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49 lines
1.4 KiB
Python
49 lines
1.4 KiB
Python
# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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import sys
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from pathlib import Path
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import qlib
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import fire
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import yaml
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import pandas as pd
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from qlib.config import REG_CN
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from qlib.utils import exists_qlib_data, init_instance_by_config
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from qlib.workflow import R
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from qlib.workflow.record_temp import SignalRecord, PortAnaRecord
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# worflow handler function
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def workflow(config_path):
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with open(config_path) as fp:
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config = yaml.load(fp, Loader=yaml.FullLoader)
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provider_uri = config.get("PROVIDER_URI")
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if not exists_qlib_data(provider_uri):
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print(f"Qlib data is not found in {provider_uri}")
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sys.path.append(str(Path(__file__).resolve().parent.parent.joinpath("scripts")))
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from get_data import GetData
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GetData().qlib_data_cn(target_dir=provider_uri)
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qlib.init(provider_uri=provider_uri, region=REG_CN)
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# model initiaiton
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model = init_instance_by_config(config.get("TASK")["model"])
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dataset = init_instance_by_config(config.get("TASK")["dataset"])
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# start exp
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with R.start("workflow"):
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model.fit(dataset)
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# prediction
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recorder = R.get_recorder()
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sr = SignalRecord(model, dataset, recorder)
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sr.generate()
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# backtest
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par = PortAnaRecord(recorder, config.get("PORT_ANALYSIS_CONFIG"))
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par.generate()
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if __name__ == "__main__":
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fire.Fire(workflow) |