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1,532 Commits 46 Branches 26 Tags
backtest_improve
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Author SHA1 Message Date
Dong Zhou
5ac9dd7221 temporarily fix create exp conflicts for remote mlflow 2021-11-12 05:16:17 +00:00
you-n-g
7efec6bbc4 Fix private import 2021-11-08 09:52:55 +08:00
Young
3fa48d7017 simplify record tmp 2021-11-05 12:57:14 +00:00
Young
4f2d6b0d84 fix pytorch memory amount error 2021-11-02 20:41:39 +08:00
Young
3943b7001f fix CI bug for AyncCaller 2021-11-02 14:32:09 +08:00
Young
2593185721 Simplify TSDataset and async recorder 2021-11-02 11:07:40 +08:00
Young
7a884fa9f2 remove redundant file only when remote artifact 2021-11-01 18:55:44 +08:00
Dong Zhou
d929d4bb21 rm recorder temp file 2021-11-01 09:29:44 +00:00
Young
e54b019ee2 solve init kwargs conflictions 2021-11-01 06:22:25 +00:00
Young
426b98a3bc make the logic of online manager cleaner 2021-11-01 02:40:54 +00:00
Young
82f8ff9066 Update seperate dataframe 2021-11-01 00:51:21 +08:00
Young
31e9d529de Add multi horizon task generator 2021-10-28 00:01:19 +08:00
Young
5fa56703ae add handler pickle attr, enhance init_instance_by_config 2021-10-26 23:32:33 +08:00
Dong Zhou
c6bb11fe56 avoid trade without enough cash 2021-10-25 05:46:19 +00:00
Dong Zhou
3d7ebd1fe0 add back trade_val 2021-10-22 10:13:15 +00:00
Dong Zhou
7313b4dad0 fix impact cost 2021-10-22 08:58:37 +00:00
Dong Zhou
b70caff522 add doc 2021-10-22 08:49:20 +00:00
Dong Zhou
96b422a906 support market impact cost 2021-10-22 08:44:47 +00:00
Young
64130d9407 Fix the aggregation function of IndexData 2021-10-22 15:20:45 +08:00
Young
a58bc03a8e add sepdf(make mini project only rely on qlib) 2021-10-21 13:15:02 +00:00
Young
f537222ce3 make handler seperable 2021-10-21 12:38:24 +00:00
Dong Zhou
c427c64845 fix calendar 2021-10-19 06:17:53 +00:00
Young
22ff8fdc44 simple change log 2021-10-16 17:14:37 +00:00
Young
4efb0a75c1 Being compatible with previous Qlib version 2021-10-16 16:43:38 +00:00
Young
052aad7982 simplify signal parameter 2021-10-15 14:48:31 +00:00
Young
12f05c7182 Merge branch 'backtest_improve' of github.com:microsoft/qlib into backtest_improve 2021-10-15 11:27:33 +00:00
Young
ac08468330 Make static prediction easier 2021-10-15 11:21:03 +00:00
Dong Zhou
df9745f134 support empty order 2021-10-15 09:07:03 +00:00
Dong Zhou
2e49a5f7c0 fix order generator 2021-10-15 07:04:47 +00:00
you-n-g
3ab5721448 Fix OrderGenerator's return value 2021-10-15 14:28:08 +08:00
you-n-g
6a94b45503 Update order_generator.py 2021-10-15 13:52:55 +08:00
you-n-g
7c31012b50 Auto injecting model and dataset for Recorder (#645) 
* Auto injecting model and dataset for Recorder

* Support using Feature in expression
 2021-10-15 13:50:24 +08:00
you-n-g
334b92ace7 Checking dataset empty (#647) 
* Checking dataset empty

* add dataset checker
 2021-10-14 23:35:12 +08:00
you-n-g
9a175d7507 improve the doc of auto init (#541) 
* improve the doc of auto init

* Update setup.py

* Update setup.py

* change cvxpy version

Co-authored-by: Wangwuyi123 <51237097+Wangwuyi123@users.noreply.github.com>
 2021-10-12 11:58:27 +08:00
Lewen Wang
17ea44e0cf Update TCTS. (#643) 
* Update TCTS.

