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1,625 Commits 46 Branches 26 Tags
d6f69aefea5370682d4e56fdb3716f3d423925bb
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89 Commits

Author SHA1 Message Date
you-n-g
d6f69aefea Update data.rst 2022-01-15 19:22:31 +08:00
you-n-g
7a4a92bc69 Update data.rst 2022-01-14 13:17:52 +08:00
you-n-g
271782c9dd Update data.rst 2022-01-14 09:19:12 +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
Chia-hung Tai
c633d3fec0 Fix BaseStrategy path. (#801) 
qlib.strategy.base.BaseStrategy is the current path.
 2022-01-04 18:55:40 +08:00
you-n-g
0b6d99bd38 Add a more understandable example of data workflow (#797) 
* Update data.rst

* Update data.rst
 2022-01-04 09:07:44 +08:00
SunsetWolf
dfc0ed3c01 fix_typo (#790) 
Signed-off-by: unknown <lv.linlang@qq.com>
 2021-12-31 22:14:47 +08:00
Dong Zhou
1b8f0b4575 support optimization based strategy (#754) 
* support optimization based strategy

* fix riskdata not found & update doc

* refactor signal_strategy

* add portfolio example

* Update examples/portfolio/prepare_riskdata.py

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* fix typo

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* fix typo

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* update doc

* fix riskmodel doc

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>
 2021-12-28 18:44:20 +08:00
Chia-hung Tai
f490708025 Fix typo leanable to learnable. (#774) 2021-12-25 16:07:40 +08:00
you-n-g
41a5778684 Update strategy.rst 
Add docs for the prediction score
 2021-12-25 15:24:58 +08:00
you-n-g
ae83f9056f docs improvement (#730) 2021-12-07 21:45:29 +08:00
Pengrong Zhu
c276de4040 Fix backtest (#719) 
* 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
Young
052aad7982 simplify signal parameter 2021-10-15 14:48:31 +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>

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
panshuaiyin
3810a4cd33 Update data.rst 
use own alpha-factor
 2021-07-22 20:07:04 +08:00
you-n-g
3b8087677c Update online.rst 2021-07-16 12:24:33 +08:00
xiaowuhu
dafef0ac08 Update workflow.rst 
should be China instead of china
 2021-07-06 09:22:11 +08:00
xiaowuhu
1cb43ea69b Update workflow.rst 
remove 空格 before module_path, kwargs, etc, otherwise, yaml parser will report error: ruamel.yaml.scanner.ScannerError: mapping values are not allowed here
 2021-07-06 09:21:14 +08:00
zhupr
0e277723a3 Merge remote-tracking branch 'qlib/main' into qlib_main 
# Conflicts:
#	scripts/data_collector/yahoo/README.md
 2021-06-24 00:09:54 +08:00
zhupr
1418417034 fix automatic update of daily frequency data 2021-06-23 23:59:59 +08:00
zhupr
b6c31540e8 add function to automatically update daily frequency data 2021-06-17 23:07:56 +08:00
you-n-g
4ff0c4fb0f Update strategy.rst 2021-05-31 08:52:41 +08:00
al
02e34eb9e9 Add import stock pool (csi300) in documentation 2021-05-30 08:27:21 +08:00
you-n-g
43cad1ec27 Merge pull request #442 from arisliang/patch-3 
Update 1min demo data in CSV format
 2021-05-28 11:22:10 +08:00
al
e409bee9b9 Update report.rst 
typo
 2021-05-28 07:54:45 +08:00
al
5a382d7e99 Update data.rst 
Update csv format according to feedback
 2021-05-27 12:40:55 +08:00
al
9b431bc503 Update 1min demo data in CSV format 2021-05-26 22:01:15 +08:00
you-n-g
d08146c30f Merge pull request #290 from you-n-g/online_srv 
init version of online serving and rolling
 2021-05-17 17:35:29 +08:00
lzh222333
8c3a08b18d Finally! 2021-05-17 07:27:55 +00:00
lzh222333
ebd01e0de5 Online Serving V11 2021-05-14 06:44:16 +00:00
Jactus
bd37f5d953 Fix bug and update doc 2021-05-13 14:21:54 +08:00
Dingsu Wang
81bd2ca8fb Merge branch 'microsoft:main' into stale 2021-05-09 17:59:46 +08:00
Jactus
724f9ba8d2 Update stale bot 2021-05-09 17:52:18 +08:00
lzh222333
84c56f13bd docs and bug fixed 2021-05-06 04:18:55 +00:00
you-n-g
5bc2b96346 Update data.rst 2021-05-03 12:34:08 +08:00
bxdd
4b56a4e907 fix doc 2021-03-22 18:45:27 +08:00
bxdd
7370d5af9e add label doc 2021-03-22 18:37:44 +08:00
bxdd
c6b67cb8fe fix doc 2021-03-22 18:37:13 +08:00
Hy
373f6e0900 another typo of docs 2021-03-13 15:47:26 +08:00
Hy
abddcfccdf fix typo of docs 2021-03-13 14:32:01 +08:00
Jactus
78bc2c8748 Update Filter doc 2021-03-09 17:31:27 +08:00
lbaiao
0b11dc5167 Update workflow.rst 
Corrected an identation problem on the configuration.yaml file.
 2021-02-11 10:54:32 +08:00
Miae Kim
12c8bfa545 Fix typo in Data Layer 
Commit changes
 2021-02-08 10:29:37 +08:00
bxdd
477a548fe9 update data.rst docs 2021-02-05 12:33:47 +08:00
Jactus
c71b645777 Update docs about record-temp 2021-02-05 12:32:47 +08:00
zhupr
fc1431cd4e update 1min docs 2021-02-04 16:49:58 +08:00
zhupr
1a8f1bfc57 support collecting yahoo 1min data 2021-01-27 10:59:46 +08:00
bxdd
a762248d98 update test&docs 2021-01-22 01:06:32 +09:00
bxdd
c622d3f6f8 Update data.rst 2021-01-20 18:55:30 +08:00