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1,835 Commits 46 Branches 26 Tags
1d65d28b284fd53760fbad2ef66d861bbaca74e3
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Author SHA1 Message Date
Huoran Li
1d65d28b28 Qlib simulator refinement (redo of PR 1244) (#1262) 
* Use dict-like configuration

* Rename from_neutrader to integration

* SAOE strategy

* Optimize file structure

* Optimize code

* Format code

* create_state_maintainer_recursive

* Remove explicit time_per_step

* CI test passed

* Resolve PR comments

* Pass all CI

* Minor test issue

* Refine SAOE adapter logic

* Minor bugfix

* Cherry pick updates

* Resolve PR comments

* CI issues

* Refine adapter & saoe_data logic

* Resolve PR comments

* Resolve PR comments

* Rename ONE_SEC to EPS_T; complete backtest loop

* CI issue

* Resolve Yuge's PR comments
 2022-08-24 14:09:45 +08:00
路旁的叶修
e78fe48a26 Update signal_strategy.py (#1251) 2022-08-22 17:45:54 +08:00
OussCHE
8480407150 fixes #1187 error "Please install necessary libs for CatBoostModel." (#1246) 
* Update __init__.py

* Update __init__.py
 2022-08-22 17:17:07 +08:00
you-n-g
a25b736c64 Refine type hint and recorder (#1248) 
* Refine type hint and recorder

* log environment automatically

* Add literal annotation

* fix type hint bug 3.7
 2022-08-12 22:48:13 +08:00
Hyeongmin Moon
75aae820e8 Add simplified download command (#1234) 
* Simplify the download command(microsoft#1232)

* Update simplified download instruction
 2022-08-05 17:41:16 +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
you-n-g
e7c660f0d4 More time for slow test (#1247) 2022-08-05 16:34:21 +08:00
Huoran Li
2752bdc92c Migrate NeuTrader to Qlib RL (#1169) 
* Refine previous version RL codes

* Polish utils/__init__.py

* Draft

* Use | instead of Union

* Simulator & action interpreter

* Test passed

* Migrate to SAOEState & new qlib interpreter

* Black format

* . Revert file_storage change

* Refactor file structure & renaming functions

* Enrich test cases

* Add QlibIntradayBacktestData

* Test interpreter

* Black format

* .

.

.

* Rename receive_execute_result()

* Use indicator to simplify state update

* Format code

* Modify data path

* Adjust file structure

* Minor change

* Add copyright message

* Format code

* Rename util functions

* Add CI

* Pylint issue

* Remove useless code to pass pylint

* Pass mypy

* Mypy issue

* mypy issue

* mypy issue

* Revert "mypy issue"

This reverts commit 8eb1b0174e.

* mypy issue

* mypy issue

* Fix the numpy version incompatible bug

* Fix a minor typing issue

* Try to skip python 3.7 test for qlib simulator

* Resolve PR comments by Yuge; solve several CI issues.

* Black issue

* Fix a low-level type error

* Change data name

* Resolve PR comments. Leave TODOs in the code base.

Co-authored-by: Young <afe.young@gmail.com>
 2022-08-01 09:56:07 +08:00
wony
687edd79d0 Update __init__.py (#1213) 
# BUGFIX: remove_fields_space() function will drop Feature object field
 2022-07-26 12:20:35 +08:00
Dao Zhang
ba705d39e0 add liability (#1230) 
* add liability

* Update scripts/data_collector/fund/README.md

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

Co-authored-by: Dao Zhang <daoz@microsoft.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-07-26 10:41:06 +08:00
you-n-g
a53f59cdf7 Update handler.py to fix CI (#1227) 
* Update handler.py

* Update handler.py
 2022-07-25 10:19:09 +08:00
you-n-g
8e063828f9 Update test_qlib_from_source_slow.yml (#1222) 2022-07-22 11:15:52 +08:00
Di
86f08e47e8 Qlib data doc (#1207) 
* Explain data crawler structure

* Add documentation for data and feature

* Update scripts/data_collector/yahoo/README.md

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

* Remove some confusing wording

* Add third party data source

* Fix command typo

* Update commands

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-07-22 09:24:58 +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
Yuchen Fang
1b9915501c Add data handler for order book data (#1212) 
* order book

* clean hx
 2022-07-20 23:33:51 +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
you-n-g
fb5779a64c Update docs of strategy (#1209) 2022-07-18 08:53:46 +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
6fddae9965 Update getdata.rst 2022-07-15 17:58:23 +08:00
you-n-g
107d716cf8 Update Data Updating Docs (#1203) 
* Update README.md

* Update README.md

* Update README.md
 2022-07-15 14:19:02 +08:00
you-n-g
792285b64f Update data.rst 2022-07-14 18:25:23 +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
c34051c1ce Be compatible with Google Colab (#1188) 
* Update workflow_by_code.ipynb

* Update workflow_by_code.ipynb

* Update workflow_by_code.ipynb

* Update workflow_by_code.ipynb

* Update workflow_by_code.ipynb
 2022-07-08 14:23:25 +08:00
you-n-g
a0c83d7997 Add introduction for workflow_by_code.py (#1186) 
* Update workflow_by_code.py