* Update TCTS README.

* Update TCTS README.

* Update TCTS.

Co-authored-by: lewwang <lwwang@microsoft.com>
 2021-10-12 10:08:48 +08:00
you-n-g
c0ce712be9 more detailed docs for workflow (#639) 
* more detailed docs for workflow

* add more detailed docs for workflow
 2021-10-11 15:38:18 +08:00
demon143
8e81a017c1 Update manage.py (#628) 
* Update manage.py

* Update manage.py

* Update manage.py

* Create manage.py

* Update manage.py

* Update qlib/workflow/task/manage.py

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2021-10-11 15:37:50 +08:00
you-n-g
706727988c Update README.md 2021-10-09 23:37:07 +08:00
you-n-g
e99224e5c2 Update benchmark based on new backtest (#634) 
* free random seed

* update model baselines

* more robust for parameters
 2021-10-07 22:57:19 +08:00
Pengrong Zhu
8c8d1336de fix workflow_config_lightgbm_multi_freq.yaml (#635) 2021-10-06 17:18:27 +08:00
Pengrong Zhu
d01de411a8 add support for macos-11 (#630) 
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2021-10-03 16:49:17 +08:00
Young
28fe4d4bb4 update file strategy test 2021-10-03 14:58:37 +08:00
Young
873129aa9b update fix CI tests bugs 2021-10-03 14:58:37 +08:00
Young
3a152f9b8b fix CI 2021-10-03 14:58:37 +08:00
Young
2b75b41a08 remove 3.6 2021-10-03 14:58:37 +08:00
you-n-g
00d17f0a52 Update python-publish.yml 2021-10-01 03:03:26 +08:00
you-n-g
6bec33e854 Merge pull request #438 from microsoft/nested_decision_exe 
Support Highfreq Backtest with the Model/Rule/RL Strategy
v0.8.0a1 		2021-10-01 02:47:53 +08:00
Young
48a860c8b7 fix backtest yaml 2021-09-30 18:43:36 +00:00
Young
4099050935 Merge remote-tracking branch 'origin/main' into nested_decision_exe 2021-09-30 18:41:15 +00:00
wangwenxi-handsome
3760a18a8d Merge nested main (#597) 
* MVP for Indian Stocks in qlib using yahooquery

* cleaned with black

* cleaned with black

* add YahooNormalizeIN and YahooNormalizeIN1d

* cleaned the code

* added 1min for IN and also updated readme

* update comments

* fix comments

* recorder support upload both raw file and directory

* fix comments

* Update README.md

* Fix docs of QlibRecorder

* sort index after loader (#538)

make sure the fetch method is based on a index-sorted pd.DataFrame

* refactor online serving rolling api

* refactor TRA

* format by black

* fix horizon

* fix TRA when use single head

* clean up

* improve pretrain

* update README

* fix tra when logdir is None

* fix tra when logdir is None

* Update strategy.py

* Update README.md

* Update README.md

* Conda Suggestion

* code standard docs

* Update ensemble.py (#560)

* Fix CI  Bug (#575)


Co-authored-by: yuxwang <anduinnn@foxmail.com>

* Update gen.py (#576)

* Fix multi-process loop calls (#574)

* check lexsort in the 'lazy_sort_index' function (#566)

* check lexsort

* check lexsort

* lexsort comment

* lexsort comment

* Delete .DS_Store

* Update README.md

* bug fix & use oracle transport pretrain

* mend

* Add `backend_freq_config` parameter, support multi-freq uri

* Add sample_config to QlibDataLoader, support multi-freq

* add multi-freq example

* get_cls_kwargs renamed get_callable_kwargs

* support multi-freq uri

* Add inst_processors to D.features

* Fix typo

* Fix the index type of the multi-freq example

* Fix duplicate mlflow directories in tests

* Add DataPathManager to QlibConfig && modify inst_processors to supports list only

* Modify the default value in the multi_freq example

* Modify client-server mode and dataset-cache to disable inst_processor

* Add wheel package to github CI

* fix comment

* Update FAQ.rst

* Update README.md

Fix wrong link

* Update the docs of TaskManager (#586)

