.00 | 0.4669±0.02 | 0.0816±0.02 | 1.1572±0.30| -0.0689±0.02 |
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| Transformer (Ashish Vaswani, et al.)| Alpha360 | 0.0141±0.00 | 0.0917±0.02| 0.0331±0.00 | 0.2357±0.03 | -0.0259±0.03 | -0.3323±0.43| -0.1763±0.07 |
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| Localformer (Juyong Jiang, et al.)| Alpha360 | 0.0408±0.00 | 0.2988±0.03| 0.0538±0.00 | 0.4105±0.02 | 0.0275±0.03 | 0.3464±0.37| -0.1182±0.03 |
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| TRA (Hengxu Lin, et al.)| Alpha360 | 0.0491±0.01 | 0.3868±0.06 | 0.0589±0.00 | 0.4802±0.04 | 0.0898±0.02 | 1.2490±0.32 | -0.0778±0.02 |
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## Alpha158 dataset
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## Alpha158 dataset
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| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |
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|---|---|---|---|---|---|---|---|---|
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| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |
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| Linear | Alpha158 | 0.0393±0.00 | 0.2980±0.00| 0.0475±0.00 | 0.3546±0.00 | 0.0795±0.00 | 1.0712±0.00| -0.1449±0.00 |
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|------------------------------------------|-------------------------------------|-------------|-------------|-------------|-------------|-------------------|-------------------|--------------|
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| CatBoost (Liudmila Prokhorenkova, et al.) | Alpha158 | 0.0503±0.00 | 0.3586±0.00| 0.0483±0.00 | 0.3667±0.00 | 0.1080±0.00 | 1.1561±0.00| -0.0787±0.00 |
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| TabNet(Sercan O. Arik, et al.) | Alpha158 | 0.0204±0.01 | 0.1554±0.07 | 0.0333±0.00 | 0.2552±0.05 | 0.0227±0.04 | 0.3676±0.54 | -0.1089±0.08 |
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| XGBoost (Tianqi Chen, et al.) | Alpha158 | 0.0481±0.00 | 0.3659±0.00| 0.0495±0.00 | 0.4033±0.00 | 0.1111±0.00 | 1.2915±0.00| -0.0893±0.00 |
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| Transformer(Ashish Vaswani, et al.) | Alpha158 | 0.0264±0.00 | 0.2053±0.02 | 0.0407±0.00 | 0.3273±0.02 | 0.0273±0.02 | 0.3970±0.26 | -0.1101±0.02 |
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| LightGBM (Guolin Ke, et al.) | Alpha158 | 0.0475±0.00 | 0.3979±0.00| 0.0485±0.00 | 0.4123±0.00 | 0.1143±0.00 | 1.2744±0.00| -0.0800±0.00 |
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| GRU(Kyunghyun Cho, et al.) | Alpha158(with selected 20 features) | 0.0315±0.00 | 0.2450±0.04 | 0.0428±0.00 | 0.3440±0.03 | 0.0344±0.02 | 0.5160±0.25 | -0.1017±0.02 |
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| MLP | Alpha158 | 0.0358±0.00 | 0.2738±0.03| 0.0425±0.00 | 0.3221±0.01 | 0.0836±0.02 | 1.0323±0.25| -0.1127±0.02 |
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| LSTM(Sepp Hochreiter, et al.) | Alpha158(with selected 20 features) | 0.0318±0.00 | 0.2367±0.04 | 0.0435±0.00 | 0.3389±0.03 | 0.0381±0.03 | 0.5561±0.46 | -0.1207±0.04 |
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| TFT (Bryan Lim, et al.) | Alpha158 (with selected 20 features) | 0.0343±0.00 | 0.2071±0.02| 0.0107±0.00 | 0.0660±0.02 | 0.0623±0.02 | 0.5818±0.20| -0.1762±0.01 |
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| Localformer(Juyong Jiang, et al.) | Alpha158 | 0.0356±0.00 | 0.2756±0.03 | 0.0468±0.00 | 0.3784±0.03 | 0.0438±0.02 | 0.6600±0.33 | -0.0952±0.02 |
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| GRU (Kyunghyun Cho, et al.) | Alpha158 (with selected 20 features) | 0.0311±0.00 | 0.2418±0.04| 0.0425±0.00 | 0.3434±0.02 | 0.0330±0.02 | 0.4805±0.30| -0.1021±0.02 |
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| SFM(Liheng Zhang, et al.) | Alpha158 | 0.0379±0.00 | 0.2959±0.04 | 0.0464±0.00 | 0.3825±0.04 | 0.0465±0.02 | 0.5672±0.29 | -0.1282±0.03 |
