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217 Commits

Author SHA1 Message Date
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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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.
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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.
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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
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
Pengrong Zhu
8c8d1336de fix workflow_config_lightgbm_multi_freq.yaml (#635) 2021-10-06 17:18:27 +08:00
Young
48a860c8b7 fix backtest yaml 2021-09-30 18:43:36 +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>

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* 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

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* Update docs/start/initialization.rst

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* 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

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* Delete change doc.gif

* Add files via upload

* Update README.md

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* 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

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* 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

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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

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2021-09-30 20:54:44 +08:00
you-n-g
fc243fd29b Fix Models (#483)
* fix gat dataset

* fix tft model

* Update tft.py

* Fix tft.py

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2021-09-30 13:11:06 +08:00
Dong Zhou
5279e71423 Merge pull request #591 from evanzd/fix_tra
Fix TRA
2021-09-11 18:48:13 +08:00