95 lines
2.9 KiB
Python
95 lines
2.9 KiB
Python
|
#####################################################
|
||
|
|
# Copyright (c) Xuanyi Dong [GitHub D-X-Y], 2019.01 #
|
||
|
|
#####################################################
|
||
|
|
# Refer to:
|
||
|
|
# - https://github.com/microsoft/qlib/blob/main/examples/workflow_by_code.ipynb
|
||
|
|
# - https://github.com/microsoft/qlib/blob/main/examples/workflow_by_code.py
|
||
|
|
# python exps/trading/workflow_test.py
|
||
|
|
#####################################################
|
||
|
|
import sys, site
|
||
|
|
from pathlib import Path
|
||
|
|
|
||
|
|
lib_dir = (Path(__file__).parent / '..' / '..' / 'lib').resolve()
|
||
|
|
if str(lib_dir) not in sys.path: sys.path.insert(0, str(lib_dir))
|
||
|
|
|
||
|
|
import qlib
|
||
|
|
import pandas as pd
|
||
|
|
from qlib.config import REG_CN
|
||
|
|
from qlib.contrib.model.gbdt import LGBModel
|
||
|
|
from qlib.contrib.data.handler import Alpha158
|
||
|
|
from qlib.contrib.strategy.strategy import TopkDropoutStrategy
|
||
|
|
from qlib.contrib.evaluate import (
|
||
|
|
backtest as normal_backtest,
|
||
|
|
risk_analysis,
|
||
|
|
)
|
||
|
|
from qlib.utils import exists_qlib_data, init_instance_by_config
|
||
|
|
from qlib.workflow import R
|
||
|
|
from qlib.workflow.record_temp import SignalRecord, PortAnaRecord
|
||
|
|
from qlib.utils import flatten_dict
|
||
|
|
|
||
|
|
|
||
|
|
# use default data
|
||
|
|
# NOTE: need to download data from remote: python scripts/get_data.py qlib_data_cn --target_dir ~/.qlib/qlib_data/cn_data
|
||
|
|
provider_uri = "~/.qlib/qlib_data/cn_data" # target_dir
|
||
|
|
if not exists_qlib_data(provider_uri):
|
||
|
|
print(f"Qlib data is not found in {provider_uri}")
|
||
|
|
sys.path.append(str(scripts_dir))
|
||
|
|
from get_data import GetData
|
||
|
|
GetData().qlib_data(target_dir=provider_uri, region=REG_CN)
|
||
|
|
qlib.init(provider_uri=provider_uri, region=REG_CN)
|
||
|
|
|
||
|
|
|
||
|
|
market = "csi300"
|
||
|
|
benchmark = "SH000300"
|
||
|
|
|
||
|
|
|
||
|
|
###################################
|
||
|
|
# train model
|
||
|
|
###################################
|
||
|
|
data_handler_config = {
|
||
|
|
"start_time": "2008-01-01",
|
||
|
|
"end_time": "2020-08-01",
|
||
|
|
"fit_start_time": "2008-01-01",
|
||
|
|
"fit_end_time": "2014-12-31",
|
||
|
|
"instruments": market,
|
||
|
|
}
|
||
|
|
|
||
|
|
task = {
|
||
|
|
"model": {
|
||
|
|
"class": "QuantTransformer",
|
||
|
|
"module_path": "trade_models",
|
||
|
|
"kwargs": {
|
||
|
|
"loss": "mse",
|
||
|
|
"GPU": "0",
|
||
|
|
"metric": "loss",
|
||
|
|
},
|
||
|
|
},
|
||
|
|
"dataset": {
|
||
|
|
"class": "DatasetH",
|
||
|
|
"module_path": "qlib.data.dataset",
|
||
|
|
"kwargs": {
|
||
|
|
"handler": {
|
||
|
|
"class": "Alpha158",
|
||
|
|
"module_path": "qlib.contrib.data.handler",
|
||
|
|
"kwargs": data_handler_config,
|
||
|
|
},
|
||
|
|
"segments": {
|
||
|
|
"train": ("2008-01-01", "2014-12-31"),
|
||
|
|
"valid": ("2015-01-01", "2016-12-31"),
|
||
|
|
"test": ("2017-01-01", "2020-08-01"),
|
||
|
|
},
|
||
|
|
},
|
||
|
|
},
|
||
|
|
}
|
||
|
|
|
||
|
|
# model initiaiton
|
||
|
|
model = init_instance_by_config(task["model"])
|
||
|
|
dataset = init_instance_by_config(task["dataset"])
|
||
|
|
|
||
|
|
# start exp to train model
|
||
|
|
with R.start(experiment_name="train_model"):
|
||
|
|
R.log_params(**flatten_dict(task))
|
||
|
|
model.fit(dataset)
|
||
|
|
R.save_objects(trained_model=model)
|
||
|
|
rid = R.get_recorder().id
|