Add the HIST and IGMTF model on Alpha360 (microsoft#1040)

* Commit the code of HIST and IGMTF on Alpha360 * add stock index * Update README.md * delete useless code * fix the bug of code format with black * fix pylint bugs * fix the bugs of pylint * fix pylint bugs * fix flake8
qianyun210603 · Apr 13, 2022 · a211698 · a211698
1 parent aab18de
commit a211698
Show file tree

Hide file tree

Showing 11 changed files with 1,149 additions and 0 deletions.
diff --git a/README.md b/README.md
@@ -11,6 +11,7 @@
 Recent released features
 | Feature | Status |
 | --                      | ------    |
+| HIST and IGMTF models | :chart_with_upwards_trend: [Released](https://github.com/microsoft/qlib/pull/1040) on Apr 10, 2022 |
 | Qlib notebook tutorial | 📖 [Released](https://github.com/microsoft/qlib/pull/1037) on Apr 7, 2022 | 
 | Ibovespa index data | :rice: [Released](https://github.com/microsoft/qlib/pull/990) on Apr 6, 2022 |
 | Point-in-Time database | :hammer: [Released](https://github.com/microsoft/qlib/pull/343) on Mar 10, 2022 |
@@ -339,6 +340,8 @@ Here is a list of models built on `Qlib`.
 - [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/)
+- [IGMTF based on pytorch (Wentao Xu, et al.2021)](examples/benchmarks/IGMTF/)
+- [HIST based on pytorch (Wentao Xu, et al.2021)](examples/benchmarks/HIST/)
 
 Your PR of new Quant models is highly welcomed.
 

diff --git a/examples/benchmarks/HIST/README.md b/examples/benchmarks/HIST/README.md
@@ -0,0 +1,3 @@
+# HIST
+* Code: [https://github.com/Wentao-Xu/HIST](https://github.com/Wentao-Xu/HIST)
+* Paper: [HIST: A Graph-based Framework for Stock Trend Forecasting via Mining Concept-Oriented Shared InformationAdaRNN: Adaptive Learning and Forecasting for Time Series](https://arxiv.org/abs/2110.13716).
diff --git a/examples/benchmarks/HIST/qlib_csi300_stock_index.npy b/examples/benchmarks/HIST/qlib_csi300_stock_index.npy
diff --git a/examples/benchmarks/HIST/requirements.txt b/examples/benchmarks/HIST/requirements.txt
@@ -0,0 +1,4 @@
+pandas==1.1.2
+numpy==1.21.0
+scikit_learn==0.23.2
+torch==1.7.0
diff --git a/examples/benchmarks/HIST/workflow_config_hist_Alpha360.yaml b/examples/benchmarks/HIST/workflow_config_hist_Alpha360.yaml
@@ -0,0 +1,92 @@
+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: HIST
+        module_path: qlib.contrib.model.pytorch_hist
+        kwargs:
+            d_feat: 6
+            hidden_size: 64
+            num_layers: 2
+            dropout: 0
+            n_epochs: 200
+            lr: 1e-4
+            early_stop: 20
+            metric: ic
+            loss: mse
+            base_model: LSTM
+            model_path: "benchmarks/LSTM/model_lstm_csi300.pkl"
+            stock2concept: "benchmarks/HIST/qlib_csi300_stock2concept.npy"
+            stock_index: "benchmarks/HIST/qlib_csi300_stock_index.npy"
+            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
diff --git a/examples/benchmarks/IGMTF/README.md b/examples/benchmarks/IGMTF/README.md
@@ -0,0 +1,4 @@
+# IGMTF
+* Code: [https://github.com/Wentao-Xu/IGMTF](https://github.com/Wentao-Xu/IGMTF)
+* Paper: [IGMTF: An Instance-wise Graph-based Framework for
+Multivariate Time Series Forecasting](https://arxiv.org/abs/2109.06489).
diff --git a/examples/benchmarks/IGMTF/requirements.txt b/examples/benchmarks/IGMTF/requirements.txt
@@ -0,0 +1,4 @@
+pandas==1.1.2
+numpy==1.21.0
+scikit_learn==0.23.2
+torch==1.7.0
diff --git a/examples/benchmarks/IGMTF/workflow_config_igmtf_Alpha360.yaml b/examples/benchmarks/IGMTF/workflow_config_igmtf_Alpha360.yaml
@@ -0,0 +1,89 @@
+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:
+            model: <MODEL>
+            dataset: <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: IGMTF
+        module_path: qlib.contrib.model.pytorch_igmtf
+        kwargs:
+            d_feat: 6
+            hidden_size: 64
+            num_layers: 2
+            dropout: 0
+            n_epochs: 200
+            lr: 1e-4
+            early_stop: 20
+            metric: ic
+            loss: mse
+            base_model: LSTM
+            model_path: "benchmarks/LSTM/model_lstm_csi300.pkl"
+            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
diff --git a/examples/benchmarks/README.md b/examples/benchmarks/README.md
@@ -65,6 +65,9 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
 | 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 |
 | TCTS(Xueqing Wu, et al.)                  | Alpha360 | 0.0508±0.00 | 0.3931±0.04 | 0.0599±0.00 | 0.4756±0.03 | 0.0893±0.03       | 1.2256±0.36       | -0.0857±0.02 |
 | TRA(Hengxu Lin, et al.)                   | Alpha360 | 0.0485±0.00 | 0.3787±0.03 | 0.0587±0.00 | 0.4756±0.03 | 0.0920±0.03       | 1.2789±0.42       | -0.0834±0.02 |
+| IGMTF(Wentao Xu, et al.)                  | Alpha360 | 0.0480±0.00 | 0.3589±0.02 | 0.0606±0.00 | 0.4773±0.01 | 0.0946±0.02       | 1.3509±0.25       | -0.0716±0.02 |
+| HIST(Wentao Xu, et al.)                   | Alpha360 | 0.0522±0.00 | 0.3530±0.01 | 0.0667±0.00 | 0.4576±0.01 | 0.0987±0.02       | 1.3726±0.27       | -0.0681±0.01 |
+
 
 - The selected 20 features are based on the feature importance of a lightgbm-based model.
 - The base model of DoubleEnsemble is LGBM.