Add A New Baseline: ADD (microsoft#704)

Author: f-cg

README.md

@@ -298,6 +298,7 @@ Here is a list of models built on `Qlib`.
 - [TRA based on pytorch (Hengxu, Dong, et al. KDD 2021)](examples/benchmarks/TRA/)
 - [TCN based on pytorch (Shaojie Bai, et al. 2018)](examples/benchmarks/TCN/)
 - [ADARNN based on pytorch (YunTao Du, et al. 2021)](examples/benchmarks/ADARNN/)
+- [ADD based on pytorch (Hongshun Tang, et al.2020)](examples/benchmarks/ADD/)
 
 Your PR of new Quant models is highly welcomed.
 

examples/benchmarks/ADD/README.md

@@ -0,0 +1,3 @@
+# AdaRNN
+* Paper: [ADD: Augmented Disentanglement Distillation Framework for Improving Stock Trend Forecasting](https://arxiv.org/abs/2012.06289).
+

examples/benchmarks/ADD/requirements.txt

@@ -0,0 +1,4 @@
+numpy==1.17.4
+pandas==1.1.2
+scikit_learn==0.23.2
+torch==1.7.0

examples/benchmarks/ADD/workflow_config_add_Alpha360.yaml

@@ -0,0 +1,94 @@
+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: 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
+        kwargs:
+            signal:
+                - <MODEL>
+                - <DATASET>
+            topk: 50
+            n_drop: 5
+    backtest:
+        start_time: 2017-01-01
+        end_time: 2020-08-01
+        account: 100000000
+        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
+task:
+    model:
+        class: ADD
+        module_path: qlib.contrib.model.pytorch_add
+        kwargs:
+            d_feat: 6
+            hidden_size: 64
+            num_layers: 2
+            dropout: 0.1
+            dec_dropout: 0.0
+            n_epochs: 200
+            lr: 1e-3
+            early_stop: 20
+            batch_size: 5000
+            metric: ic
+            base_model: GRU
+            gamma: 0.1
+            gamma_clip: 0.2
+            optimizer: adam
+            mu: 0.2
+            GPU: 0
+    dataset:
+        class: DatasetH
+        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]
+    record:
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs:
+            model: <MODEL>
+            dataset: <DATASET>
+        - 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

examples/benchmarks/README.md

@@ -56,6 +56,7 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
 | TCN(Shaojie Bai, et al.)                  | Alpha360 | 0.0441±0.00 | 0.3301±0.02 | 0.0519±0.00 | 0.4130±0.01 | 0.0604±0.02       | 0.8295±0.34       | -0.1018±0.03 |
 | ALSTM (Yao Qin, et al.)                   | Alpha360 | 0.0497±0.00 | 0.3829±0.04 | 0.0599±0.00 | 0.4736±0.03 | 0.0626±0.02       | 0.8651±0.31       | -0.0994±0.03 |
 | LSTM(Sepp Hochreiter, et al.)             | Alpha360 | 0.0448±0.00 | 0.3474±0.04 | 0.0549±0.00 | 0.4366±0.03 | 0.0647±0.03       | 0.8963±0.39       | -0.0875±0.02 |
+| ADD                                       | Alpha360 | 0.0430±0.00 | 0.3188±0.04 | 0.0559±0.00 | 0.4301±0.03 | 0.0667±0.02       | 0.8992±0.34       | -0.0855±0.02 |
 | GRU(Kyunghyun Cho, et al.)                | Alpha360 | 0.0493±0.00 | 0.3772±0.04 | 0.0584±0.00 | 0.4638±0.03 | 0.0720±0.02       | 0.9730±0.33       | -0.0821±0.02 |
 | AdaRNN(Yuntao Du, et al.)                 | Alpha360 | 0.0464±0.01 | 0.3619±0.08 | 0.0539±0.01 | 0.4287±0.06 | 0.0753±0.03       | 1.0200±0.40       | -0.0936±0.03 |
 | GATs (Petar Velickovic, et al.)           | Alpha360 | 0.0476±0.00 | 0.3508±0.02 | 0.0598±0.00 | 0.4604±0.01 | 0.0824±0.02       | 1.1079±0.26       | -0.0894±0.03 |

qlib/contrib/model/__init__.py

@@ -31,8 +31,9 @@
     from .pytorch_tabnet import TabnetModel
     from .pytorch_sfm import SFM_Model
     from .pytorch_tcn import TCN
+    from .pytorch_add import ADD
 
-    pytorch_classes = (ALSTM, GATs, GRU, LSTM, DNNModelPytorch, TabnetModel, SFM_Model, TCN)
+    pytorch_classes = (ALSTM, GATs, GRU, LSTM, DNNModelPytorch, TabnetModel, SFM_Model, TCN, ADD)
 except ModuleNotFoundError:
     pytorch_classes = ()
     print("Please install necessary libs for PyTorch models.")