workflow_by_code.py

#  Copyright (c) Microsoft Corporation.
#  Licensed under the MIT License.

import qlib
from qlib.config import REG_CN
from qlib.utils import init_instance_by_config, flatten_dict
from qlib.workflow import R
from qlib.workflow.record_temp import SignalRecord, PortAnaRecord
from qlib.tests.data import GetData
from qlib.tests.config import CSI300_BENCH, CSI300_GBDT_TASK


if __name__ == "__main__":

    # use default data
    provider_uri = "~/.qlib/qlib_data/cn_data"  # target_dir
    GetData().qlib_data(target_dir=provider_uri, region=REG_CN, exists_skip=True)
    qlib.init(provider_uri=provider_uri, region=REG_CN)

    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": CSI300_BENCH,
            "deal_price": "close",
            "open_cost": 0.0005,
            "close_cost": 0.0015,
            "min_cost": 5,
            "return_order": True,
        },
    }

    # model initialization
    model = init_instance_by_config(CSI300_GBDT_TASK["model"])
    dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])

    # NOTE: This line is optional
    # It demonstrates that the dataset can be used standalone.
    example_df = dataset.prepare("train")
    print(example_df.head())

    # start exp
    with R.start(experiment_name="workflow"):
        R.log_params(**flatten_dict(CSI300_GBDT_TASK))
        model.fit(dataset)
        R.save_objects(**{"params.pkl": model})

        # prediction
        recorder = R.get_recorder()
        sr = SignalRecord(model, dataset, recorder)
        sr.generate()

        # backtest. If users want to use backtest based on their own prediction,
        # please refer to https://qlib.readthedocs.io/en/latest/component/recorder.html#record-template.
        par = PortAnaRecord(recorder, port_analysis_config)
        par.generate()