Huoran Li
bee05f56ef
Migrate backtest logic from NT ( #1263 )
...
* Backtest migration
* Minor bug fix in test
* Reorganize file to avoid loop import
* Fix test SAOE bug
* Remove unnecessary names
* Resolve PR comments; remove private classes;
* Fix CI error
* Resolve PR comments
* Refactor data interfaces
* Remove convert_instance_config and change config
* Pylint issue
* Pylint issue
* Fix tempfile warning
* Resolve PR comments
* Add more comments
2022-09-19 14:54:26 +08:00
Huoran Li
7c64ea5c08
Fix _update_dealt_order_amount bug. ( #1291 )
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* Fix bug
* A weird Mypy issue
2022-09-14 14:14:20 +08:00
Huoran Li
1d65d28b28
Qlib simulator refinement (redo of PR 1244) ( #1262 )
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* 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
Huoran Li
2752bdc92c
Migrate NeuTrader to Qlib RL ( #1169 )
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* 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 8eb1b0174eafe.young@gmail.com >
2022-08-01 09:56:07 +08:00
Huoran Li
23c657a7a2
Backtest Mypy ( #1130 )
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* 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
Huoran Li
89972f6c6f
Refine backtest codes ( #1120 )
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* Refine backtest code
* Keep working
* Minor
* Resolve PR comments
* Fix import error
* Fix import error
2022-06-10 12:14:48 +08:00
Linlang Lv (iSoftStone)
5200ff520a
fix_download_data_for_CI
2022-03-25 16:56:02 +08:00
Linlang Lv (iSoftStone)
30e457119c
add_pre-commit_and_flake8_to_CI
2022-03-25 16:56:02 +08:00
cuicorey
2ac964c470
Fix error message in position.py ( #922 )
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* Update position.py
* Update position.py
fix CI error
2022-03-06 23:42:02 +08:00
SunsetWolf
144e1e2459
Fix pylint ( #888 )
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* add_pylint_to_workflow
* fix-pylint
* fix_pylinterror
* fix-issue
2022-01-26 19:27:24 +08:00
you-n-g
d0113ea7df
pylint code refine & Fix nested example ( #848 )
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* refine code by CI
* fix argument error
* fix nested eample
2022-01-14 09:09:21 +08:00
Chia-hung Tai
184ce34a34
[807] Move the REG_CONSTANT/EPS to constant.py. ( #811 )
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* [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
you-n-g
f59cfe51e0
Fix account shared bug ( #791 )
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* Fix account shared bug
* fix bug in nested executor
2021-12-31 15:56:21 +08:00
you-n-g
4709909782
Add hook for supporting RL strategy ( #768 )
2021-12-27 12:16:36 +08:00
Pengrong Zhu
957f9a18e9
fix IndexError of the last trading day in backtest calendar ( #751 )
2021-12-17 11:11:56 +08:00
you-n-g
e99f00b445
Add method parameter for volume ( #734 )
2021-12-09 10:45:25 +08:00
Pengrong Zhu
c276de4040
Fix backtest ( #719 )
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* 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 >
2021-12-07 19:04:23 +08:00
you-n-g
d4b56d97b5
Update __init__.py
2021-11-18 18:22:09 +08:00
Dong Zhou
c6bb11fe56
avoid trade without enough cash
2021-10-25 05:46:19 +00:00
Dong Zhou
3d7ebd1fe0
add back trade_val
2021-10-22 10:13:15 +00:00
Dong Zhou
7313b4dad0
fix impact cost
2021-10-22 08:58:37 +00:00
Dong Zhou
b70caff522
add doc
2021-10-22 08:49:20 +00:00
Dong Zhou
96b422a906
support market impact cost
2021-10-22 08:44:47 +00:00
Young
64130d9407
Fix the aggregation function of IndexData
2021-10-22 15:20:45 +08:00
Dong Zhou
c427c64845
fix calendar
2021-10-19 06:17:53 +00:00
Young
052aad7982
simplify signal parameter
2021-10-15 14:48:31 +00:00
Young
12f05c7182
Merge branch 'backtest_improve' of github.com:microsoft/qlib into backtest_improve
2021-10-15 11:27:33 +00:00
Young
ac08468330
Make static prediction easier
2021-10-15 11:21:03 +00:00
Young
28fe4d4bb4
update file strategy test
2021-10-03 14:58:37 +08:00
wangwenxi-handsome
3760a18a8d
Merge nested main ( #597 )
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* 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 >
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com >
* 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
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com >
* Update docs/start/initialization.rst
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com >
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com >
* 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
* Add files via upload
* Delete change doc.gif
* Add files via upload
* Update README.md
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com >
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com >
* 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
Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com >
* 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
Co-authored-by: Gaurav <2796gaurav@gmail.com >
Co-authored-by: 2796gaurav <17353992+2796gaurav@users.noreply.github.com >
Co-authored-by: bxdd <bxd98@126.com >
Co-authored-by: Young <afe.young@gmail.com >
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com >
Co-authored-by: Dong Zhou <Zhou.Dong@microsoft.com >
Co-authored-by: ZhangTP1996 <ztp18@mails.tsinghua.edu.cn >
Co-authored-by: demon143 <59681577+demon143@users.noreply.github.com >
Co-authored-by: Wangwuyi123 <51237097+Wangwuyi123@users.noreply.github.com >
Co-authored-by: yuxwang <anduinnn@foxmail.com >
Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com >
Co-authored-by: Mark Zhao <50850474+markzhao98@users.noreply.github.com >
Co-authored-by: cslwqxx <cslwqxx@users.noreply.github.com >
Co-authored-by: Dong Zhou <evanzd@users.noreply.github.com >
Co-authored-by: SaintMalik <37118134+saintmalik@users.noreply.github.com >
Co-authored-by: Christian Clauss <cclauss@me.com >
Co-authored-by: Anurag Kumar <mailanu98@gmail.com >
Co-authored-by: demon143 <785696300@qq.com >
2021-10-01 02:15:30 +08:00
you-n-g
6203e4c09e
Update the docs of Report
2021-09-13 17:53:34 +08:00
Young
88d2f9263e
fix sum index data bug
2021-09-02 01:57:44 +00:00
wangwenxi.handsome
f71b0c1189
250s
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
919380597b
close and reindex
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
4da3f3b104
broadcast_to and get single data
2021-09-02 09:56:38 +08:00
Young
5003e49197
fix metric calculation error
2021-09-02 09:56:38 +08:00
Young
5f0ee6ce68
fix bugs
2021-09-02 09:56:38 +08:00
Young
9a74471ab6
Pass basic tests
2021-09-02 09:56:38 +08:00
Young
d39c8de800
draft design
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
43a8f502ed
fix bug
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
7ee4a207bc
add lru
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
25f54ddaeb
new high freq struc
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
d9ad8ff791
index_data
2021-09-02 09:56:38 +08:00
Young
13a9b7cea0
type error bug
2021-09-02 09:56:38 +08:00
Young
9c326fd398
add import order
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
f111e34bd2
align interface
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
be0d9e6a22
update freq
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
e134c358fd
fix index data bug
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
16b954866f
get_base_info
2021-09-02 09:56:38 +08:00