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| LSTM (Sepp Hochreiter, et al.) | Alpha158 (with selected 20 features) | 0.0312±0.00 | 0.2394±0.04| 0.0418±0.00 | 0.3324±0.03 | 0.0298±0.02 | 0.4198±0.33| -0.1348±0.03 |
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| ALSTM (Yao Qin, et al.) | Alpha158(with selected 20 features) | 0.0362±0.01 | 0.2789±0.06 | 0.0463±0.01 | 0.3661±0.05 | 0.0470±0.03 | 0.6992±0.47 | -0.1072±0.03 |
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| ALSTM (Yao Qin, et al.) | Alpha158 (with selected 20 features) | 0.0385±0.01 | 0.3022±0.06| 0.0478±0.00 | 0.3874±0.04 | 0.0486±0.03 | 0.7141±0.45| -0.1088±0.03 |
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| GATs (Petar Velickovic, et al.) | Alpha158(with selected 20 features) | 0.0349±0.00 | 0.2511±0.01 | 0.0462±0.00 | 0.3564±0.01 | 0.0497±0.01 | 0.7338±0.19 | -0.0777±0.02 |
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| GATs (Petar Velickovic, et al.) | Alpha158 (with selected 20 features) | 0.0349±0.00 | 0.2511±0.01| 0.0457±0.00 | 0.3537±0.01 | 0.0578±0.02 | 0.8221±0.25| -0.0824±0.02 |
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| TRA(Hengxu Lin, et al.) | Alpha158(with selected 20 features) | 0.0404±0.00 | 0.3197±0.05 | 0.0490±0.00 | 0.4047±0.04 | 0.0649±0.02 | 1.0091±0.30 | -0.0860±0.02 |
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| DoubleEnsemble (Chuheng Zhang, et al.) | Alpha158 | 0.0544±0.00 | 0.4338±0.01 | 0.0523±0.00 | 0.4257±0.01 | 0.1253±0.01 | 1.4105±0.14 | -0.0902±0.01 |
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| Linear | Alpha158 | 0.0397±0.00 | 0.3000±0.00 | 0.0472±0.00 | 0.3531±0.00 | 0.0692±0.00 | 0.9209±0.00 | -0.1509±0.00 |
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| TabNet (Sercan O. Arik, et al.)| Alpha158 | 0.0383±0.00 | 0.3414±0.00| 0.0388±0.00 | 0.3460±0.00 | 0.0226±0.00 | 0.2652±0.00| -0.1072±0.00 |
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| TRA(Hengxu Lin, et al.) | Alpha158 | 0.0440±0.00 | 0.3535±0.05 | 0.0540±0.00 | 0.4451±0.03 | 0.0718±0.02 | 1.0835±0.35 | -0.0760±0.02 |
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| Transformer (Ashish Vaswani, et al.)| Alpha158 | 0.0274±0.00 | 0.2166±0.04| 0.0409±0.00 | 0.3342±0.04 | 0.0204±0.03 | 0.2888±0.40| -0.1216±0.04 |
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| CatBoost(Liudmila Prokhorenkova, et al.) | Alpha158 | 0.0481±0.00 | 0.3366±0.00 | 0.0454±0.00 | 0.3311±0.00 | 0.0765±0.00 | 0.8032±0.01 | -0.1092±0.00 |
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| Localformer (Juyong Jiang, et al.)| Alpha158 | 0.0355±0.00 | 0.2747±0.04| 0.0466±0.00 | 0.3762±0.03 | 0.0506±0.02 | 0.7447±0.34| -0.0875±0.02 |
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| XGBoost(Tianqi Chen, et al.) | Alpha158 | 0.0498±0.00 | 0.3779±0.00 | 0.0505±0.00 | 0.4131±0.00 | 0.0780±0.00 | 0.9070±0.00 | -0.1168±0.00 |
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| TRA (Hengxu Lin, et al.)| Alpha158 (with selected 20 features)| 0.0409±0.00 | 0.3253±0.04 | 0.0488±0.00 | 0.4045±0.02 | 0.0673±0.02 | 1.0389±0.39 | -0.0830±0.02 |
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| TFT (Bryan Lim, et al.) | Alpha158(with selected 20 features) | 0.0358±0.00 | 0.2160±0.03 | 0.0116±0.01 | 0.0720±0.03 | 0.0847±0.02 | 0.8131±0.19 | -0.1824±0.03 |
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| TRA (Hengxu Lin, et al.)| Alpha158 | 0.0442±0.00 | 0.3426±0.03 | 0.0555±0.00 | 0.4395±0.03 | 0.0833±0.03 | 1.2064±0.36 | -0.0849±0.02 |
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| MLP | Alpha158 | 0.0376±0.00 | 0.2846±0.02 | 0.0429±0.00 | 0.3220±0.01 | 0.0895±0.02 | 1.1408±0.23 | -0.1103±0.02 |
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| LightGBM(Guolin Ke, et al.) | Alpha158 | 0.0448±0.00 | 0.3660±0.00 | 0.0469±0.00 | 0.3877±0.00 | 0.0901±0.00 | 1.0164±0.00 | -0.1038±0.00 |
