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50 Commits

Author SHA1 Message Date
Fivele-Li
b4b7a2fdd4 depress warning with pandas option_context (#1524) 
Co-authored-by: Cadenza-Li <362237642@qq.com>
 2023-08-01 19:02:04 +08:00
yaxuan999
efffb2819a added KRNN and Sandwich models and their example results based on Alpha360 (#1414) 
* 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>
 2023-05-26 18:42:58 +08:00
Fivele-Li
19a0eb78bc Fix TCN model input dimension mismatch (#1520) 
* transpose dimension 1 and 2 to match nn.Conv1d input

* 1.update TCN benchmarks;
2.Emphasize updating the benchmark table;

* replace specific version with main

---------

Co-authored-by: lijinhui <362237642@qq.com>
 2023-05-26 14:44:34 +08:00
Jinge Wang
558603beca Add csi500 benchmark for MLP model. (#1215) 
* Add csi500 benchmark for MLP model.

* Update MLP metric for Alpha158 dataset.

Co-authored-by: vincilee <vincilee1994@outlook.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-08-05 16:57:40 +08:00
aprilpear
157481abd1 Add Linear model results on dataset=csi500 (#1210) 
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-08-05 16:53:49 +08:00
huajunzh-msft
9d7a0f032a Add result of doubleensemble model on CSI500 (#1201) 
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-08-05 16:50:26 +08:00
Ning Tang
58f9eed3c9 Update LightGBM alpha158 csi500 result (#1199) 
* Update the arguments of LightGBModel

* update README table

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-08-05 16:45:54 +08:00
lcrun
8f1e28c43f Add csi500 experiment result to CatBoost (#1197) 
Co-authored-by: canl@microsoft.com <canl@microsoft.com>
 2022-08-05 16:43:05 +08:00
EricChangMSR
8199822ca0 Update README.md fixed typo (#1221) 
Changed a typo from "carefully desgined by" to "carefully designed by"
 2022-07-22 09:20:55 +08:00
you-n-g
c65c598bde Update the math of Metrics (#1211) 
* Update the math of Metrics

* Update README.md

* Update README.md
 2022-07-18 21:24:56 +08:00
Lewen Wang
d149c2b177 Use average weights in DoubleEnsemble. (#1205) 
* Use average weights in DoubleEnsemble.

* Use average weights in DoubleEnsemble.

Co-authored-by: lwwang1995 <lewenwang@msrawsa02.corp.microsoft.com>
 2022-07-17 23:02:46 +08:00
you-n-g
82b10ee37a Update README.md (#1185) 2022-07-08 10:15:48 +08:00
you-n-g
58540f76ee Csi500 example (#1126) 
* Stage code

* Update results and scripts
 2022-06-15 10:18:13 +08:00
you-n-g
9e381493c2 Add instructions to add models (#1088) 2022-05-05 21:27:24 +08:00
Wentao Xu
87926513cb Add the HIST and IGMTF model on Alpha360 (#1040) 
* Commit the code of HIST and IGMTF on Alpha360

* add stock index

* Update README.md

* delete useless code

* fix the bug of code format with black

* fix pylint bugs

* fix the bugs of pylint

* fix pylint bugs

* fix flake8
 2022-04-14 01:45:49 +08:00
you-n-g
d482726f28 Update README.md (#920) 2022-02-19 00:46:32 +08:00
you-n-g
aed5b8ebc0 Update Benchmark Docs (#899) 
* Update README.md

* Update README.md

* Update README.md
 2022-01-27 11:16:24 +08:00
Chao Ning
6bafd0a09b Reformat example data names: use {region}_data for 1-day data, and {region}_data_1min for 1-min data (#781) 
* Fix high-freq data name from `yahoo_cn_1min` to `cn_data_1min`

* re-format example data names using `qlib_{region}_{feq}`, e.g. qlib_cn_1d

* re-format example data names using `{region}_{feq}`, e.g. us_1d and cn_1min

* keep using  for 1day data, and change 1min data to
 2021-12-28 23:58:49 +08:00
fengcunguang
654033733d Add A New Baseline: ADD (#704) 2021-11-22 18:16:50 +08:00
Lewen Wang
007082a112 Add AdaRNN baseline. (#689) 
* Update TCTS.

* Update TCTS README.

* Update TCTS README.

* Update TCTS.

* Add ADARNN.

* Update README.

* Reformat ADARNN.

* Add README for adarnn.

Co-authored-by: lewwang <lwwang@microsoft.com>
 2021-11-16 11:24:43 +08:00
you-n-g
7800dd4ec9 Merge pull request #650 from microsoft/backtest_improve 
Improve the backtest design and APIs
 2021-11-08 09:10:33 +08:00
fengcunguang
f0b9a807ea Add A New Baseline: TCN (#668) 2021-11-04 20:30:52 +08:00
you-n-g
df36839a7f Update README.md 2021-10-30 21:36:15 +08:00
Young
22ff8fdc44 simple change log 2021-10-16 17:14:37 +00:00
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
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
Dong Zhou
f35254c288 update README 2021-09-10 07:38:22 +00:00
Dong Zhou
da1f4db968 update README 2021-07-30 16:05:07 +08:00
Ying-Tao Luo
698e59ac72 Add performance of two new models 
Add the performance of transformer and localformer.
 2021-07-22 11:05:39 +08:00
you-n-g
6d91f28474 Update README.md 2021-07-14 10:07:02 +08:00
Lewen Wang
ace7484304 Update TCTS. (#495) 
* Update TCTS Model.

Co-authored-by: lewwang <lwwang@microsoft.com>
 2021-07-04 16:45:05 +08:00
zhupr
bab50e8837 fix YahooNormalize1min && update docs 2021-06-23 16:13:26 +08:00
Alex Wang
941c980d06 update tabnet 2021-04-14 17:35:19 +08:00
D-X-Y
67fbdafe76 Fix many bugs in TabNet and use_gpu 2021-03-12 02:42:25 +00:00
meng-ustc
6e2ce6f1dc Add the results of DoubleEnsemble 2021-03-02 12:17:05 +09:00
Alex Wang
5da5ad4b9f tabnet 2021-01-22 19:16:57 +08:00
you-n-g
328cdeda4a Update README.md 2021-01-07 11:12:49 +08:00
Dingsu Wang
7372a3a598 Merge branch 'main' into main 2020-12-17 14:43:21 +08:00
Jactus
4b4cd38ca6 Update benchmark results 2020-12-17 14:41:12 +08:00
Jactus
bba94d72dc Add author names 2020-12-11 17:19:12 +08:00
Jactus
d6dd423dc2 Update benchmark performance 2020-12-11 17:19:12 +08:00
Jactus
c10955d026 Update tft 2020-12-11 14:33:16 +08:00
Jactus
d642c7b6ea Update benchmark performance 2020-12-11 09:55:37 +08:00
Jactus
a5c098de92 Update tft results 2020-12-09 17:20:36 +08:00
Jactus
6ef339b1ec Update mlp results and add doc 2020-12-09 17:20:36 +08:00
Jactus
579caa757c Update readme 2020-12-09 17:20:36 +08:00
Jactus
a1e579ff39 Update readme 2020-12-09 17:20:36 +08:00
Jactus
217019a640 Update benchmark readme 2020-12-09 17:20:36 +08:00
Jactus
c14404afe1 Add benchmark results 2020-12-09 17:20:36 +08:00