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112 lines
3.0 KiB
Python
112 lines
3.0 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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import shutil
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import unittest
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from pathlib import Path
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import qlib
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from qlib.config import C
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from qlib.contrib.workflow import MultiSegRecord, SignalMseRecord
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from qlib.utils import init_instance_by_config, flatten_dict
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from qlib.workflow import R
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from qlib.tests import TestAutoData
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market = "csi300"
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benchmark = "SH000300"
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###################################
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# train model
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###################################
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data_handler_config = {
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"start_time": "2008-01-01",
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"end_time": "2020-08-01",
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"fit_start_time": "2008-01-01",
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"fit_end_time": "2014-12-31",
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"instruments": market,
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}
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task = {
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"model": {
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"class": "LGBModel",
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"module_path": "qlib.contrib.model.gbdt",
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"kwargs": {
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"loss": "mse",
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"colsample_bytree": 0.8879,
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"learning_rate": 0.0421,
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"subsample": 0.8789,
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"lambda_l1": 205.6999,
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"lambda_l2": 580.9768,
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"max_depth": 8,
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"num_leaves": 210,
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"num_threads": 20,
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},
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},
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"dataset": {
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"class": "DatasetH",
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"module_path": "qlib.data.dataset",
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"kwargs": {
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"handler": {
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"class": "Alpha158",
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"module_path": "qlib.contrib.data.handler",
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"kwargs": data_handler_config,
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},
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"segments": {
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"train": ("2008-01-01", "2014-12-31"),
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"valid": ("2015-01-01", "2016-12-31"),
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"test": ("2017-01-01", "2020-08-01"),
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},
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},
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},
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}
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def train_multiseg():
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model = init_instance_by_config(task["model"])
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dataset = init_instance_by_config(task["dataset"])
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with R.start(experiment_name="workflow"):
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R.log_params(**flatten_dict(task))
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model.fit(dataset)
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recorder = R.get_recorder()
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sr = MultiSegRecord(model, dataset, recorder)
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sr.generate(dict(valid="valid", test="test"), True)
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uri = R.get_uri()
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return uri
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def train_mse():
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model = init_instance_by_config(task["model"])
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dataset = init_instance_by_config(task["dataset"])
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with R.start(experiment_name="workflow"):
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R.log_params(**flatten_dict(task))
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model.fit(dataset)
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recorder = R.get_recorder()
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sr = SignalMseRecord(recorder, model=model, dataset=dataset)
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sr.generate()
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uri = R.get_uri()
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return uri
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class TestAllFlow(TestAutoData):
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def test_0_multiseg(self):
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uri_path = train_multiseg()
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shutil.rmtree(str(Path(uri_path.strip("file:")).resolve()))
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def test_1_mse(self):
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uri_path = train_mse()
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shutil.rmtree(str(Path(uri_path.strip("file:")).resolve()))
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def suite():
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_suite = unittest.TestSuite()
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_suite.addTest(TestAllFlow("test_0_multiseg"))
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_suite.addTest(TestAllFlow("test_1_mse"))
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return _suite
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if __name__ == "__main__":
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runner = unittest.TextTestRunner()
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runner.run(suite())
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