liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-06 04:20:57 +08:00
Code Activity

added KRNN and Sandwich models and their example results based on Alpha360 (#1414)

Browse Source 
* Update README.md

updated the result of KRNN and Sandwich models based on Alpha360

* Update README.md

* Update README.md

* Add files via upload

* Update README.md

* Update README.md

* Update README.md

* Add files via upload

* Delete pytorch_krnn.py

* Delete pytorch_sandwich.py

* Add files via upload

* Update pytorch_sandwich.py

* Update pytorch_krnn.py

* Update pytorch_sandwich.py

* Update pytorch_krnn.py

* Update README.md

* Update README.md

* Update requirements.txt

* Update requirements.txt

* Update README.md

* Update README.md

* Update pytorch_sandwich.py

* Update link on index

---------

Co-authored-by: Young <afe.young@gmail.com>
This commit is contained in:
yaxuan999
2023-05-26 18:42:58 +08:00
committed by GitHub
parent 19a0eb78bc
commit efffb2819a
10 changed files with 1096 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files

2
examples/benchmarks/README.md
View File

@@ -68,6 +68,8 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
| 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 |
| IGMTF(Wentao Xu, et al.) | Alpha360 | 0.0480±0.00 | 0.3589±0.02 | 0.0606±0.00 | 0.4773±0.01 | 0.0946±0.02 | 1.3509±0.25 | -0.0716±0.02 |
| HIST(Wentao Xu, et al.) | Alpha360 | 0.0522±0.00 | 0.3530±0.01 | 0.0667±0.00 | 0.4576±0.01 | 0.0987±0.02 | 1.3726±0.27 | -0.0681±0.01 |
| KRNN | Alpha360 | 0.0173±0.01 | 0.1210±0.06 | 0.0270±0.01 | 0.2018±0.04 | -0.0465±0.05 | -0.5415±0.62 | -0.2919±0.13 |
| Sandwich | Alpha360 | 0.0258±0.00 | 0.1924±0.04 | 0.0337±0.00 | 0.2624±0.03 | 0.0005±0.03 | 0.0001±0.33 | -0.1752±0.05 |
- The selected 20 features are based on the feature importance of a lightgbm-based model.