Add data analysis feature for report

qlib/contrib/eva/alpha.py

@@ -4,8 +4,10 @@
 The interface should be redesigned carefully in the future.
 """
 import pandas as pd
-
 from typing import Tuple
+from qlib import get_module_logger
+from qlib.utils.paral import complex_parallel, DelayedDict
+from joblib import Parallel, delayed
 
 
 def calc_long_short_prec(
@@ -61,32 +63,6 @@ def calc_long_short_prec(
     return (l_dom.groupby(date_col).sum() / l_c), (s_dom.groupby(date_col).sum() / s_c)
 
 
-def calc_ic(pred: pd.Series, label: pd.Series, date_col="datetime", dropna=False) -> Tuple[pd.Series, pd.Series]:
-    """calc_ic.
-
-    Parameters
-    ----------
-    pred :
-        pred
-    label :
-        label
-    date_col :
-        date_col
-
-    Returns
-    -------
-    (pd.Series, pd.Series)
-        ic and rank ic
-    """
-    df = pd.DataFrame({"pred": pred, "label": label})
-    ic = df.groupby(date_col).apply(lambda df: df["pred"].corr(df["label"]))
-    ric = df.groupby(date_col).apply(lambda df: df["pred"].corr(df["label"], method="spearman"))
-    if dropna:
-        return ic.dropna(), ric.dropna()
-    else:
-        return ic, ric
-
-
 def calc_long_short_return(
     pred: pd.Series,
     label: pd.Series,
@@ -127,3 +103,105 @@ def calc_long_short_return(
     r_short = group.apply(lambda x: x.nsmallest(N(x), columns="pred").label.mean())
     r_avg = group.label.mean()
     return (r_long - r_short) / 2, r_avg
+
+
+def pred_autocorr(pred: pd.Series, lag=1, inst_col="instrument", date_col="datetime"):
+    """pred_autocorr.
+
+    Limitation:
+    - If the datetime is not sequential densely, the correlation will be calulated based on adjacent dates. (some users may expected NaN)
+
+    :param pred: pd.Series with following format
+                instrument  datetime
+                SH600000    2016-01-04   -0.000403
+                            2016-01-05   -0.000753
+                            2016-01-06   -0.021801
+                            2016-01-07   -0.065230
+                            2016-01-08   -0.062465
+    :type pred: pd.Series
+    :param lag:
+    """
+    if isinstance(pred, pd.DataFrame):
+        pred = pred.iloc[:, 0]
+        get_module_logger("pred_autocorr").warning("Only the first column in {pred.columns} of `pred` is kept")
+    pred_ustk = pred.sort_index().unstack(inst_col)
+    corr_s = {}
+    for (idx, cur), (_, prev) in zip(pred_ustk.iterrows(), pred_ustk.shift(lag).iterrows()):
+        corr_s[idx] = cur.corr(prev)
+    corr_s = pd.Series(corr_s).sort_index()
+    return corr_s
+
+
+def pred_autocorr_all(pred_dict, n_jobs=-1, **kwargs):
+    """
+    calculate auto correlation for pred_dict
+
+    Parameters
+    ----------
+    pred_dict : dict
+        A dict like {<method_name>:  <prediction>}
+    kwargs :
+        all these arguments will be passed into pred_autocorr
+    """
+    ac_dict = {}
+    for k, pred in pred_dict.items():
+        ac_dict[k] = delayed(pred_autocorr)(pred, **kwargs)
+    return complex_parallel(Parallel(n_jobs=n_jobs, verbose=10), ac_dict)
+
+
+def calc_ic(pred: pd.Series, label: pd.Series, date_col="datetime", dropna=False) -> (pd.Series, pd.Series):
+    """calc_ic.
+
+    Parameters
+    ----------
+    pred :
+        pred
+    label :
+        label
+    date_col :
+        date_col
+
+    Returns
+    -------
+    (pd.Series, pd.Series)
+        ic and rank ic
+    """
+    df = pd.DataFrame({"pred": pred, "label": label})
+    ic = df.groupby(date_col).apply(lambda df: df["pred"].corr(df["label"]))
+    ric = df.groupby(date_col).apply(lambda df: df["pred"].corr(df["label"], method="spearman"))
+    if dropna:
+        return ic.dropna(), ric.dropna()
+    else:
+        return ic, ric
+
+
+def calc_all_ic(pred_dict_all, label, date_col="datetime", dropna=False, n_jobs=-1):
+    """calc_all_ic.
+
+    Parameters
+    ----------
+    pred_dict_all :
+        A dict like {<method_name>:  <prediction>}
+    label:
+        A pd.Series of label values
+
+    Returns
+    -------
+    {'Q2+IND_z': {'ic': <ic series like>
+                          2016-01-04   -0.057407
+                          ...
+                          2020-05-28    0.183470
+                          2020-05-29    0.171393
+                  'ric': <rank ic series like>
+                          2016-01-04   -0.040888
+                          ...
+                          2020-05-28    0.236665
+                          2020-05-29    0.183886
+                  }
+    ...}
+    """
+    pred_all_ics = {}
+    for k, pred in pred_dict_all.items():
+        pred_all_ics[k] = DelayedDict(["ic", "ric"], delayed(calc_ic)(pred, label, date_col=date_col, dropna=dropna))
+    pred_all_ics = complex_parallel(Parallel(n_jobs=n_jobs, verbose=10), pred_all_ics)
+    return pred_all_ics

