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Commit Graph

178 Commits

Author SHA1 Message Date
Linlang
2de9903200 fix_issue_1060 (#1092) 
* fix_issue_1060

* fix_import_error
 2022-05-07 20:59:06 +08:00
金戈
00e40e775b Fixed typos in workflow.rst (#1068) 
* Update workflow.rst

Fixed a typo. `please refer to Qlib Model` should be `please refer to Qlib Data` in Dataset section.

* Fix typo. `preprossing` should be `preprocessing`

* Update data.rst

Remove extra `of`.
 2022-04-27 18:36:47 +08:00
you-n-g
7f1293ec34 Update PIT.rst 2022-04-06 22:17:27 +08:00
Chao Wang
fe155703b0 update doc for TopK-Drop (#1015) 
updated doc for TopK-Drop.
 2022-03-29 09:18:37 +08:00
Linlang Lv (iSoftStone)
30e457119c add_pre-commit_and_flake8_to_CI 2022-03-25 16:56:02 +08:00
you-n-g
ff4724e248 Known Limitations In Recroder (#999) 2022-03-22 09:21:48 +08:00
you-n-g
b7988e6428 Add backtest example to online simulation (#984) 2022-03-19 01:53:14 +08:00
Linlang
705354cc28 fix-issue948 (#986) 
Co-authored-by: Linlang Lv (iSoftStone) <v-linlanglv@microsoft.com>
 2022-03-17 19:24:17 +08:00
you-n-g
1b5d0d4d6d Update report.rst (#980) 2022-03-15 21:30:50 +08:00
Chauncey
058f976727 Fix pit docs format (#957) 
* Fix pit docs list format

* Fix pit docs format
 2022-03-11 10:13:31 +08:00
bxdd
faa99f30fa Support Point-in-time Data Operation (#343) 
* add period ops class

* black format

* add pit data read

* fix bug in period ops

* update ops runnable

* update PIT test example

* black format

* update PIT test

* update tets_PIT

* update code format

* add check_feature_exist

* black format

* optimize the PIT Algorithm

* fix bug

* update example

* update test_PIT name

* add pit collector

* black format

* fix bugs

* fix try

* fix bug & add dump_pit.py

* Successfully run and understand PIT

* Add some docs and remove a bug

* mv crypto collector

* black format

* Run succesfully after merging master

* Pass test and fix code

* remove useless PIT code

* fix PYlint

* Rename

Co-authored-by: Young <afe.young@gmail.com>
 2022-03-10 14:27:52 +08:00
you-n-g
ed0c238787 Update initialization.rst 2022-03-02 21:39:44 +08:00
Linlang
80af395b3c Update initialization.rst (#941) 2022-03-02 20:51:37 +08:00
you-n-g
ec8969a3ae Update initialization.rst 2022-02-23 12:10:17 +08:00
you-n-g
60d45ad770 Enhance pytorch nn (#917) 
* enhance pytorch_nn

* fix dim bug

* Black format

* Fix pylint error
 2022-02-15 19:22:48 +08:00
you-n-g
4bf127eba5 Some links about high-frequency trading (#884) 
* Some links about high-frequency trading

* Update highfreq.rst

* Update highfreq.rst

* Update highfreq.rst
 2022-02-13 20:22:05 +08:00
you-n-g
c149c8616c Update strategy.rst 2022-02-12 23:10:46 +08:00
Young
6a946761cf Black(new version) Format 2022-02-06 22:33:16 +08:00
you-n-g
79355666a9 Docs improvement of backtest (#885) 
* Docs improvement of backtest

* Update strategy.rst
 2022-01-26 19:59:59 +08:00
you-n-g
c5834476e2 expression example (#887) 2022-01-25 10:49:00 +08:00
you-n-g
d533219738 Update data.rst (#878) 2022-01-21 14:08:59 +08:00
you-n-g
5b5c99fe75 Add more docs about initialization (#880) 
* Add more docs about initialization

* Update initialization.rst
 2022-01-21 14:08:04 +08:00
you-n-g
7f274b1e4e Fix code and docs for issues (#853) 
* Docs for model and strategy

* add some docs about workflow and online

* safe_load yaml

* DDG-DA paper link and comments for code
 2022-01-17 13:57:44 +08:00
you-n-g
d6f69aefea Update data.rst 2022-01-15 19:22:31 +08:00
you-n-g
1bebe9780e Fix the read the docs error (#852) 2022-01-15 19:15:06 +08:00
you-n-g
7a4a92bc69 Update data.rst 2022-01-14 13:17:52 +08:00
you-n-g
271782c9dd Update data.rst 2022-01-14 09:19:12 +08:00
you-n-g
cf35562e84 DDG-DA paper code (#743) 
* Merge data selection to main

* Update trainer for reweighter

* Typos fixed.