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| DoubleEnsemble(Chuheng Zhang, et al.) | Alpha158 | 0.0544±0.00 | 0.4340±0.00 | 0.0523±0.00 | 0.4284±0.01 | 0.1168±0.01 | 1.3384±0.12 | -0.1036±0.01 |
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## Alpha360 dataset
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| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |
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|-------------------------------------------|----------|-------------|-------------|-------------|-------------|-------------------|-------------------|--------------|
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| Transformer(Ashish Vaswani, et al.) | Alpha360 | 0.0114±0.00 | 0.0716±0.03 | 0.0327±0.00 | 0.2248±0.02 | -0.0270±0.03 | -0.3378±0.37 | -0.1653±0.05 |
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| TabNet(Sercan O. Arik, et al.) | Alpha360 | 0.0099±0.00 | 0.0593±0.00 | 0.0290±0.00 | 0.1887±0.00 | -0.0369±0.00 | -0.3892±0.00 | -0.2145±0.00 |
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| MLP | Alpha360 | 0.0273±0.00 | 0.1870±0.02 | 0.0396±0.00 | 0.2910±0.02 | 0.0029±0.02 | 0.0274±0.23 | -0.1385±0.03 |
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| Localformer(Juyong Jiang, et al.) | Alpha360 | 0.0404±0.00 | 0.2932±0.04 | 0.0542±0.00 | 0.4110±0.03 | 0.0246±0.02 | 0.3211±0.21 | -0.1095±0.02 |
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| CatBoost((Liudmila Prokhorenkova, et al.) | Alpha360 | 0.0378±0.00 | 0.2714±0.00 | 0.0467±0.00 | 0.3659±0.00 | 0.0292±0.00 | 0.3781±0.00 | -0.0862±0.00 |
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| XGBoost(Tianqi Chen, et al.) | Alpha360 | 0.0394±0.00 | 0.2909±0.00 | 0.0448±0.00 | 0.3679±0.00 | 0.0344±0.00 | 0.4527±0.02 | -0.1004±0.00 |
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| DoubleEnsemble(Chuheng Zhang, et al.) | Alpha360 | 0.0404±0.00 | 0.3023±0.00 | 0.0495±0.00 | 0.3898±0.00 | 0.0468±0.01 | 0.6302±0.20 | -0.0860±0.01 |
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| LightGBM(Guolin Ke, et al.) | Alpha360 | 0.0400±0.00 | 0.3037±0.00 | 0.0499±0.00 | 0.4042±0.00 | 0.0558±0.00 | 0.7632±0.00 | -0.0659±0.00 |
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| ALSTM (Yao Qin, et al.) | Alpha360 | 0.0497±0.00 | 0.3829±0.04 | 0.0599±0.00 | 0.4736±0.03 | 0.0626±0.02 | 0.8651±0.31 | -0.0994±0.03 |
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| LSTM(Sepp Hochreiter, et al.) | Alpha360 | 0.0448±0.00 | 0.3474±0.04 | 0.0549±0.00 | 0.4366±0.03 | 0.0647±0.03 | 0.8963±0.39 | -0.0875±0.02 |
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| GRU(Kyunghyun Cho, et al.) | Alpha360 | 0.0493±0.00 | 0.3772±0.04 | 0.0584±0.00 | 0.4638±0.03 | 0.0720±0.02 | 0.9730±0.33 | -0.0821±0.02 |
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| TCTS(Xueqing Wu, et al.) | Alpha360 | 0.0454±0.01 | 0.3457±0.06 | 0.0566±0.01 | 0.4492±0.05 | 0.0744±0.03 | 1.0594±0.41 | -0.0761±0.03 |
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| GATs (Petar Velickovic, et al.) | Alpha360 | 0.0476±0.00 | 0.3508±0.02 | 0.0598±0.00 | 0.4604±0.01 | 0.0824±0.02 | 1.1079±0.26 | -0.0894±0.03 |
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| TRA(Hengxu Lin, et al.) | Alpha360 | 0.0485±0.00 | 0.3787±0.03 | 0.0587±0.00 | 0.4756±0.03 | 0.0920±0.03 | 1.2789±0.42 | -0.0834±0.02 |
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- The selected 20 features are based on the feature importance of a lightgbm-based model.
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- The selected 20 features are based on the feature importance of a lightgbm-based model.
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- The base model of DoubleEnsemble is LGBM.
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- The base model of DoubleEnsemble is LGBM.
