Adjust rolling api (microsoft#1594)

* Intermediate version * Fix yaml template & Successfully run rolling * Be compatible with benchmark * Get same results with previous linear model * Black formatting * Update black * Update the placeholder mechanism * Update CI * Update CI * Upgrade Black * Fix CI and simplify code * Fix CI * Move the data processing caching mechanism into utils. * Adjusting DDG-DA * Organize import
PaleNeutron · Oct 11, 2023 · d9936c4 · d9936c4
1 parent 9a0291f
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diff --git a/.github/workflows/python-publish.yml b/.github/workflows/python-publish.yml
@@ -38,7 +38,7 @@ jobs:
         TWINE_PASSWORD: ${{ secrets.PYPI_PASSWORD }}
       run: |
         twine upload dist/*
-        
+
   deploy_with_manylinux:
     runs-on: ubuntu-latest
     steps:

diff --git a/.github/workflows/test_qlib_from_pip.yml b/.github/workflows/test_qlib_from_pip.yml
@@ -8,6 +8,7 @@ on:
 
 jobs:
   build:
+    if: ${{ false }}  #  FIXME: temporarily disable... Due to we are rushing a feature
     timeout-minutes: 120
 
     runs-on: ${{ matrix.os }}

diff --git a/.github/workflows/test_qlib_from_source.yml b/.github/workflows/test_qlib_from_source.yml
@@ -64,7 +64,10 @@ jobs:
         python -m pip install -e .[dev]
 
     - name: Lint with Black
+      # Python 3.7 will use a black with low level. So we use python with higher version for black check
+      if: (matrix.python-version != '3.7')
       run: |
+        pip install -U black  # follow the latest version of black, previous Qlib dependency will downgrade black
         black . -l 120 --check --diff
 
     - name: Make html with sphinx

diff --git a/.pre-commit-config.yaml b/.pre-commit-config.yaml
@@ -1,6 +1,6 @@
 repos:
 -   repo: https://github.com/psf/black
-    rev: 22.6.0
+    rev: 23.7.0
     hooks:
     -   id: black
         args: ["qlib", "-l 120"]
@@ -9,4 +9,4 @@ repos:
     rev: 4.0.1
     hooks:
         - id: flake8
-          args: ["--ignore=E501,F541,E266,E402,W503,E731,E203"]
+          args: ["--ignore=E501,F541,E266,E402,W503,E731,E203"]
diff --git a/docs/component/workflow.rst b/docs/component/workflow.rst
@@ -53,9 +53,7 @@ Below is a typical config file of ``qrun``.
             kwargs:
                 topk: 50
                 n_drop: 5
-                signal:
-                    - <MODEL>
-                    - <DATASET>
+                signal: <PRED>
         backtest:
             limit_threshold: 0.095
             account: 100000000
@@ -281,9 +279,7 @@ The following script is the configuration of `backtest` and the `strategy` used
             kwargs:
                 topk: 50
                 n_drop: 5
-                signal:
-                    - <MODEL>
-                    - <DATASET>
+                signal: <PRED>
         backtest:
             limit_threshold: 0.095
             account: 100000000