* update data selection interface

* successfully run exp after refactor some interface

* data selection share handler &  trainer

* fix meta model time series bug

* fix online workflow set_uri bug

* fix set_uri bug

* updawte ds docs and delay trainer bug

* docs

* resume reweighter

* add reweighting result

* fix qlib model import

* make recorder more friendly

* fix experiment workflow bug

* commit for merging master incase of conflictions

* Successful run DDG-DA with a single command

* remove unused code

* asdd more docs

* Update README.md

* Update & fix some bugs.

* Update configuration & remove debug functions

* Update README.md

* Modfify horizon from code rather than yaml

* Update performance in README.md

* fix part comments

* Remove unfinished TCTS.

* Fix some details.

* Update meta docs

* Update README.md of the benchmarks_dynamic

* Update README.md files

* Add README.md to the rolling_benchmark baseline.

* Refine the docs and link

* Rename README.md in benchmarks_dynamic.

* Remove comments.

* auto download data

Co-authored-by: wendili-cs <wendili.academic@qq.com>
Co-authored-by: demon143 <785696300@qq.com>
 2022-01-10 16:52:37 +08:00
Chia-hung Tai
184ce34a34 [807] Move the REG_CONSTANT/EPS to constant.py. (#811) 
* [807] Move the REG_CONSTANT to constant.py.

* import REG_US.

* Move EPS to constant.py.
 2022-01-09 21:39:46 +08:00
Chia-hung Tai
c633d3fec0 Fix BaseStrategy path. (#801) 
qlib.strategy.base.BaseStrategy is the current path.
 2022-01-04 18:55:40 +08:00
you-n-g
0b6d99bd38 Add a more understandable example of data workflow (#797) 
* Update data.rst

* Update data.rst
 2022-01-04 09:07:44 +08:00
SunsetWolf
dfc0ed3c01 fix_typo (#790) 
Signed-off-by: unknown <lv.linlang@qq.com>
 2021-12-31 22:14:47 +08:00
Dong Zhou
1b8f0b4575 support optimization based strategy (#754) 
* support optimization based strategy

* fix riskdata not found & update doc

* refactor signal_strategy

* add portfolio example

* Update examples/portfolio/prepare_riskdata.py

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

* fix typo

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

* fix typo

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

* update doc

* fix riskmodel doc

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>
 2021-12-28 18:44:20 +08:00
Chia-hung Tai
f490708025 Fix typo leanable to learnable. (#774) 2021-12-25 16:07:40 +08:00
you-n-g
41a5778684 Update strategy.rst 
Add docs for the prediction score
 2021-12-25 15:24:58 +08:00
you-n-g
ae83f9056f docs improvement (#730) 2021-12-07 21:45:29 +08:00
Pengrong Zhu
c276de4040 Fix backtest (#719) 
* modify FileStorage to support multiple freqs

* modify backtest's sample documentation

* change the logging level of read data exception from error to debug

* fix the backtest exception when volume is 0 or np.nan

* fix test_storage.py

* add backtest_daily

* modify backtest_daily's docstring

* add __repr__/__str__ to Position

* fix the bug of nested_decision_execution example

Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2021-12-07 19:04:23 +08:00
demon143
9265b66e09 Update task_management.rst (#700) 2021-11-18 18:23:43 +08:00
demon143
0596174b94 Update task_management.rst (#654) 
* Update task_management.rst

* Update task_management.rst

* Update task_management.rst

* Update task_management.rst

* Update task_management.rst

* Update task_management.rst

* Update task_management.rst

* Update task_management.rst

* Update task_management.rst

* Update task_management.rst

* Update task_management.rst

* Add files via upload
 2021-11-18 09:20:54 +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
you-n-g
7b15682c63 Update initialization.rst 2021-10-30 21:42:22 +08:00
Young
052aad7982 simplify signal parameter 2021-10-15 14:48:31 +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
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
demon143
b6a8bd5b80 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>
 2021-09-29 19:42:38 +08:00
demon143
6ee0fe366c 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>
 2021-09-27 21:44:06 +08:00
demon143
17d472cf01 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>
 2021-09-26 15:35:14 +08:00
Pengrong Zhu
867667531d Update FAQ.rst 2021-09-08 18:06:51 +08:00
you-n-g
3e75cead93 code standard docs 2021-08-12 09:19:57 +00:00