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@@ -69,6 +69,7 @@ task:
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steps: 3
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steps: 3
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target_label: 1
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target_label: 1
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lowest_valid_performance: 0.993
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lowest_valid_performance: 0.993
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seed: 0
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dataset:
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dataset:
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class: DatasetH
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class: DatasetH
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module_path: qlib.data.dataset
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module_path: qlib.data.dataset
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@@ -195,7 +195,8 @@ class Alpha158Formatter(GenericDataFormatter):
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for col in column_names:
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for col in column_names:
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if col not in {"forecast_time", "identifier"}:
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if col not in {"forecast_time", "identifier"}:
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output[col] = self._target_scaler.inverse_transform(predictions[col])
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# Using [col] is for aligning with the format when fitting
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output[col] = self._target_scaler.inverse_transform(predictions[[col]])
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return output
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return output
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@@ -311,5 +311,11 @@ class TFTModel(ModelFT):
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# self.model.save(path)
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# self.model.save(path)
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# save qlib model wrapper
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# save qlib model wrapper
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self.model = None
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drop_attrs = ["model", "tf_graph", "sess", "data_formatter"]
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orig_attr = {}
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for attr in drop_attrs:
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orig_attr[attr] = getattr(self, attr)
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setattr(self, attr, None)
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super(TFTModel, self).to_pickle(path)
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super(TFTModel, self).to_pickle(path)
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for attr in drop_attrs:
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setattr(self, attr, orig_attr[attr])
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@@ -38,7 +38,7 @@ class TRAModel(Model):
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model_init_state=None,
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model_init_state=None,
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lamb=0.0,
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lamb=0.0,
|
||||||
rho=0.99,
|
rho=0.99,
|
||||||
seed=0,
|
seed=None,
|
||||||
logdir=None,
|
logdir=None,
|
||||||
eval_train=True,
|
eval_train=True,
|
||||||
eval_test=False,
|
eval_test=False,
|
||||||
|
|||||||
@@ -50,6 +50,7 @@ task:
|
|||||||
kwargs:
|
kwargs:
|
||||||
d_feat: 158
|
d_feat: 158
|
||||||
pretrain: True
|
pretrain: True
|
||||||
|
seed: 993
|
||||||
dataset:
|
dataset:
|
||||||
class: DatasetH
|
class: DatasetH
|
||||||
module_path: qlib.data.dataset
|
module_path: qlib.data.dataset
|
||||||
|
|||||||
@@ -50,6 +50,7 @@ task:
|
|||||||
kwargs:
|
kwargs:
|
||||||
d_feat: 360
|
d_feat: 360
|
||||||
pretrain: True
|
pretrain: True
|
||||||
|
seed: 993
|
||||||
dataset:
|
dataset:
|
||||||
class: DatasetH
|
class: DatasetH
|
||||||
module_path: qlib.data.dataset
|
module_path: qlib.data.dataset
|
||||||
|
|||||||
@@ -151,6 +151,9 @@ def get_all_results(folders) -> dict:
|
|||||||
if recorders[recorder_id].status == "FINISHED":
|
if recorders[recorder_id].status == "FINISHED":
|
||||||
recorder = R.get_recorder(recorder_id=recorder_id, experiment_name=fn)
|
recorder = R.get_recorder(recorder_id=recorder_id, experiment_name=fn)
|
||||||
metrics = recorder.list_metrics()
|
metrics = recorder.list_metrics()
|
||||||
|
if "1day.excess_return_with_cost.annualized_return" not in metrics:
|
||||||
|
print(f"{recorder_id} is skipped due to incomplete result")
|
||||||
|
continue
|
||||||
result["annualized_return_with_cost"].append(metrics["1day.excess_return_with_cost.annualized_return"])
|
result["annualized_return_with_cost"].append(metrics["1day.excess_return_with_cost.annualized_return"])
|
||||||
result["information_ratio_with_cost"].append(metrics["1day.excess_return_with_cost.information_ratio"])
|
result["information_ratio_with_cost"].append(metrics["1day.excess_return_with_cost.information_ratio"])
|
||||||
result["max_drawdown_with_cost"].append(metrics["1day.excess_return_with_cost.max_drawdown"])
|
result["max_drawdown_with_cost"].append(metrics["1day.excess_return_with_cost.max_drawdown"])
|
||||||
@@ -200,174 +203,183 @@ def gen_yaml_file_without_seed_kwargs(yaml_path, temp_dir):
|
|||||||
return temp_path
|
return temp_path
|
||||||
|
|
||||||
|
|
||||||
# function to run the all the models
|
class ModelRunner:
|
||||||
@only_allow_defined_args
|
def _init_qlib(self, exp_folder_name):
|
||||||
def run(
|
# init qlib
|
||||||
times=1,
|
GetData().qlib_data(exists_skip=True)
|
||||||
models=None,
|
qlib.init(
|
||||||
dataset="Alpha360",
|
exp_manager={
|
||||||
exclude=False,
|
"class": "MLflowExpManager",
|
||||||
qlib_uri: str = "git+https://github.com/microsoft/qlib#egg=pyqlib",
|
"module_path": "qlib.workflow.expm",
|
||||||
exp_folder_name: str = "run_all_model_records",
|
"kwargs": {
|
||||||
wait_before_rm_env: bool = False,
|
"uri": "file:" + str(Path(os.getcwd()).resolve() / exp_folder_name),
|
||||||
wait_when_err: bool = False,
|
"default_exp_name": "Experiment",
|
||||||
):
|
},
|
||||||
"""
|
}
|
||||||
Please be aware that this function can only work under Linux. MacOS and Windows will be supported in the future.
