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157481abd1b0dc0d45d5c8d48c902ebcaeed4f97
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227 Commits

Author SHA1 Message Date
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
78b6b16640 Update README.md 2022-07-08 17:56:59 +08:00
you-n-g
b9bba4940f Update README.md 2022-07-08 17:56:25 +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
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
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
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
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) 
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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 2022-01-27 11:16:54 +08:00
dependabot[bot]
ba056850cb Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/XGBoost (#895) 
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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 2022-01-27 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
dependabot[bot]
86e1265f69 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/ADARNN (#870) 
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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) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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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.
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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.
- [Release notes](https://github.com/numpy/numpy/releases)
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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
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
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
cslwqxx
f9c35284e1 Update README.md 2021-11-23 15:58:32 +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
Mark Zhao
b18132dce1 More citations (#673) 
* check lexsort

* check lexsort

* lexsort comment

* lexsort comment

* fix GPU identification bug

* Create README.md

* Update README.md

* Create README.md

* Create README.md

* Update README.md

* Create README.md

* Update README.md

* Update README.md

* Create README.md

* Create README.md

* Create README.md
 2021-11-05 19:43:50 +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
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