qlib/contrib/model/pytorch_nn.py

@@ -74,7 +74,7 @@ def __init__(
         data_parall=False,
         scheduler: Optional[Union[Callable]] = "default",  # when it is Callable, it accept one argument named optimizer
         init_model=None,
-        eval_train_metric=True,
+        eval_train_metric=False,
         pt_model_uri="qlib.contrib.model.pytorch_nn.Net",
         pt_model_kwargs={
             "input_dim": 360,
@@ -290,7 +290,7 @@ def fit(
                             )
                             R.log_metrics(train_metric=metric_train, step=step)
                         else:
-                            metric_train = -1
+                            metric_train = np.nan
                     if verbose:
                         self.logger.info(
                             f"[Step {step}]: train_loss {train_loss:.6f}, valid_loss {loss_val:.6f}, train_metric {metric_train:.6f}, valid_metric {metric_val:.6f}"

qlib/contrib/report/data/__init__.py

@@ -0,0 +1,7 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+"""
+This module is designed to analysis data
+
+"""

qlib/contrib/report/data/ana.py

@@ -0,0 +1,202 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+import pandas as pd
+import numpy as np
+from qlib.contrib.report.data.base import FeaAnalyser
+from qlib.contrib.report.utils import sub_fig_generator
+from qlib.utils.paral import datetime_groupby_apply
+from qlib.contrib.eva.alpha import pred_autocorr_all
+from loguru import logger
+import seaborn as sns
+
+DT_COL_NAME = "datetime"
+
+
+class CombFeaAna(FeaAnalyser):
+    """
+    Combine the sub feature analysers and plot then in a single graph
+    """
+
+    def __init__(self, dataset: pd.DataFrame, *fea_ana_cls):
+        if len(fea_ana_cls) <= 1:
+            raise NotImplementedError(f"This type of input is not supported")
+        self._fea_ana_l = [fcls(dataset) for fcls in fea_ana_cls]
+        super().__init__(dataset=dataset)
+
+    def skip(self, col):
+        return np.all(list(map(lambda fa: fa.skip(col), self._fea_ana_l)))
+
+    def calc_stat_values(self):
+        """The statistics of features are finished in the underlying analysers"""
+
+    def plot_all(self, *args, **kwargs):
+
+        ax_gen = iter(sub_fig_generator(row_n=len(self._fea_ana_l), *args, **kwargs))
+
+        for col in self._dataset:
+            if not self.skip(col):
+                axes = next(ax_gen)
+                for fa, ax in zip(self._fea_ana_l, axes):
+                    if not fa.skip(col):
+                        fa.plot_single(col, ax)
+                    ax.set_xlabel("")
+                    ax.set_title("")
+                axes[0].set_title(col)
+
+
+class NumFeaAnalyser(FeaAnalyser):
+    def skip(self, col):
+        is_obj = np.issubdtype(self._dataset[col], np.dtype("O"))
+        if is_obj:
+            logger.info(f"{col} is not numeric and is skipped")
+        return is_obj
+
+
+class ValueCNT(FeaAnalyser):
+    def __init__(self, dataset: pd.DataFrame, ratio=False):
+        self.ratio = ratio
+        super().__init__(dataset)
+
+    def calc_stat_values(self):
+        self._val_cnt = {}
+        for col, item in self._dataset.items():
+            if not super().skip(col):
+                self._val_cnt[col] = item.groupby(DT_COL_NAME).apply(lambda s: len(s.unique()))
+        self._val_cnt = pd.DataFrame(self._val_cnt)
+        if self.ratio:
+            self._val_cnt = self._val_cnt.div(self._dataset.groupby(DT_COL_NAME).size(), axis=0)
+
+        # TODO: transfer this feature to other analysers
+        ymin, ymax = self._val_cnt.min().min(), self._val_cnt.max().max()
+        self.ylim = (ymin - 0.05 * (ymax - ymin), ymax + 0.05 * (ymax - ymin))
+
+    def plot_single(self, col, ax):
+        self._val_cnt[col].plot(ax=ax, title=col, ylim=self.ylim)
+        ax.set_xlabel("")
+
+
+class FeaDistAna(NumFeaAnalyser):
+    def plot_single(self, col, ax):
+        sns.histplot(self._dataset[col], ax=ax, kde=False, bins=100)
