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

Author SHA1 Message Date
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
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
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
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
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
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
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
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
Young
6a946761cf Black(new version) Format 2022-02-06 22:33:16 +08:00
dependabot[bot]
d7d19feb4e Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TabNet (#898) 
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bba6972a55 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/Transformer (#897) 
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 2022-01-27 11:16:54 +08:00
dependabot[bot]
ba056850cb Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/XGBoost (#895) 
Bumps [numpy](https://github.com/numpy/numpy) from 1.17.4 to 1.21.0.
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 2022-01-27 11:16:41 +08:00
you-n-g
aed5b8ebc0 Update Benchmark Docs (#899) 
* Update README.md

* Update README.md

* Update README.md
 2022-01-27 11:16:24 +08:00
dependabot[bot]
86e1265f69 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/ADARNN (#870) 
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 2022-01-18 22:17:25 +08:00
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628eb7fa73 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/ADD (#869) 
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2a1b512cd2 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/ALSTM (#868) 
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dependabot[bot]
50e7901e87 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/CatBoost (#867) 
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 2022-01-18 22:16:47 +08:00
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3ba54cd1ab Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/DoubleEnsemble (#866) 
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483d01f0c1 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/GRU (#833) 
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 2022-01-18 22:16:13 +08:00
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61836cba3d Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/LightGBM (#830) 
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 2022-01-18 22:16:03 +08:00
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aeb5e40c77 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/SFM (#829) 
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 2022-01-18 22:14:50 +08:00
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116f0fa7a7 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TCTS (#834) 
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 2022-01-18 22:13:57 +08:00
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5296cce725 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/GATs (#831) 
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 2022-01-18 22:13:29 +08:00
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292fcc9e98 Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TRA (#832) 
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d3fbf066cf Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/Localformer (#835) 
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52ecb79e0b Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/MLP (#836) 
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59c52eac0a Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TCN (#837) 
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f455305a2a Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/LSTM (#838) 
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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
SunsetWolf
dfc0ed3c01 fix_typo (#790) 
Signed-off-by: unknown <lv.linlang@qq.com>
 2021-12-31 22:14:47 +08:00
Chao Ning
6bafd0a09b Reformat example data names: use {region}_data for 1-day data, and {region}_data_1min for 1-min data (#781) 
* Fix high-freq data name from `yahoo_cn_1min` to `cn_data_1min`

* re-format example data names using `qlib_{region}_{feq}`, e.g. qlib_cn_1d

* re-format example data names using `{region}_{feq}`, e.g. us_1d and cn_1min

* keep using  for 1day data, and change 1min data to
 2021-12-28 23:58:49 +08:00
cslwqxx
f9c35284e1 Update README.md 2021-11-23 15:58:32 +08:00
fengcunguang
654033733d Add A New Baseline: ADD (#704) 2021-11-22 18:16:50 +08:00