|
)
|
||||||
Any PR to enhance this method is highly welcomed. Besides, this script doesn't support parallel running the same model
|
|
||||||
for multiple times, and this will be fixed in the future development.
|
|
||||||
|
|
||||||
Parameters:
|
# function to run the all the models
|
||||||
-----------
|
@only_allow_defined_args
|
||||||
times : int
|
def run(
|
||||||
determines how many times the model should be running.
|
self,
|
||||||
models : str or list
|
times=1,
|
||||||
determines the specific model or list of models to run or exclude.
|
models=None,
|
||||||
exclude : boolean
|
dataset="Alpha360",
|
||||||
determines whether the model being used is excluded or included.
|
exclude=False,
|
||||||
dataset : str
|
qlib_uri: str = "git+https://github.com/microsoft/qlib#egg=pyqlib",
|
||||||
determines the dataset to be used for each model.
|
exp_folder_name: str = "run_all_model_records",
|
||||||
qlib_uri : str
|
wait_before_rm_env: bool = False,
|
||||||
the uri to install qlib with pip
|
wait_when_err: bool = False,
|
||||||
it could be url on the we or local path
|
):
|
||||||
exp_folder_name: str
|
"""
|
||||||
the name of the experiment folder
|
Please be aware that this function can only work under Linux. MacOS and Windows will be supported in the future.
|
||||||
wait_before_rm_env : bool
|
Any PR to enhance this method is highly welcomed. Besides, this script doesn't support parallel running the same model
|
||||||
wait before remove environment.
|
for multiple times, and this will be fixed in the future development.
|
||||||
wait_when_err : bool
|
|
||||||
wait when errors raised when executing commands
|
|
||||||
|
|
||||||
Usage:
|
Parameters:
|
||||||
-------
|
-----------
|
||||||
Here are some use cases of the function in the bash:
|
times : int
|
||||||
|
determines how many times the model should be running.
|
||||||
|
models : str or list
|
||||||
|
determines the specific model or list of models to run or exclude.
|
||||||
|
exclude : boolean
|
||||||
|
determines whether the model being used is excluded or included.
|
||||||
|
dataset : str
|
||||||
|
determines the dataset to be used for each model.
|
||||||
|
qlib_uri : str
|
||||||
|
the uri to install qlib with pip
|
||||||
|
it could be url on the we or local path
|
||||||
|
exp_folder_name: str
|
||||||
|
the name of the experiment folder
|
||||||
|
wait_before_rm_env : bool
|
||||||
|
wait before remove environment.
|
||||||
|
wait_when_err : bool
|
||||||
|
wait when errors raised when executing commands
|
||||||
|
|
||||||
.. code-block:: bash
|
Usage:
|
||||||
|
-------
|
||||||
|
Here are some use cases of the function in the bash:
|
||||||
|
|
||||||
# Case 1 - run all models multiple times
|
.. code-block:: bash
|
||||||
python run_all_model.py 3
|
|
||||||
|
|
||||||
# Case 2 - run specific models multiple times
|
# Case 1 - run all models multiple times
|
||||||
python run_all_model.py 3 mlp
|
python run_all_model.py run 3
|
||||||
|
|
||||||
# Case 3 - run specific models multiple times with specific dataset
|
# Case 2 - run specific models multiple times
|
||||||
python run_all_model.py 3 mlp Alpha158
|
python run_all_model.py run 3 mlp
|
||||||
|
|
||||||
# Case 4 - run other models except those are given as arguments for multiple times
|
# Case 3 - run specific models multiple times with specific dataset
|
||||||
python run_all_model.py 3 [mlp,tft,lstm] --exclude=True
|
python run_all_model.py run 3 mlp Alpha158
|
||||||
|
|
||||||
# Case 5 - run specific models for one time
|
# Case 4 - run other models except those are given as arguments for multiple times
|
||||||
python run_all_model.py --models=[mlp,lightgbm]
|
python run_all_model.py run 3 [mlp,tft,lstm] --exclude=True
|
||||||
|
|
||||||
# Case 6 - run other models except those are given as arguments for one time
|
# Case 5 - run specific models for one time
|
||||||
python run_all_model.py --models=[mlp,tft,sfm] --exclude=True
|
python run_all_model.py run --models=[mlp,lightgbm]
|
||||||
|
|
||||||
"""
|
# Case 6 - run other models except those are given as arguments for one time
|
