* Remove lr_decay and lr_decay_steps params
More flexible way to pass a scheduler (via callable function) is already
supported
* remove lr_decay and lr_decay_steps from mlp workflow configs
* wip
* wip
* wip
* Fix naming errors
* Backtest test passed
* Why training stuck?
* Minor
* Refine train configs
* Use dummy in training
* Remove pickle_dataframe
* CI
* CI
* Add more strict condition to filter orders
* Pass test
* Add TODO in example
---------
Co-authored-by: Young <afe.young@gmail.com>
* Waiting for bin data
* Complete readme
* CI
* Add inst filter by time
* Update qlib/data/dataset/processor.py
* typo
* Fix time filter bug
* Add Filter and set Universe
* Complete data pipeline
* Fix Provider Logger Info Args
* Add DQN; a minor bugfix in ppo reward.
* update readme. modify assertion logic in strategy check.
* Fix Doc issues and fix black
* Fix pylint Error
---------
Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
* Workflow runnable
* CI
* Slight changes to make the workflow runnable. The changes of handler/provider should be reverted before merging.
* Train experiment successful
* Refine handler & provider
* test passed
* Ready to test on server
* Minor
* Test passed
* TWAP training
* Add PPOReward
* Add a FIXME
* Refine PPO reward according to PR comments
* Minor
* Resolve PR comments
* CI issues
* CI issues
* CI issues
* Workflow runnable
* CI
* Slight changes to make the workflow runnable. The changes of handler/provider should be reverted before merging.
* Train experiment successful
* Refine handler & provider
* CI issues
* Resolve PR comments
* Resolve PR comments
* CI issues
* Fix test issue
* Black
* 1) check limit_up/down should consider direction; 2) fix some typo, typehint etc
* fix error
* Update test_all_pipeline.py
Believe it's just some arbitrary number.
The excess return is expected to change when trading logic changes.
* add flag forbid_all_trade_at_limit to keep previous behivour for backward compatibility
* config.py: fix typo; static method
* fix typo in qlib/utils/paral
* 1) limit numpy version as numba support for 1.24+ has not been released; 2) no need to use custom numba version for pytest.
* remove useless argument
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
* horizontally put the bar figures
* 1) use rangebreaks to handle gaps in datetime axis instead of make them string; 2) allow simultaneously plot rankic in ic_figure
* pylint improvement
* fix black lint
* better axis formatting
* default not show gaps
* resolve doc built error
* fix pylint
* Update qlib/contrib/report/analysis_model/analysis_model_performance.py
More detailed description
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
* Update qlib/contrib/report/analysis_model/analysis_model_performance.py
for Python backward compatibility
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
* add doc string
* fix black
* 1) limit numpy version as numba support for 1.24+ has not been released; 2) no need to use custom numba version for pytest.
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
* Update YahooNormalizeUS1dExtend(#1196)
* Prevent pandas read_csv errors while running update_data_to_bin for US region
* Fix parse_index error while running update_data_to_bin for US region
* prevent pandas.read_csv error on specific symbol names
* Reordering parameters for better rendering
* removes prefix during feature_dir existence checking
* add explanation comments
* Fix the Errors/Warnings when building Qlib's documentation
* Fix
* Fix
* Empty
* Test CI
* Add doc compiling checking to CI
* Fix
* Tries to be consistent with Makefile
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
* fix logging_level: make logging level specified in qlib.init apply to all loggers
* downgrade loglevel in expmanager __init__ to debug (it will be called in each process in multiprocessing operations such as read data)
* correct gramma error
* fix black lint
* use functor to cache loggers and set level
* correct black lint
* correct pylint
* correct pylint
* 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
* Optimize the implementation of uri
* remove redundant func
* Set the right order of _set_client_uri
* Update qlib/workflow/expm.py
* Simplify client & add test.Add docs; Fix async bug
* Fix comments & pylint
* Improve README
* 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 several todos
* CI issues
* Remove Dropna limitation of `quote_df` in Exchange (#1334)
* Remove Dropna limitation of `quote_df` of Exchange
* Impreove docstring
* Fix type error when expression is specified (#1335)
* Refine fill_missing_data()
* Remove several TODO comments
* Add back env for interpreters
* Change Literal import
* Resolve PR comments
* Move to SAOEState
* Add Trainer.get_policy_state_dict()
* Mypy issue
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
* Don't disable existing logger when initializing qlib.
* Add comma in the end of the config line.
* Add comment to the added config.
Co-authored-by: Jinge Wang <jingewang@microsoft.com>
* add missing parameters to doc string in order_generate
* fix some typos in doc strings
* reformat base on code style standard
* Update qlib/backtest/__init__.py
* Update examples/run_all_model.py
* Update examples/run_all_model.py
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
