Update models

exps/trading/baselines.py

@@ -67,14 +67,26 @@ def extend_transformer_settings(alg2configs, name):
     return alg2configs
 
 
-def remove_PortAnaRecord(alg2configs):
+def refresh_record(alg2configs):
     alg2configs = copy.deepcopy(alg2configs)
     for key, config in alg2configs.items():
         xlist = config["task"]["record"]
         new_list = []
         for x in xlist:
-            if x["class"] != "PortAnaRecord":
+            # remove PortAnaRecord and SignalMseRecord
+            if x["class"] != "PortAnaRecord" and x["class"] != "SignalMseRecord":
                 new_list.append(x)
+        ## add MultiSegRecord
+        new_list.append(
+            {
+                "class": "MultiSegRecord",
+                "module_path": "qlib.contrib.workflow",
+                "generate_kwargs": {
+                    "segments": {"train": "train", "valid": "valid", "test": "test"},
+                    "save": True,
+                },
+            }
+        )
         config["task"]["record"] = new_list
     return alg2configs
 
@@ -117,7 +129,7 @@ def retrieve_configs():
             )
         )
     alg2configs = extend_transformer_settings(alg2configs, "TSF")
-    alg2configs = remove_PortAnaRecord(alg2configs)
+    alg2configs = refresh_record(alg2configs)
     print(
         "There are {:} algorithms : {:}".format(
             len(alg2configs), list(alg2configs.keys())