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1,931 Commits 46 Branches 26 Tags
v0.9.2
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517 Commits

Author SHA1 Message Date
Wendi Li
cd4ab998fb Update on Dynamic Benchmark (#1539) 
* move config file to benchmark_dynamic & switch default sim task model to GBDT

* Update benchmark_dynamic results

* Change the default value of alpha of DDG-DA
 2023-06-03 08:42:24 +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
Fivele-Li
370477288d fix_DDG-DA_workflow_bug (#1516) 
* 1.specify group_keys=False to avoid FutureWarning;
2.fix get train_start from dict unexpected problem;

* fix black

* Add comments

* Add make file

---------

Co-authored-by: Young <afe.young@gmail.com>
 2023-05-24 15:49:58 +08:00
Huoran Li
8d60a6a02b Resolve RL FIXMES (#1503) 
* Solve several small FIXMEs left in RL

* Add TODO in example

* Minor bugfix

* black
 2023-05-17 16:57:08 +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
Huoran Li
7f1e8c5206 Refine Qlib RL data format (#1480) 
* 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>
 2023-04-26 21:14:30 +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
Huoran Li
4dbb8ecb86 Remove (#1464) 2023-03-15 15:26:44 +08:00
Huoran Li
653c082e7a Order execution open source (#1447) 
* 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>
 2023-03-13 12:06:28 +08:00
Cadenza-Li
76f2fb1a1a Add ipynb format check (#1439) 
* Update test_qlib_from_source.yml

* add ipynb format check to workflow

* test ipynb CI

* modify nbqa check path

* add pylint flake8 mypy check to ipynb

* check ipynb with black and pylint

* reformat .ipynb files

* format line length

nbqa black . -l 120

* update nbqa .ipynb format CI

* format old ipynb files

* add nbconvert check to CI

* adjust CI order to avoid repeating download data
 2023-02-21 09:23:22 +08:00
Huoran Li
44ce91ee9d Simple RL notebook (#1395) 
* Simple RL notebook

* Add link to the notebook

Co-authored-by: Young <afe.young@gmail.com>
 2023-01-03 00:17:18 +08:00
Wendi Li
ebb8ec34f3 [DDG-DA] Update crowd-sourced data results (#1405) 
* [DDG-DA] Update crowd-sourced data experiments

* Remove internal data version

* Modify README
 2023-01-03 00:15:50 +08:00
Huoran Li
577923a9f0 Fix RL example bug (#1384) 
* Fix data pipeline

* Add TODO
 2022-12-06 20:49:56 +08:00
you-n-g
d44175e425 Fix RL command Error (#1382) 2022-12-05 09:39:26 +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
Lewen Wang
e182124e75 Add docs for qlib.rl (#1322) 
* Add docs for qlib.rl

* Update docs for qlib.rl

* Add homepage introduct to RL framework

* Update index Link

* Fix Icon

* typo

* Update catelog

* Update docs for qlib.rl

* Update docs for qlib.rl

* Update figure

* Update docs for qlib.rl

* Update setup.py

* FIx setup.py

* Update docs and fix some typos

* Fix the reference to RL docs

* Update framework.svg

* Update framework.svg

* Update framework.svg

* Update docs for qlibrl.

* Update docs for qlibrl.

* Update docs for Qlibrl.

* Update docs for qlibrl.

* Update docs for qlibrl.

* Update docs for qlibrl.

* Add new framework

* Update jpg

* Update framework.svg

* Update framework.svg

* Update Qlib framework and description

* Update grammar

* Update README.md

* Update README.md

* Update docs/component/rl.rst

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

* Update docs/component/rl.rst

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

* Update docs for qlib.rl

* Change theme for docs.

* Update docs for qlib.rl

* Update docs for qlib.rl

* Update docs for qlib.rl

* Update docs for qlib.rl.

* Update docs for qlib.rl

* Update docs for qlib.rl

* Update docs for qlib.rl

Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-11-10 21:10:44 +08:00
qianyun210603
94e420f755 Correct errors and typos in doc strings (#1338) 
* 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>
 2022-11-07 23:37:18 +08:00
Linlang
1861c8edaf optimize_CI (#1314) 2022-10-20 08:38:05 +08:00
Huoran Li
3c62d131a5 Migrate amc4th training (#1316) 
* Migrate amc4th training

* Refine RL example scripts

* Resolve PR comments

Co-authored-by: luocy16 <luocy16@mails.tsinghua.edu.cn>
 2022-10-19 10:17:43 +08:00
you-n-g
e762548295 Add docs for the reampling example. (#1285) 
* Update features_sample.py

* Update features_sample.py
 2022-09-14 18:02:19 +08:00
Jinge Wang
558603beca Add csi500 benchmark for MLP model. (#1215) 
* Add csi500 benchmark for MLP model.

* Update MLP metric for Alpha158 dataset.

Co-authored-by: vincilee <vincilee1994@outlook.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-08-05 16:57:40 +08:00
aprilpear
157481abd1 Add Linear model results on dataset=csi500 (#1210) 
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-08-05 16:53:49 +08:00
huajunzh-msft
9d7a0f032a Add result of doubleensemble model on CSI500 (#1201) 
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-08-05 16:50:26 +08:00
Ning Tang
58f9eed3c9 Update LightGBM alpha158 csi500 result (#1199) 
* Update the arguments of LightGBModel

* update README table

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-08-05 16:45:54 +08:00
lcrun
8f1e28c43f Add csi500 experiment result to CatBoost (#1197) 
Co-authored-by: canl@microsoft.com <canl@microsoft.com>
 2022-08-05 16:43:05 +08:00
EricChangMSR
8199822ca0 Update README.md fixed typo (#1221) 
Changed a typo from "carefully desgined by" to "carefully designed by"
 2022-07-22 09:20:55 +08:00
you-n-g
c65c598bde Update the math of Metrics (#1211) 
* Update the math of Metrics

* Update README.md

* Update README.md
 2022-07-18 21:24:56 +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
you-n-g
78b6b16640 Update README.md 2022-07-08 17:56:59 +08:00
you-n-g
b9bba4940f Update README.md 2022-07-08 17:56:25 +08:00
you-n-g
c34051c1ce Be compatible with Google Colab (#1188) 
* Update workflow_by_code.ipynb

* Update workflow_by_code.ipynb

* Update workflow_by_code.ipynb

* Update workflow_by_code.ipynb

* Update workflow_by_code.ipynb
 2022-07-08 14:23:25 +08:00
you-n-g
a0c83d7997 Add introduction for workflow_by_code.py (#1186) 
* Update workflow_by_code.py

* Update workflow_by_code.py
 2022-07-08 10:16:08 +08:00
you-n-g
82b10ee37a Update README.md (#1185) 2022-07-08 10:15:48 +08:00
you-n-g
58540f76ee Csi500 example (#1126) 
* Stage code

* Update results and scripts
 2022-06-15 10:18:13 +08:00
you-n-g
e24ef67663 Update README.md 2022-06-14 10:53:09 +08:00
you-n-g
2d5eecb9a2 Update README.md 2022-06-14 10:52:50 +08:00
you-n-g
c4281121e3 Update README.md (#1091) 
* Update README.md

* Fix typo
 2022-05-08 20:19:19 +08:00
you-n-g
9e381493c2 Add instructions to add models (#1088) 2022-05-05 21:27:24 +08:00
Chia-hung Tai
a73b60d05a Update detailed_workflow.ipynb (#1084) 
time_per_step bug.
 2022-05-03 15:11:27 +08:00
you-n-g
41447f320b fix tra dataset bug (#1050) 2022-04-15 17:15:44 +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
you-n-g
6edd0bf298 fix ddgda run all bug & pylint (#1031) 2022-04-03 20:43:02 +08:00
you-n-g
b7988e6428 Add backtest example to online simulation (#984) 2022-03-19 01:53:14 +08:00
you-n-g
d482726f28 Update README.md (#920) 2022-02-19 00:46:32 +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
Wendi Li
0e8b94a552 Update README.md (#915) 
Add the memory and disk requirement of DDG-DA.
 2022-02-15 09:27:51 +08:00
you-n-g
d496cf7476 Update Portfolio README.md (#900) 
* Update README.md

* Update README.md
 2022-02-07 16:04:11 +08:00
Young
6a946761cf Black(new version) Format 2022-02-06 22:33:16 +08:00