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https://github.com/microsoft/qlib.git
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be4646b4b7
* Intermediate version * Fix yaml template & Successfully run rolling * Be compatible with benchmark * Get same results with previous linear model * Black formatting * Update black * Update the placeholder mechanism * Update CI * Update CI * Upgrade Black * Fix CI and simplify code * Fix CI * Move the data processing caching mechanism into utils. * Adjusting DDG-DA * Organize import
41 lines
1.2 KiB
Python
41 lines
1.2 KiB
Python
# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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from pathlib import Path
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from typing import Union
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import fire
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from qlib import auto_init
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from qlib.contrib.rolling.ddgda import DDGDA
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from qlib.tests.data import GetData
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DIRNAME = Path(__file__).absolute().resolve().parent
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BENCH_DIR = DIRNAME.parent / "baseline"
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class DDGDABench(DDGDA):
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# The config in the README.md
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CONF_LIST = [
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BENCH_DIR / "workflow_config_linear_Alpha158.yaml",
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BENCH_DIR / "workflow_config_lightgbm_Alpha158.yaml",
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]
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DEFAULT_CONF = CONF_LIST[0] # Linear by default due to efficiency
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def __init__(self, conf_path: Union[str, Path] = DEFAULT_CONF, horizon=20, **kwargs) -> None:
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# This code is for being compatible with the previous old code
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conf_path = Path(conf_path)
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super().__init__(conf_path=conf_path, horizon=horizon, working_dir=DIRNAME, **kwargs)
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for f in self.CONF_LIST:
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if conf_path.samefile(f):
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break
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else:
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self.logger.warning("Model type is not in the benchmark!")
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if __name__ == "__main__":
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GetData().qlib_data(exists_skip=True)
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auto_init()
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fire.Fire(DDGDABench)
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