* Update manage.py

* update yaml

* update run_all_model

* Modify the Feature to be case sensitive (#589)

* update README

* remove verbose

* fix spell bug

* fix typos (#592)

* Update Release Note

* fix portfolio bug

* Add calendar support for resample

* add freq kwargs

* test.yml: Remove redundant code (#595)

* Supporting shared processor (#596)

* Supporting shared processor

* fix readonly reverse bug

* remove pytests dependency

* with fit bug

* fix parameter error

* fix comments

* Fix undefined names in Python code (#599)

* Update pytorch_tabnet.py

$ `flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics`
```
./qlib/qlib/contrib/model/pytorch_tabnet.py:567:38: F821 undefined name 'inp'
            self.independ.append(GLU(inp, out_dim, vbs=vbs))
                                     ^
./qlib/examples/model_rolling/task_manager_rolling.py:75:18: F821 undefined name 'task_train'
        run_task(task_train, self.task_pool, experiment_name=self.experiment_name)
                 ^
2     F821 undefined name 'task_train'
2
```

* Fix undefined names in Python code

* from qlib.model.trainer import task_train

* update seed

* fix some docstring

* add comments

* Fix SimpleDatasetCache

* Update setup.py

updated classifiers

* Update setup.py

change to matplotlib==3.3

* Update python-publish.yml

added python 3.9

* updategrade version number

* Update model list

* fix the type of filter_pipe

* fix comment

* fix record_temp

* update cvxpy version

* Update code_standard.rst (#587)

* Update code_standard.rst

* Update docs/developer/code_standard.rst

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* Add file lock for MLflowExpManager (#619)

* fix torch version

* Share version number (#620)

* Update initialization.rst (#622)

* Update initialization.rst

* Update docs/start/initialization.rst

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* Update docs/start/initialization.rst

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* fix bugs for running previous exmaple

* fix deal amount bug

* update change doc (#623)

* Add files via upload

* Update README.md

* Update README.md

* Update README.md

* Delete change doc.gif

* Add files via upload

* Update README.md

* Delete change doc.gif

* Add files via upload

* Delete change doc.gif

* Add files via upload

* Update README.md

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* update doc

* simplify run all model

* fix run all model bug

* Fix Models (#483)

* fix gat dataset

* fix tft model

* Update tft.py

* Fix tft.py

Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com>

* type and skip empty exp

* fix model yaml config

* fix tft import bug

* skip empty result

* fix model and yaml bug

* fix wrong generate parameter

* Modify multi-freq example (#626)

* modify the example of multi-freq

* add Copyright

* add a comment to average_ops.py

* modify the example of multi-freq

* add comment to multi_freq_handler.py

* add the Ref expression description to multi_freq_handler.py

* add expression description to multi_freq_handler.py

* update images

* fix workflow and update framework

Co-authored-by: Gaurav <2796gaurav@gmail.com>
Co-authored-by: 2796gaurav <17353992+2796gaurav@users.noreply.github.com>
Co-authored-by: bxdd <bxd98@126.com>
Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
Co-authored-by: Dong Zhou <Zhou.Dong@microsoft.com>
Co-authored-by: ZhangTP1996 <ztp18@mails.tsinghua.edu.cn>
Co-authored-by: demon143 <59681577+demon143@users.noreply.github.com>
Co-authored-by: Wangwuyi123 <51237097+Wangwuyi123@users.noreply.github.com>
Co-authored-by: yuxwang <anduinnn@foxmail.com>
Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com>
Co-authored-by: Mark Zhao <50850474+markzhao98@users.noreply.github.com>
Co-authored-by: cslwqxx <cslwqxx@users.noreply.github.com>
Co-authored-by: Dong Zhou <evanzd@users.noreply.github.com>
Co-authored-by: SaintMalik <37118134+saintmalik@users.noreply.github.com>
Co-authored-by: Christian Clauss <cclauss@me.com>
Co-authored-by: Anurag Kumar <mailanu98@gmail.com>
Co-authored-by: demon143 <785696300@qq.com>
 2021-10-01 02:15:30 +08:00