||||||
# init qlib
|
python run_all_model.py run --models=[mlp,tft,sfm] --exclude=True
|
||||||
GetData().qlib_data(exists_skip=True)
|
|
||||||
qlib.init(
|
|
||||||
exp_manager={
|
|
||||||
"class": "MLflowExpManager",
|
|
||||||
"module_path": "qlib.workflow.expm",
|
|
||||||
"kwargs": {
|
|
||||||
"uri": "file:" + str(Path(os.getcwd()).resolve() / exp_folder_name),
|
|
||||||
"default_exp_name": "Experiment",
|
|
||||||
},
|
|
||||||
}
|
|
||||||
)
|
|
||||||
|
|
||||||
# get all folders
|
"""
|
||||||
folders = get_all_folders(models, exclude)
|
self._init_qlib(exp_folder_name)
|
||||||
# init error messages:
|
|
||||||
errors = dict()
|
|
||||||
# run all the model for iterations
|
|
||||||
for fn in folders:
|
|
||||||
# get all files
|
|
||||||
sys.stderr.write("Retrieving files...\n")
|
|
||||||
yaml_path, req_path = get_all_files(folders[fn], dataset)
|
|
||||||
if yaml_path is None:
|
|
||||||
sys.stderr.write(f"There is no {dataset}.yaml file in {folders[fn]}")
|
|
||||||
continue
|
|
||||||
sys.stderr.write("\n")
|
|
||||||
# create env by anaconda
|
|
||||||
temp_dir, env_path, python_path, conda_activate = create_env()
|
|
||||||
|
|
||||||
# install requirements.txt
|
# get all folders
|
||||||
sys.stderr.write("Installing requirements.txt...\n")
|
folders = get_all_folders(models, exclude)
|
||||||
with open(req_path) as f:
|
# init error messages:
|
||||||
content = f.read()
|
errors = dict()
|
||||||
if "torch" in content:
|
# run all the model for iterations
|
||||||
# automatically install pytorch according to nvidia's version
|
for fn in folders:
|
||||||
execute(
|
# get all files
|
||||||
f"{python_path} -m pip install light-the-torch", wait_when_err=wait_when_err
|
sys.stderr.write("Retrieving files...\n")
|
||||||
) # for automatically installing torch according to the nvidia driver
|
yaml_path, req_path = get_all_files(folders[fn], dataset)
|
||||||
execute(
|
if yaml_path is None:
|
||||||
f"{env_path / 'bin' / 'ltt'} install --install-cmd '{python_path} -m pip install {{packages}}' -- -r {req_path}",
|
sys.stderr.write(f"There is no {dataset}.yaml file in {folders[fn]}")
|
||||||
wait_when_err=wait_when_err,
|
continue
|
||||||
)
|
|
||||||
else:
|
|
||||||
execute(f"{python_path} -m pip install -r {req_path}", wait_when_err=wait_when_err)
|
|
||||||
sys.stderr.write("\n")
|
|
||||||
|
|
||||||
# read yaml, remove seed kwargs of model, and then save file in the temp_dir
|
|
||||||
yaml_path = gen_yaml_file_without_seed_kwargs(yaml_path, temp_dir)
|
|
||||||
# setup gpu for tft
|
|
||||||
if fn == "TFT":
|
|
||||||
execute(
|
|
||||||
f"conda install -y --prefix {env_path} anaconda cudatoolkit=10.0 && conda install -y --prefix {env_path} cudnn",
|
|
||||||
wait_when_err=wait_when_err,
|
|
||||||
)
|
|
||||||
sys.stderr.write("\n")
|
sys.stderr.write("\n")
|
||||||
# install qlib
|
# create env by anaconda
|
||||||
sys.stderr.write("Installing qlib...\n")
|
temp_dir, env_path, python_path, conda_activate = create_env()
|
||||||
execute(f"{python_path} -m pip install --upgrade pip", wait_when_err=wait_when_err) # TODO: FIX ME!
|
|
||||||
execute(f"{python_path} -m pip install --upgrade cython", wait_when_err=wait_when_err) # TODO: FIX ME!
|
# install requirements.txt
|
||||||
if fn == "TFT":
|
sys.stderr.write("Installing requirements.txt...\n")
|
||||||
execute(
|
with open(req_path) as f:
|
||||||
f"cd {env_path} && {python_path} -m pip install --upgrade --force-reinstall --ignore-installed PyYAML -e {qlib_uri}",
|
content = f.read()
|
||||||
wait_when_err=wait_when_err,
|
if "torch" in content:
|
||||||
) # TODO: FIX ME!
|
# automatically install pytorch according to nvidia's version
|
||||||
else:
|
execute(
|
||||||
execute(
|
f"{python_path} -m pip install light-the-torch", wait_when_err=wait_when_err
|
||||||
f"cd {env_path} && {python_path} -m pip install --upgrade --force-reinstall -e {qlib_uri}",
|
) # for automatically installing torch according to the nvidia driver
|
||||||
wait_when_err=wait_when_err,
|
execute(
|
||||||
) # TODO: FIX ME!
