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480 Commits

Author SHA1 Message Date
you-n-g
c4281121e3 Update README.md (#1091) 
* Update README.md

* Fix typo
 2022-05-08 20:19:19 +08:00
you-n-g
9e381493c2 Add instructions to add models (#1088) 2022-05-05 21:27:24 +08:00
Chia-hung Tai
a73b60d05a Update detailed_workflow.ipynb (#1084) 
time_per_step bug.
 2022-05-03 15:11:27 +08:00
you-n-g
41447f320b fix tra dataset bug (#1050) 2022-04-15 17:15:44 +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
2952c443ca Add Qlib notebook tutorial (#1037) 
* Add Qlib notebook tutorial

* Update tutorial
 2022-04-08 21:29:41 +08:00
you-n-g
6edd0bf298 fix ddgda run all bug & pylint (#1031) 2022-04-03 20:43:02 +08:00
you-n-g
b7988e6428 Add backtest example to online simulation (#984) 2022-03-19 01:53:14 +08:00
you-n-g
d482726f28 Update README.md (#920) 2022-02-19 00:46:32 +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
Wendi Li
0e8b94a552 Update README.md (#915) 
Add the memory and disk requirement of DDG-DA.
 2022-02-15 09:27:51 +08:00
you-n-g
d496cf7476 Update Portfolio README.md (#900) 
* Update README.md

* Update README.md
 2022-02-07 16:04:11 +08:00
Young
6a946761cf Black(new version) Format 2022-02-06 22:33:16 +08:00
dependabot[bot]
d7d19feb4e Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TabNet (#898) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-27 11:17:01 +08:00
dependabot[bot]
bba6972a55 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/Transformer (#897) 
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 2022-01-27 11:16:54 +08:00
dependabot[bot]
18af288692 Bump numpy from 1.17.4 to 1.21.0 in /examples/hyperparameter/LightGBM (#896) 
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 2022-01-27 11:16:48 +08:00
dependabot[bot]
ba056850cb Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/XGBoost (#895) 
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 2022-01-27 11:16:41 +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
you-n-g
303cdb8ce3 update required package for test 2022-01-19 13:10:46 +08:00
you-n-g
1a0ac1ab6d Remove arctic from Qlib core to Contrib (#865) 
* Remove arctic from Qlib core to Contrib

* fix empty df bug
 2022-01-19 10:39:37 +08:00
dependabot[bot]
86e1265f69 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/ADARNN (#870) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:17:25 +08:00
dependabot[bot]
628eb7fa73 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/ADD (#869) 
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 2022-01-18 22:17:15 +08:00
dependabot[bot]
2a1b512cd2 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/ALSTM (#868) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:17:04 +08:00
dependabot[bot]
50e7901e87 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/CatBoost (#867) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:16:47 +08:00
dependabot[bot]
3ba54cd1ab Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/DoubleEnsemble (#866) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:16:23 +08:00
dependabot[bot]
483d01f0c1 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/GRU (#833) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:16:13 +08:00
dependabot[bot]
61836cba3d Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/LightGBM (#830) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:16:03 +08:00
dependabot[bot]
aeb5e40c77 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/SFM (#829) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
- [Release notes](https://github.com/numpy/numpy/releases)
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 2022-01-18 22:14:50 +08:00
dependabot[bot]
116f0fa7a7 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TCTS (#834) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:13:57 +08:00
dependabot[bot]
5296cce725 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/GATs (#831) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:13:29 +08:00
dependabot[bot]
292fcc9e98 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TRA (#832) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:13:23 +08:00
dependabot[bot]
d3fbf066cf Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/Localformer (#835) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:13:06 +08:00
dependabot[bot]
52ecb79e0b Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/MLP (#836) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:12:57 +08:00
dependabot[bot]
59c52eac0a Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TCN (#837) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-18 22:12:42 +08:00
dependabot[bot]
f455305a2a Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/LSTM (#838) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
- [Release notes](https://github.com/numpy/numpy/releases)
- [Changelog](https://github.com/numpy/numpy/blob/main/doc/HOWTO_RELEASE.rst.txt)
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 2022-01-18 22:12:34 +08:00
luocy16
2bb8a4ce0e Supporting Arctic Backend Provider & Orderbook, Tick Data Example (#744) 
* change weight_decay & batchsize

* del weight_decay

* big weight_decay

* mid weight_decay

* small layer

* 2 layer

* full layer

* no weight decay

* divide into two data source

* change parse field

* delete some debug

* add Toperator

* new format of arctic

* fix cache bug to arctic read

* fix connection problem

* add some operator

* final version for arcitc

* clear HZ cache

* remove not used function

* add topswrappers

* successfully import data and run first test

* A simpler version to support arctic

* Successfully run all high-freq expressions

* Black format and fix add docs

* Add docs for download and test data

* update scripts and docs

* Add docs

* fix bug

* Refine docs

* fix test bug

* fix CI error

* clean code

Co-authored-by: bxdd <bxddream@gmail.com>
Co-authored-by: wangwenxi.handsome <wangwenxi.handsome@gmail.com>
Co-authored-by: Young <afe.young@gmail.com>
 2022-01-18 09:13:11 +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
d0113ea7df pylint code refine & Fix nested example (#848) 
* refine code by CI

* fix argument error

* fix nested eample
 2022-01-14 09:09:21 +08:00
you-n-g
0304df0d5b Update README.md 2022-01-10 16:56:18 +08:00
Young
181ee3c070 FIX File Name 2022-01-10 16:55:20 +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
SunsetWolf
dfc0ed3c01 fix_typo (#790) 
Signed-off-by: unknown <lv.linlang@qq.com>
 2021-12-31 22:14:47 +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
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
you-n-g
3493f29e16 Enhance Task Dict Var (#778) 2021-12-26 00:18:44 +08:00
you-n-g
0552120a2e Update documents for qlib_uri 2021-12-20 14:18:53 +08:00
you-n-g
6c83632fc4 Update README.md 2021-12-14 18:13:04 +08:00
Pengrong Zhu
c10c349b20 remove unneeded code from workflow_by_code.ipynb && fix analysis_model_performance (#740) 2021-12-11 13:23:00 +08:00
you-n-g
ae83f9056f docs improvement (#730) 2021-12-07 21:45:29 +08:00