+        ax.set_xlabel("")
+        ax.set_title(col)
+
+
+class FeaInfAna(NumFeaAnalyser):
+    def calc_stat_values(self):
+        self._inf_cnt = {}
+        for col, item in self._dataset.items():
+            if not super().skip(col):
+                self._inf_cnt[col] = item.apply(np.isinf).astype(np.int).groupby(DT_COL_NAME).sum()
+        self._inf_cnt = pd.DataFrame(self._inf_cnt)
+
+    def skip(self, col):
+        return (col not in self._inf_cnt) or (self._inf_cnt[col].sum() == 0)
+
+    def plot_single(self, col, ax):
+        self._inf_cnt[col].plot(ax=ax, title=col)
+        ax.set_xlabel("")
+
+
+class FeaNanAna(FeaAnalyser):
+    def calc_stat_values(self):
+        self._nan_cnt = self._dataset.isna().groupby(DT_COL_NAME).sum()
+
+    def skip(self, col):
+        return (col not in self._nan_cnt) or (self._nan_cnt[col].sum() == 0)
+
+    def plot_single(self, col, ax):
+        self._nan_cnt[col].plot(ax=ax, title=col)
+        ax.set_xlabel("")
+
+
+class FeaNanAnaRatio(FeaAnalyser):
+    def calc_stat_values(self):
+        self._nan_cnt = self._dataset.isna().groupby(DT_COL_NAME).sum()
+        self._total_cnt = self._dataset.groupby(DT_COL_NAME).size()
+
+    def skip(self, col):
+        return (col not in self._nan_cnt) or (self._nan_cnt[col].sum() == 0)
+
+    def plot_single(self, col, ax):
+        (self._nan_cnt[col] / self._total_cnt).plot(ax=ax, title=col)
+        ax.set_xlabel("")
+
+
+class FeaACAna(FeaAnalyser):
+    """Analysis the auto-correlation of features"""
+
+    def calc_stat_values(self):
+        self._fea_corr = pred_autocorr_all(self._dataset.to_dict("series"))
+        df = pd.DataFrame(self._fea_corr)
+        ymin, ymax = df.min().min(), df.max().max()
+        self.ylim = (ymin - 0.05 * (ymax - ymin), ymax + 0.05 * (ymax - ymin))
+
+    def plot_single(self, col, ax):
+        self._fea_corr[col].plot(ax=ax, title=col, ylim=self.ylim)
+        ax.set_xlabel("")
+
+
+class FeaSkewTurt(NumFeaAnalyser):
+    def calc_stat_values(self):
+        self._skew = datetime_groupby_apply(self._dataset, "skew", skip_group=True)
+        self._kurt = datetime_groupby_apply(self._dataset, pd.DataFrame.kurt, skip_group=True)
+
+    def plot_single(self, col, ax):
+        self._skew[col].plot(ax=ax, label="skew")
+        ax.set_xlabel("")
+        ax.set_ylabel("skew")
+        ax.legend()
+
+        right_ax = ax.twinx()
+
+        self._kurt[col].plot(ax=right_ax, label="kurt", color="green")
+        right_ax.set_xlabel("")
+        right_ax.set_ylabel("kurt")
+
+        h1, l1 = ax.get_legend_handles_labels()
+        h2, l2 = right_ax.get_legend_handles_labels()
+
+        ax.legend().set_visible(False)
+        right_ax.legend(h1 + h2, l1 + l2)
+        ax.set_title(col)
+
+
+class FeaMeanStd(NumFeaAnalyser):
+    def calc_stat_values(self):
+        self._std = self._dataset.groupby(DT_COL_NAME).std()
+        self._mean = self._dataset.groupby(DT_COL_NAME).mean()
+
+    def plot_single(self, col, ax):
+        self._mean[col].plot(ax=ax, label="mean")
+        ax.set_xlabel("")
+        ax.set_ylabel("mean")
+        ax.legend()
+
+        right_ax = ax.twinx()
+
+        self._std[col].plot(ax=right_ax, label="std", color="green")
+        right_ax.set_xlabel("")
+        right_ax.set_ylabel("std")
+
+        h1, l1 = ax.get_legend_handles_labels()
+        h2, l2 = right_ax.get_legend_handles_labels()
+
+        ax.legend().set_visible(False)
+        right_ax.legend(h1 + h2, l1 + l2)
+        ax.set_title(col)
+
+
+class RawFeaAna(FeaAnalyser):
+    """
+    Motivation:
+    - display the values without further analysis
+    """
+
+    def calc_stat_values(self):
+        ymin, ymax = self._dataset.min().min(), self._dataset.max().max()
+        self.ylim = (ymin - 0.05 * (ymax - ymin), ymax + 0.05 * (ymax - ymin))
+
+    def plot_single(self, col, ax):
+        self._dataset[col].plot(ax=ax, title=col, ylim=self.ylim)
+        ax.set_xlabel("")