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Commit Graph

228 Commits

Author SHA1 Message Date
you-n-g
0e9ac9dce7 Fix CI (#1529) 2023-05-31 08:39:52 +08:00
yaxuan999
efffb2819a added KRNN and Sandwich models and their example results based on Alpha360 (#1414)
* Update README.md

updated the result of KRNN and Sandwich models based on Alpha360

* Update README.md

* Update README.md

* Add files via upload

* Update README.md

* Update README.md

* Update README.md

* Add files via upload

* Delete pytorch_krnn.py

* Delete pytorch_sandwich.py

* Add files via upload

* Update pytorch_sandwich.py

* Update pytorch_krnn.py

* Update pytorch_sandwich.py

* Update pytorch_krnn.py

* Update README.md

* Update README.md

* Update requirements.txt

* Update requirements.txt

* Update README.md

* Update README.md

* Update pytorch_sandwich.py

* Update link on index

---------

Co-authored-by: Young <afe.young@gmail.com>
2023-05-26 18:42:58 +08:00
Fivele-Li
19a0eb78bc Fix TCN model input dimension mismatch (#1520)
* transpose dimension 1 and 2 to match nn.Conv1d input

* 1.update TCN benchmarks;
2.Emphasize updating the benchmark table;

* replace specific version with main

---------

Co-authored-by: lijinhui <362237642@qq.com>
2023-05-26 14:44:34 +08:00
Maksim Zayakin
9e22e5168b Remove unused DNNModelPytorch params (#1470)
* 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
2023-04-28 17:48:40 +08:00
you-n-g
32c3070b73 Refine DDG-DA (#1472)
* Run ddg-da successfully

* Support include valid; More parameters

* Support L2 reg & visualization

* Blackformat

* Enable fill_method

* Support specify handler & optim dataset

* Fix Pylint
2023-04-07 15:00:21 +08:00
YQ Tsui
5e3924d7a6 fix some typo in doc/comments (#1389)
* fix typo in docstrings

* fix typo

* fix typo

* fix black lint

* fix black lint
2022-12-11 14:29:16 +08:00
Di
7e5bab599a Add early stopping to double ensemble model, add example (#1375)
* Add early stopping to double ensemble model, add example

* Fix lint error
2022-11-28 14:02:44 +08:00
YQ Tsui
cc01812c62 Fix typos and grammar errors in docstrings and comments (#1366)
* 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
2022-11-20 14:15:59 +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
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
YaOzI
3e6e2865ce Fixed a few mixed Chinese punctuation typos (#1123) 2022-06-14 20:12:14 +08:00
Linlang
1ef8e61abd fix_pylint_for_CI (#1119)
* fix_pylint_for_CI

* reformat_with_black

* fix_pylint_C3001

* fix_flake8_error
2022-06-09 16:12:33 +08:00
Linlang
701b18af1b fix_issue_715 (#1070)
* fix_issue_715

* fix_issue_1065

Co-authored-by: Linlang Lv (iSoftStone) <v-linlanglv@microsoft.com>
2022-04-28 16:09:31 +08:00
Tuozhen Liu
30b531086c Fixed issue #943 about TCTS init_fore_model (#1047)
p.init_fore_model = False -> p.requires_grad = False
2022-04-14 11:23:08 +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
2952c443ca Add Qlib notebook tutorial (#1037)
* Add Qlib notebook tutorial

* Update tutorial
2022-04-08 21:29:41 +08:00
Linlang Lv (iSoftStone)
30e457119c add_pre-commit_and_flake8_to_CI 2022-03-25 16:56:02 +08:00
you-n-g
b7988e6428 Add backtest example to online simulation (#984) 2022-03-19 01:53:14 +08:00
Chia-hung Tai
829ad9f5e9 Use callback in LGBM.train. (#974) 2022-03-13 11:20:18 +08:00
you-n-g
528f74af09 performance mprovement (#921)
* performance mprovement

* memory refine
2022-02-19 18:36:23 +08:00
you-n-g
cfc3e886ed Add data analysis feature for report (#918)
* Add data analysis feature for report

* better display
2022-02-17 08:24:42 +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
you-n-g
3274e16c95 Support Reweighter for HighFreq Model (#908) 2022-02-07 21:45:53 +08:00
you-n-g
357ee74b6f Update pytorch_lstm_ts.py 2022-02-07 00:05:49 +08:00
aurora5161
5da5cf5175 add weight param (#907) 2022-02-06 22:34:00 +08:00
Young
6a946761cf Black(new version) Format 2022-02-06 22:33:16 +08:00
SunsetWolf
144e1e2459 Fix pylint (#888)
* add_pylint_to_workflow

* fix-pylint

* fix_pylinterror

* fix-issue
2022-01-26 19:27:24 +08:00
you-n-g
01afd06e18 fix workflow bug (#882)
* fix workflow bug

* Fix output of pytorch NN

* Fix parameter bug
2022-01-22 10:18:37 +08:00
you-n-g
bdf1fb29a6 Fix pytorch_nn.py step bug (#864)
* Update pytorch_nn.py

* Update pytorch_nn.py
2022-01-18 22:39:19 +08:00
luocy16
2bb8a4ce0e Supporting Arctic Backend Provider & Orderbook, Tick Data Example (#744)
* 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>
2022-01-18 09:13:11 +08:00
you-n-g
d0113ea7df pylint code refine & Fix nested example (#848)
* refine code by CI

* fix argument error

* fix nested eample
2022-01-14 09:09:21 +08:00
Jiabao Qu
8261965015 fix: highfreq_gdbt_model of prepare data (#846)
Co-authored-by: Jiabao Qu <qujiabao@logiocean.com>
2022-01-12 21:36:23 +08:00
Jiabao Qu
6f71f8a46b chore: remove hard code input dimension of model pytorch_tcts (#843)
Co-authored-by: Jiabao Qu <qujiabao@logiocean.com>
2022-01-12 19:12:20 +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
Chia-hung Tai
184ce34a34 [807] Move the REG_CONSTANT/EPS to constant.py. (#811)
* [807] Move the REG_CONSTANT to constant.py.

* import REG_US.

* Move EPS to constant.py.
2022-01-09 21:39:46 +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
622303b83a add map_location to torch.load to make it work when cuda is unavailable (#782) 2021-12-29 00:02:04 +08:00
cuicorey
350fbe91c9 Change BCELoss in MLP model (#756) 2021-12-20 19:03:33 +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
fengcunguang
f0b9a807ea Add A New Baseline: TCN (#668) 2021-11-04 20:30:52 +08:00
Mark Zhao
5ee2d9496b GPU identification bug fix for GATs (#669)
* check lexsort

* check lexsort

* lexsort comment

* lexsort comment

* fix GPU identification bug
2021-11-03 14:41:46 +08:00
you-n-g
e41c0ac90a Adjusting gbdt.py's parameter (#660)
* Update gbdt.py

* Update gbdt.py

* Update gbdt.py
2021-10-28 19:43:05 +08:00
you-n-g
334b92ace7 Checking dataset empty (#647)
* Checking dataset empty

* add dataset checker
2021-10-14 23:35:12 +08:00
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
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
you-n-g
fc243fd29b Fix Models (#483)
* fix gat dataset

* fix tft model

* Update tft.py

* Fix tft.py

Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com>
2021-09-30 13:11:06 +08:00
Christian Clauss
b8d1e08010 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
2021-09-14 12:13:27 +08:00
Dong Zhou
8f4d320832 bug fix & use oracle transport pretrain 2021-08-30 07:32:04 +00:00
Dong Zhou
0483406c12 fix tra when logdir is None 2021-08-02 03:57:14 -07:00