|
f"{env_path / 'bin' / 'ltt'} install --install-cmd '{python_path} -m pip install {{packages}}' -- -r {req_path}",
|
||||||
sys.stderr.write("\n")
|
wait_when_err=wait_when_err,
|
||||||
# run workflow_by_config for multiple times
|
)
|
||||||
for i in range(times):
|
else:
|
||||||
sys.stderr.write(f"Running the model: {fn} for iteration {i+1}...\n")
|
execute(f"{python_path} -m pip install -r {req_path}", wait_when_err=wait_when_err)
|
||||||
errs = execute(
|
sys.stderr.write("\n")
|
||||||
f"{python_path} {env_path / 'bin' / 'qrun'} {yaml_path} {fn} {exp_folder_name}",
|
|
||||||
wait_when_err=wait_when_err,
|
# read yaml, remove seed kwargs of model, and then save file in the temp_dir
|
||||||
)
|
yaml_path = gen_yaml_file_without_seed_kwargs(yaml_path, temp_dir)
|
||||||
if errs is not None:
|
# setup gpu for tft
|
||||||
_errs = errors.get(fn, {})
|
if fn == "TFT":
|
||||||
_errs.update({i: errs})
|
execute(
|
||||||
errors[fn] = _errs
|
f"conda install -y --prefix {env_path} anaconda cudatoolkit=10.0 && conda install -y --prefix {env_path} cudnn",
|
||||||
|
wait_when_err=wait_when_err,
|
||||||
|
)
|
||||||
|
sys.stderr.write("\n")
|
||||||
|
# install qlib
|
||||||
|
sys.stderr.write("Installing qlib...\n")
|
||||||
|
execute(f"{python_path} -m pip install --upgrade pip", wait_when_err=wait_when_err) # TODO: FIX ME!
|
||||||
|
execute(f"{python_path} -m pip install --upgrade cython", wait_when_err=wait_when_err) # TODO: FIX ME!
|
||||||
|
if fn == "TFT":
|
||||||
|
execute(
|
||||||
|
f"cd {env_path} && {python_path} -m pip install --upgrade --force-reinstall --ignore-installed PyYAML -e {qlib_uri}",
|
||||||
|
wait_when_err=wait_when_err,
|
||||||
|
) # TODO: FIX ME!
|
||||||
|
else:
|
||||||
|
execute(
|
||||||
|
f"cd {env_path} && {python_path} -m pip install --upgrade --force-reinstall -e {qlib_uri}",
|
||||||
|
wait_when_err=wait_when_err,
|
||||||
|
) # TODO: FIX ME!
|
||||||
|
sys.stderr.write("\n")
|
||||||
|
# run workflow_by_config for multiple times
|
||||||
|
for i in range(times):
|
||||||
|
sys.stderr.write(f"Running the model: {fn} for iteration {i+1}...\n")
|
||||||
|
errs = execute(
|
||||||
|
f"{python_path} {env_path / 'bin' / 'qrun'} {yaml_path} {fn} {exp_folder_name}",
|
||||||
|
wait_when_err=wait_when_err,
|
||||||
|
)
|
||||||
|
if errs is not None:
|
||||||
|
_errs = errors.get(fn, {})
|
||||||
|
_errs.update({i: errs})
|
||||||
|
errors[fn] = _errs
|
||||||
|
sys.stderr.write("\n")
|
||||||
|
# remove env
|
||||||
|
sys.stderr.write(f"Deleting the environment: {env_path}...\n")
|
||||||
|
if wait_before_rm_env:
|
||||||
|
input("Press Enter to Continue")
|
||||||
|
shutil.rmtree(env_path)
|
||||||
|
# print errors
|
||||||
|
sys.stderr.write(f"Here are some of the errors of the models...\n")
|
||||||
|
pprint(errors)
|
||||||
|
self._collect_results(exp_folder_name, dataset)
|
||||||
|
|
||||||
|
def _collect_results(self, exp_folder_name, dataset):
|
||||||
|
folders = get_all_folders(exp_folder_name, dataset)
|
||||||
|
# getting all results
|
||||||
|
sys.stderr.write(f"Retrieving results...\n")
|
||||||
|
results = get_all_results(folders)
|
||||||
|
if len(results) > 0:
|
||||||
|
# calculating the mean and std
|
||||||
|
sys.stderr.write(f"Calculating the mean and std of results...\n")
|
||||||
|
results = cal_mean_std(results)
|
||||||
|
# generating md table
|
||||||
|
sys.stderr.write(f"Generating markdown table...\n")
|
||||||
|
gen_and_save_md_table(results, dataset)
|
||||||
sys.stderr.write("\n")
|
sys.stderr.write("\n")
|
||||||
# remove env
|
|
||||||
sys.stderr.write(f"Deleting the environment: {env_path}...\n")
|
|
||||||
if wait_before_rm_env:
|
|
||||||
input("Press Enter to Continue")
|
|
||||||
shutil.rmtree(env_path)
|
|
||||||
# getting all results
|