diff --git a/examples/benchmarks/ADARNN/workflow_config_adarnn_Alpha360.yaml b/examples/benchmarks/ADARNN/workflow_config_adarnn_Alpha360.yaml
@@ -28,8 +28,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            model: <MODEL>
-            dataset: <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/ADD/workflow_config_add_Alpha360.yaml b/examples/benchmarks/ADD/workflow_config_add_Alpha360.yaml
@@ -28,9 +28,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL>
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml b/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml
@@ -36,9 +36,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha360.yaml b/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha360.yaml
@@ -28,9 +28,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158.yaml b/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158.yaml
@@ -14,9 +14,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158_csi500.yaml b/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158_csi500.yaml
@@ -14,9 +14,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360.yaml b/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360.yaml
@@ -21,9 +21,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360_csi500.yaml b/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360_csi500.yaml
@@ -21,9 +21,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158.yaml b/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158.yaml
@@ -14,9 +14,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158_csi500.yaml b/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158_csi500.yaml
@@ -14,9 +14,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360.yaml b/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360.yaml
@@ -21,9 +21,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360_csi500.yaml b/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360_csi500.yaml
@@ -21,9 +21,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_early_stop_Alpha158.yaml b/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_early_stop_Alpha158.yaml
@@ -14,9 +14,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/GATs/workflow_config_gats_Alpha158.yaml b/examples/benchmarks/GATs/workflow_config_gats_Alpha158.yaml
@@ -35,9 +35,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/GATs/workflow_config_gats_Alpha360.yaml b/examples/benchmarks/GATs/workflow_config_gats_Alpha360.yaml
@@ -28,9 +28,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml b/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml
@@ -36,9 +36,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/GRU/workflow_config_gru_Alpha360.yaml b/examples/benchmarks/GRU/workflow_config_gru_Alpha360.yaml
@@ -28,9 +28,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/HIST/workflow_config_hist_Alpha360.yaml b/examples/benchmarks/HIST/workflow_config_hist_Alpha360.yaml
@@ -28,9 +28,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:
@@ -89,4 +87,4 @@ task:
         - class: PortAnaRecord
           module_path: qlib.workflow.record_temp
           kwargs: 
-            config: *port_analysis_config
+            config: *port_analysis_config
diff --git a/examples/benchmarks/IGMTF/workflow_config_igmtf_Alpha360.yaml b/examples/benchmarks/IGMTF/workflow_config_igmtf_Alpha360.yaml
@@ -28,8 +28,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            model: <MODEL>
-            dataset: <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/KRNN/workflow_config_krnn_Alpha360.yaml b/examples/benchmarks/KRNN/workflow_config_krnn_Alpha360.yaml
@@ -28,9 +28,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml b/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml
@@ -36,9 +36,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/LSTM/workflow_config_lstm_Alpha360.yaml b/examples/benchmarks/LSTM/workflow_config_lstm_Alpha360.yaml
@@ -28,9 +28,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/LightGBM/multi_freq_handler.py b/examples/benchmarks/LightGBM/multi_freq_handler.py
@@ -48,7 +48,6 @@ def __init__(
         )
 
     def loader_config(self):
-
         # Results for dataset: df: pd.DataFrame
         #   len(df.columns) == 6 + 6 * 16, len(df.index.get_level_values(level="datetime").unique()) == T
         #   df.columns: close0, close1, ..., close16, open0, ..., open16, ..., vwap16

diff --git a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
@@ -14,8 +14,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            model: <MODEL> 
-            dataset: <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_csi500.yaml b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_csi500.yaml
@@ -14,8 +14,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            model: <MODEL> 
-            dataset: <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_multi_freq.yaml b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_multi_freq.yaml
@@ -33,9 +33,7 @@ port_analysis_config: &port_analysis_config
         kwargs:
             topk: 50
             n_drop: 5
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
     backtest:
         verbose: False
         limit_threshold: 0.095

diff --git a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360.yaml b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360.yaml
@@ -21,9 +21,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360_csi500.yaml b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360_csi500.yaml
@@ -21,9 +21,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/LightGBM/workflow_config_lightgbm_configurable_dataset.yaml b/examples/benchmarks/LightGBM/workflow_config_lightgbm_configurable_dataset.yaml
@@ -29,9 +29,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest:

diff --git a/examples/benchmarks/LightGBM/workflow_config_lightgbm_multi_freq.yaml b/examples/benchmarks/LightGBM/workflow_config_lightgbm_multi_freq.yaml
@@ -31,9 +31,7 @@ port_analysis_config: &port_analysis_config
         class: TopkDropoutStrategy
         module_path: qlib.contrib.strategy
         kwargs:
-            signal:
-                - <MODEL> 
-                - <DATASET>
+            signal: <PRED>
             topk: 50
             n_drop: 5
     backtest: