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6100c0e
Add files via upload
yingtaoluo b13c140
Update pytorch_localformer.py
yingtaoluo d6215c9
Update pytorch_transformer.py
yingtaoluo 9eb333b
Add files via upload
yingtaoluo 71a1d1d
Add files via upload
yingtaoluo 2610e4b
Add files via upload
yingtaoluo e398dfb
Add files via upload
yingtaoluo 664e48f
Update pytorch_localformer.py
yingtaoluo c797b48
Add files via upload
yingtaoluo 549a645
Add files via upload
yingtaoluo 65ae976
Add files via upload
yingtaoluo 516a825
Update setup.py
you-n-g 3bc8c96
update `run_all_model` and black format
you-n-g 30e09f1
Merge pull request #1 from you-n-g/ytl_main
yingtaoluo fd9e005
Update pytorch_localformer_ts.py
yingtaoluo 36feb17
Add performance of two new models
yingtaoluo 88f20fb
Add two new model in zoo
yingtaoluo c18b64e
Add two new models in model zoo
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,3 @@ | ||
| numpy==1.17.4 | ||
| pandas==1.1.2 | ||
| torch==1.2.0 |
82 changes: 82 additions & 0 deletions
82
examples/benchmarks/Localformer/workflow_config_localformer_Alpha158.yaml
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,82 @@ | ||
| qlib_init: | ||
| provider_uri: "~/.qlib/qlib_data/cn_data" | ||
| region: cn | ||
| market: &market csi300 | ||
| benchmark: &benchmark SH000300 | ||
| data_handler_config: &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 | ||
| infer_processors: | ||
| - class: FilterCol | ||
| kwargs: | ||
| fields_group: feature | ||
| col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", | ||
| "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5", | ||
| "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW" | ||
| ] | ||
| - class: RobustZScoreNorm | ||
| kwargs: | ||
| fields_group: feature | ||
| clip_outlier: true | ||
| - class: Fillna | ||
| kwargs: | ||
| fields_group: feature | ||
| learn_processors: | ||
| - class: DropnaLabel | ||
| - class: CSRankNorm | ||
| kwargs: | ||
| fields_group: label | ||
| label: ["Ref($close, -2) / Ref($close, -1) - 1"] | ||
|
|
||
| port_analysis_config: &port_analysis_config | ||
| strategy: | ||
| class: TopkDropoutStrategy | ||
| module_path: qlib.contrib.strategy.strategy | ||
| kwargs: | ||
| topk: 50 | ||
| n_drop: 5 | ||
| backtest: | ||
| verbose: False | ||
| limit_threshold: 0.095 | ||
| account: 100000000 | ||
| benchmark: *benchmark | ||
| deal_price: close | ||
| open_cost: 0.0005 | ||
| close_cost: 0.0015 | ||
| min_cost: 5 | ||
| task: | ||
| model: | ||
| class: LocalformerModel | ||
| module_path: qlib.contrib.model.pytorch_localformer | ||
| kwargs: | ||
| seed: 0 | ||
| n_jobs: 20 | ||
| dataset: | ||
| class: TSDatasetH | ||
| 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] | ||
| step_len: 20 | ||
| record: | ||
| - class: SignalRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: {} | ||
| - class: SigAnaRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: | ||
| ana_long_short: False | ||
| ann_scaler: 252 | ||
| - class: PortAnaRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: | ||
| config: *port_analysis_config |
82 changes: 82 additions & 0 deletions
82
examples/benchmarks/Localformer/workflow_config_localformer_Alpha360.yaml
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,82 @@ | ||
| qlib_init: | ||
| provider_uri: "~/.qlib/qlib_data/cn_data" | ||
| region: cn | ||
| market: &market csi300 | ||
| benchmark: &benchmark SH000300 | ||
| data_handler_config: &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 | ||
| infer_processors: | ||
| - class: FilterCol | ||
| kwargs: | ||
| fields_group: feature | ||
| col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", | ||
| "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5", | ||
| "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW" | ||
| ] | ||
| - class: RobustZScoreNorm | ||
| kwargs: | ||
| fields_group: feature | ||
| clip_outlier: true | ||
| - class: Fillna | ||
| kwargs: | ||
| fields_group: feature | ||
| learn_processors: | ||
| - class: DropnaLabel | ||
| - class: CSRankNorm | ||
| kwargs: | ||
| fields_group: label | ||
| label: ["Ref($close, -2) / Ref($close, -1) - 1"] | ||
|
|
||
| port_analysis_config: &port_analysis_config | ||
| strategy: | ||
| class: TopkDropoutStrategy | ||
| module_path: qlib.contrib.strategy.strategy | ||
| kwargs: | ||
| topk: 50 | ||
| n_drop: 5 | ||
| backtest: | ||
| verbose: False | ||
| limit_threshold: 0.095 | ||
| account: 100000000 | ||
| benchmark: *benchmark | ||
| deal_price: close | ||
| open_cost: 0.0005 | ||
| close_cost: 0.0015 | ||
| min_cost: 5 | ||
| task: | ||
| model: | ||
| class: LocalformerModel | ||
| module_path: qlib.contrib.model.pytorch_localformer | ||
| kwargs: | ||
| seed: 0 | ||
| n_jobs: 20 | ||
| dataset: | ||
| class: TSDatasetH | ||
| module_path: qlib.data.dataset | ||
| kwargs: | ||
| handler: | ||
| class: Alpha360 | ||
| 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] | ||
| step_len: 20 | ||
| record: | ||
| - class: SignalRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: {} | ||
| - class: SigAnaRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: | ||
| ana_long_short: False | ||
| ann_scaler: 252 | ||
| - class: PortAnaRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: | ||
| config: *port_analysis_config | ||
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,3 @@ | ||
| numpy==1.17.4 | ||
| pandas==1.1.2 | ||
| torch==1.2.0 |
82 changes: 82 additions & 0 deletions
82
examples/benchmarks/Transformer/workflow_config_transformer_Alpha158.yaml
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,82 @@ | ||
| qlib_init: | ||
| provider_uri: "~/.qlib/qlib_data/cn_data" | ||
| region: cn | ||
| market: &market csi300 | ||
| benchmark: &benchmark SH000300 | ||
| data_handler_config: &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 | ||
| infer_processors: | ||
| - class: FilterCol | ||
| kwargs: | ||
| fields_group: feature | ||
| col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", | ||
| "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5", | ||
| "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW" | ||
| ] | ||
| - class: RobustZScoreNorm | ||
| kwargs: | ||
| fields_group: feature | ||
| clip_outlier: true | ||
| - class: Fillna | ||
| kwargs: | ||
| fields_group: feature | ||
| learn_processors: | ||
| - class: DropnaLabel | ||
| - class: CSRankNorm | ||
| kwargs: | ||
| fields_group: label | ||
| label: ["Ref($close, -2) / Ref($close, -1) - 1"] | ||
|
|
||
| port_analysis_config: &port_analysis_config | ||
| strategy: | ||
| class: TopkDropoutStrategy | ||
| module_path: qlib.contrib.strategy.strategy | ||
| kwargs: | ||
| topk: 50 | ||
| n_drop: 5 | ||
| backtest: | ||
| verbose: False | ||
| limit_threshold: 0.095 | ||
| account: 100000000 | ||
| benchmark: *benchmark | ||
| deal_price: close | ||
| open_cost: 0.0005 | ||
| close_cost: 0.0015 | ||
| min_cost: 5 | ||
| task: | ||
| model: | ||
| class: TransformerModel | ||
| module_path: qlib.contrib.model.pytorch_transformer | ||
| kwargs: | ||
| seed: 0 | ||
| n_jobs: 20 | ||
| dataset: | ||
| class: TSDatasetH | ||
| 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] | ||
| step_len: 20 | ||
| record: | ||
| - class: SignalRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: {} | ||
| - class: SigAnaRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: | ||
| ana_long_short: False | ||
| ann_scaler: 252 | ||
| - class: PortAnaRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: | ||
| config: *port_analysis_config |
82 changes: 82 additions & 0 deletions
82
examples/benchmarks/Transformer/workflow_config_transformer_Alpha360.yaml
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,82 @@ | ||
| qlib_init: | ||
| provider_uri: "~/.qlib/qlib_data/cn_data" | ||
| region: cn | ||
| market: &market csi300 | ||
| benchmark: &benchmark SH000300 | ||
| data_handler_config: &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 | ||
| infer_processors: | ||
| - class: FilterCol | ||
| kwargs: | ||
| fields_group: feature | ||
| col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", | ||
| "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5", | ||
| "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW" | ||
| ] | ||
| - class: RobustZScoreNorm | ||
| kwargs: | ||
| fields_group: feature | ||
| clip_outlier: true | ||
| - class: Fillna | ||
| kwargs: | ||
| fields_group: feature | ||
| learn_processors: | ||
| - class: DropnaLabel | ||
| - class: CSRankNorm | ||
| kwargs: | ||
| fields_group: label | ||
| label: ["Ref($close, -2) / Ref($close, -1) - 1"] | ||
|
|
||
| port_analysis_config: &port_analysis_config | ||
| strategy: | ||
| class: TopkDropoutStrategy | ||
| module_path: qlib.contrib.strategy.strategy | ||
| kwargs: | ||
| topk: 50 | ||
| n_drop: 5 | ||
| backtest: | ||
| verbose: False | ||
| limit_threshold: 0.095 | ||
| account: 100000000 | ||
| benchmark: *benchmark | ||
| deal_price: close | ||
| open_cost: 0.0005 | ||
| close_cost: 0.0015 | ||
| min_cost: 5 | ||
| task: | ||
| model: | ||
| class: TransformerModel | ||
| module_path: qlib.contrib.model.pytorch_transformer | ||
| kwargs: | ||
| seed: 0 | ||
| n_jobs: 20 | ||
| dataset: | ||
| class: TSDatasetH | ||
| module_path: qlib.data.dataset | ||
| kwargs: | ||
| handler: | ||
| class: Alpha360 | ||
| 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] | ||
| step_len: 20 | ||
| record: | ||
| - class: SignalRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: {} | ||
| - class: SigAnaRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: | ||
| ana_long_short: False | ||
| ann_scaler: 252 | ||
| - class: PortAnaRecord | ||
| module_path: qlib.workflow.record_temp | ||
| kwargs: | ||
| config: *port_analysis_config |
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