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fixed a problem with multi index caused by the default value of groupkey (#1917)

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* fixed a problem with multi index caused by the default value of groupkey

* modify group_key default value

* limit pandas verion

* format with black

* fix docs error

* fix docs error

* fixed bugs caused by pandas upgrade

* remove needless code

* reformat with black

* limit version & add docs
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Linlang
2025-05-13 16:02:49 +08:00
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parent df557d29d5
commit fbba768006
43 changed files with 153 additions and 98 deletions
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README.md
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@@ -462,6 +462,14 @@ python run_all_model.py run 10
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).
### Break change
In `pandas`, `group_key` is one of the parameters of the `groupby` method. From version 1.5 to 2.0 of `pandas`, the default value of `group_key` has been changed from `no default` to `True`, which will cause qlib to report an error during operation. So we set `group_key=False`, but it doesn't guarantee that some programmes will run correctly, including:
* qlib\examples\rl_order_execution\scripts\gen_training_orders.py
* qlib\examples\benchmarks\TRA\src\dataset.MTSDatasetH.py
* qlib\examples\benchmarks\TFT\tft.py
## [Adapting to Market Dynamics](examples/benchmarks_dynamic)
Due to the non-stationary nature of the environment of the financial market, the data distribution may change in different periods, which makes the performance of models build on training data decays in the future test data.