* Update workflow_by_code.py
 2022-07-08 10:16:08 +08:00
you-n-g
82b10ee37a Update README.md (#1185) 2022-07-08 10:15:48 +08:00
plpycoin
9b446f9a92 Update __init__.py (#1177) 
chore: bugfix, darwin also contains a "win" :), so ...
 2022-07-07 20:04:24 +08:00
YaOzI
59b1820447 Add a make.bat file in docs folder for Windows (#1131) 
Co-authored-by: Bingyao Liu <Bingyao.Liu@sofund.com>
 2022-07-07 19:44:16 +08:00
YaOzI
1dededa33f Improve the style of documentation (#1132) 
This commit improves the documentation (rst files) only in the
following three ways:

* Aligned section headers with their underline/overline punctuation characters

* Deleted all trailling whitespaces in rst files

* Deleted a few trailling newlines at the end of the rst files

Co-authored-by: Bingyao Liu <Bingyao.Liu@sofund.com>
 2022-07-07 19:42:27 +08:00
Hyeongmin Moon
e62684eddf fix bug on TRA dataset (#1135) 
* fix bug on TRA dataset

solve issue "qrun TRA model error (#1062)"

* apply black pylint
 2022-07-07 19:33:50 +08:00
Lewen Wang
8a5efda0f6 Update README.md (#1179) 2022-07-07 00:06:47 +08:00
you-n-g
a6700d81ff Update test_qlib_from_source_slow.yml's timeout setting. (#1178) 
* Update test_qlib_from_source_slow.yml

* Update test_qlib_from_source.yml

* Update test_pit.py

* Update test_pit.py

* Update test_pit.py

* Update test_pit.py
 2022-07-06 20:44:10 +08:00
you-n-g
623774d8fb Update README.md 2022-07-06 17:44:16 +08:00
Chao Wang
3db22452fb Adding ChangeInstrument op (#1005) 
* add ChangeInstrument to ops

Adding Change instrument OP. This op allows one to use  features of a different instrument.

* Update __init__.py

update parse_field to accommodate ChangeInstrument

* Propose test

* Add test case and fix bug

* Update ops.py

* Update ops.py

* simplify the operator further

* implement abstract method

* fix arg bug

* clean test

Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-07-04 08:45:26 +08:00
you-n-g
b655f90511 Fix mount path bug (#1129) 
* Fix mount path bug

* Update __init__.py
 2022-07-03 21:30:08 +08:00
you-n-g
5e404909cf Add retry for git actions & Fix MacOS Segment Error (#1173) 
* Update test_qlib_from_source_slow.yml

* Update test_qlib_from_source.yml

* Update test_qlib_from_source.yml

* Update test_qlib_from_pip.yml

* Update test_qlib_from_source.yml
 2022-07-01 09:52:42 +08:00
Huoran Li
23c657a7a2 Backtest Mypy (#1130) 
* Done

* Fix test errors

* Revert profit_attribution.py

* Minor

* A minor update on collect_data type hint

* Resolve PR comments

* Use black to format code

* Fix CI errors
 2022-06-28 22:16:46 +08:00
you-n-g
9bf3423a64 Auto log uncommmitted code (#1167) 
* Auto log uncommmitted code

* Support set record name & trainer;

* Update recorder.py
 2022-06-28 19:53:21 +08:00
Yuge Zhang
25ecb1135f Qlib RL framework (stage 2) - trainer (#1125) 
* checkpoint

(cherry picked from commit 1a8e0bd4671ee6d624a7d09bb198a273282cd050)

* Not a workable version

(cherry picked from commit 3498e185684cd5590d3ab97e0ab69eab8c1e0e3a)

* vessel

* ckpt

* .

* vessel

* .

* .

* checkpoint callback

* .

* cleanup

* logger

* .

* test

* .

* add test

* .

* .

* .

* .

* New reward

* Add train API

* fix mypy

* fix lint

* More comment

* 3.7 compat

* fix test

* fix test

* .

* Resolve comments

* fix typehint
 2022-06-28 19:53:05 +08:00
Linlang
2ca0d88d2d change_pitdata_source (#1171) 
* change_pitdata_source

* retain_normalize

* add_comment
 2022-06-28 16:29:59 +08:00
Linlang
50d74b5560 split_CI (#1141) 2022-06-28 10:17:29 +08:00
you-n-g
a87b02619a Qlib dev doc (#1142) 2022-06-21 09:46:30 +08:00
you-n-g
da676a20a2 Add time limit for CI (#1127) 
* Add time limit for CI

* Update test_macos.yml
 2022-06-16 16:35:20 +08:00
you-n-g
13d904d9a9 Update Version To Dev 2022-06-15 14:53:54 +08:00
Young
36950b905d Update Qlib Version v0.8.6 2022-06-15 14:48:54 +08:00
you-n-g
58540f76ee Csi500 example (#1126) 
* Stage code

* Update results and scripts
 2022-06-15 10:18:13 +08:00