|
||||||
sys.stderr.write(f"Retrieving results...\n")
|
|
||||||
results = get_all_results(folders)
|
|
||||||
if len(results) > 0:
|
|
||||||
# calculating the mean and std
|
|
||||||
sys.stderr.write(f"Calculating the mean and std of results...\n")
|
|
||||||
results = cal_mean_std(results)
|
|
||||||
# generating md table
|
|
||||||
sys.stderr.write(f"Generating markdown table...\n")
|
|
||||||
gen_and_save_md_table(results, dataset)
|
|
||||||
sys.stderr.write("\n")
|
sys.stderr.write("\n")
|
||||||
# print errors
|
# move results folder
|
||||||
sys.stderr.write(f"Here are some of the errors of the models...\n")
|
shutil.move(exp_folder_name, exp_folder_name + f"_{dataset}_{datetime.now().strftime('%Y-%m-%d_%H:%M:%S')}")
|
||||||
pprint(errors)
|
shutil.move("table.md", f"table_{dataset}_{datetime.now().strftime('%Y-%m-%d_%H:%M:%S')}.md")
|
||||||
sys.stderr.write("\n")
|
|
||||||
# move results folder
|
|
||||||
shutil.move(exp_folder_name, exp_folder_name + f"_{dataset}_{datetime.now().strftime('%Y-%m-%d_%H:%M:%S')}")
|
|
||||||
shutil.move("table.md", f"table_{dataset}_{datetime.now().strftime('%Y-%m-%d_%H:%M:%S')}.md")
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
if __name__ == "__main__":
|
||||||
fire.Fire(run) # run all the model
|
fire.Fire(ModelRunner) # run all the model
|
||||||
|
|||||||
@@ -61,7 +61,7 @@ class TCTS(Model):
|
|||||||
weight_lr=5e-7,
|
weight_lr=5e-7,
|
||||||
steps=3,
|
steps=3,
|
||||||
GPU=0,
|
GPU=0,
|
||||||
seed=0,
|
seed=None,
|
||||||
target_label=0,
|
target_label=0,
|
||||||
lowest_valid_performance=0.993,
|
lowest_valid_performance=0.993,
|
||||||
**kwargs
|
**kwargs
|
||||||
|
|||||||
@@ -74,7 +74,7 @@ class TRAModel(Model):
|
|||||||
lamb=0.0,
|
lamb=0.0,
|
||||||
rho=0.99,
|
rho=0.99,
|
||||||
alpha=1.0,
|
alpha=1.0,
|
||||||
seed=0,
|
seed=None,
|
||||||
logdir=None,
|
logdir=None,
|
||||||
eval_train=False,
|
eval_train=False,
|
||||||
eval_test=False,
|
eval_test=False,
|
||||||
@@ -99,8 +99,9 @@ class TRAModel(Model):
|
|||||||
if transport_method == "router" and not eval_train:
|
if transport_method == "router" and not eval_train:
|
||||||
self.logger.warning("`eval_train` will be ignored when using TRA.router")
|
self.logger.warning("`eval_train` will be ignored when using TRA.router")
|
||||||
|
|
||||||
np.random.seed(seed)
|
if seed is not None:
|
||||||
torch.manual_seed(seed)
|
np.random.seed(seed)
|
||||||
|
torch.manual_seed(seed)
|
||||||
|
|
||||||
self.model_config = model_config
|
self.model_config = model_config
|
||||||
self.tra_config = tra_config
|
self.tra_config = tra_config
|
||||||
|
|||||||
@@ -7,6 +7,7 @@ if TYPE_CHECKING:
|
|||||||
from qlib.backtest.exchange import Exchange
|
from qlib.backtest.exchange import Exchange
|
||||||
from qlib.backtest.position import BasePosition
|
from qlib.backtest.position import BasePosition
|
||||||
from typing import List, Tuple, Union
|
from typing import List, Tuple, Union
|
||||||
|
import pandas as pd
|
||||||
|
|
||||||
from ..model.base import BaseModel
|
from ..model.base import BaseModel
|
||||||
from ..data.dataset import DatasetH
|
from ..data.dataset import DatasetH
|
||||||
@@ -219,6 +220,8 @@ class ModelStrategy(BaseStrategy):
|
|||||||
self.model = model
|
self.model = model
|
||||||
self.dataset = dataset
|
self.dataset = dataset
|
||||||
self.pred_scores = convert_index_format(self.model.predict(dataset), level="datetime")
|
self.pred_scores = convert_index_format(self.model.predict(dataset), level="datetime")
|
||||||
|
if isinstance(self.pred_scores, pd.DataFrame):
|
||||||
|
self.pred_scores = self.pred_scores.iloc[:, 0]
|
||||||
|
|
||||||
def _update_model(self):
|
def _update_model(self):
|
||||||
"""
|
"""
|
||||||
|
|||||||
Reference in New Issue
Block a user