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Code Activity
1,532 Commits 46 Branches 26 Tags
backtest_improve
Commit Graph

103 Commits

Author SHA1 Message Date
Young
3fa48d7017 simplify record tmp 2021-11-05 12:57:14 +00:00
Young
64130d9407 Fix the aggregation function of IndexData 2021-10-22 15:20:45 +08:00
Young
052aad7982 simplify signal parameter 2021-10-15 14:48:31 +00:00
Young
ac08468330 Make static prediction easier 2021-10-15 11:21:03 +00:00
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
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
you-n-g
b9809a4c33 make the prediction update more friendly (#609) 
* make the prediction update more friendly

* Update test_storage.py

* LabelUpdater

* Update test_storage.py

* Update test_storage.py

* Update test_storage.py

* Update test_storage.py

* Update setup.py

* Update workflow_config_lightgbm_Alpha158.yaml

* Update workflow_config_lightgbm_Alpha158.yaml

* Update workflow_config_lightgbm_Alpha158.yaml

* Update workflow_config_lightgbm_Alpha158.yaml

* Update workflow_config_lightgbm_Alpha158.yaml

* Update setup.py

* Update setup.py

* test CI only

* test CI only

* Update workflow_config_lightgbm_Alpha158.yaml

* Update setup.py

* fix "Segmentation fault" in macos

* Update test.yml

github action no longer supported ubuntu-16.04

* Update api.rst

update doc with new_lable

* Update api.rst

Co-authored-by: Wangwuyi123 <51237097+Wangwuyi123@users.noreply.github.com>
Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com>
 2021-09-30 20:54:44 +08:00
you-n-g
163e3c6266 replace multi processing with joblib (#477) 
* replace multi processing with joblib

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* Fix Parallel support for maxtasksperchild

Co-authored-by: wangw <1666490690@qq.com>
Co-authored-by: zhupr <zhu.pengrong@foxmail.com>
 2021-09-14 01:16:03 +08:00
you-n-g
51709c20d8 Supporting shared processor (#596) 
* Supporting shared processor

* fix readonly reverse bug

* remove pytests dependency

* with fit bug

* fix parameter error
 2021-09-13 17:11:08 +08:00
zhupr
707399a245 Fix duplicate mlflow directories in tests 2021-09-07 20:41:10 +08:00
Young
88d2f9263e fix sum index data bug 2021-09-02 01:57:44 +00:00
Young
5003e49197 fix metric calculation error 2021-09-02 09:56:38 +08:00
Young
5f0ee6ce68 fix bugs 2021-09-02 09:56:38 +08:00
Young
9a74471ab6 Pass basic tests 2021-09-02 09:56:38 +08:00
Young
d39c8de800 draft design 2021-09-02 09:56:38 +08:00
wangwenxi.handsome
f67b99a30e update exchange 2021-09-02 09:56:38 +08:00
Young
309dfa36cc Add a example to collecting all the decisions 2021-08-15 15:22:48 +00:00
wangwenxi-handsome
735153a50d Cash Update (#559) 
* fix negative cash

* update order test

* fix bug

* update file_order_test
 2021-08-12 23:44:22 +08:00
wangwenxi.handsome
7c858803f0 add position test 2021-08-08 14:32:33 +00:00
Young
0c946cffd6 add supporting setting trade unit in exchange 2021-07-07 10:47:54 +00:00
Young
bbf5d1bbbb add file order strategy 2021-06-30 07:34:23 +00:00
bxdd
b242d6e1e1 delMiniTimer in haandler storage test 2021-06-30 11:34:08 +08:00
bxdd
8d1b1979d9 update handler_storage test 2021-06-30 11:34:08 +08:00
bxdd
9985befe69 update HashingStockStorage 2021-06-30 11:34:08 +08:00
Young
9b91758aed performance optimization for cal_sam_minute 2021-06-28 17:47:30 +08:00
bxdd
4d48c96d30 fix CI 2021-06-01 18:50:50 +08:00
zhupr
ef11a9d95c modify the default value of exists_skip in the GetData.qlib_data parameter to False 2021-05-28 14:57:06 +08:00
zhupr
98eacf8f88 add test/config.py 2021-05-28 13:24:47 +08:00
zhupr
5da33562dd remove uri parameter from storage && modify file_storage 2021-05-26 12:33:57 +08:00
zhupr
669f6bd6f5 modify exception message hint for storage.py && fix FileFeatureStorage[:] bug 2021-05-22 02:06:15 +08:00
zhupr
8e6c744a1b Merge remote-tracking branch 'microsoft/main' into data_storage 2021-05-21 09:49:29 +08:00
zhupr
4ba4512619 add write method to FeatureStorage && remove extend 2021-05-21 08:45:11 +08:00
zhupr
317357b50d Modify data.storage 2021-04-13 10:47:01 +08:00
D-X-Y
0386df7b16 Collect all contrib models in __init__ and add unit tests for init 2021-03-28 10:39:28 +00:00
D-X-Y
8a2e7b62af Add segment args for pred and refine MultiSegRecord 2021-03-28 08:30:16 +00:00
D-X-Y
9d04ae4676 Add MultiSegRecord in contrib.workflow and decouple its tests from test_all_pipeline 2021-03-28 00:33:59 -07:00
zhupr
9b8acd9a82 Fix FileStorage 2021-03-27 01:15:33 +08:00
zhupr
8264033a72 add data-storage 2021-03-25 17:22:05 +08:00
you-n-g
023c1fedfe Merge pull request #280 from yongzhengqi/main 
Implement Enhanced Indexing as a Portfolio Optimizer
 2021-03-17 12:07:39 +08:00
D-X-Y
88b0871c12 Add RMSE for contrib.workflow.record_temp and unit tests 2021-03-16 22:55:28 +08:00
D-X-Y
b0fd0d2395 Add tests for SigAnaRecord 2021-03-16 08:30:46 +00:00
D-X-Y
6559d44c7d Add tests for SigAnaRecord 2021-03-16 08:17:13 +00:00
D-X-Y
9f57681032 Fix errors when SignalRecord is not called before SigAna/PortAna 2021-03-16 08:11:05 +00:00
D-X-Y
f6ed175070 Remove set_log_basic_config, refine count_parameters, rename root_uri as get_local_dir 2021-03-11 02:33:00 +00:00
Charles Young
53cf89d7c2 Reformat with black. 2021-03-08 19:43:03 +08:00
Charles Young
8b9065c166 Reformat with black. 2021-03-08 19:32:13 +08:00
Charles Young
351d598c9f Resolve https://github.com/microsoft/qlib/pull/280\#discussion_r589165409 2021-03-08 17:49:59 +08:00
Charles Young
81b86f8022 Update test to cover changes in structured_cov_estimator 2021-03-08 17:18:07 +08:00