* fix gramma error in doc strings
* fix typos in exchange.py
* fix typos and gramma errors
* fix typo and rename function param to avoid shading python keyword
* remove redundant parathesis; pass kwargs to parent class
* fix pyblack
* further correction
* assign -> be assigned to
* bug fix: 1) 100 should be used to scale down percentileofscore return to 0-1, not length of array; 2) for (linear) weighted MA(n), weight should be n, n-1, ..., 1 instead of n-1, ..., 0
* use native pandas fucntion for rank
* remove useless import
* require pandas 1.4+
* rank for py37+pandas 1.3.5 compatibility
* lint improvement
* lint black fix
* use hasattr instead of version to check whether rolling.rank is implemented
* update TSDataSampler
* reformat code with black
* use pre-commit to reformat the code
* Add documents
* More docstring
* More Safety
Co-authored-by: Young <afe.young@gmail.com>
* 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>
* 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>
* 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
* 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>
* 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>
* 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>
* 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>
