Update baselines

exps/trading/baselines.py

@@ -0,0 +1,127 @@
+#####################################################
+# Copyright (c) Xuanyi Dong [GitHub D-X-Y], 2021.02 #
+#####################################################
+# python exps/trading/baselines.py --alg GRU
+# python exps/trading/baselines.py --alg LSTM
+# python exps/trading/baselines.py --alg ALSTM
+# python exps/trading/baselines.py --alg XGBoost
+# python exps/trading/baselines.py --alg LightGBM
+#####################################################
+import sys, argparse
+from collections import OrderedDict
+from pathlib import Path
+from pprint import pprint
+import ruamel.yaml as yaml
+
+lib_dir = (Path(__file__).parent / ".." / ".." / "lib").resolve()
+if str(lib_dir) not in sys.path:
+    sys.path.insert(0, str(lib_dir))
+
+import qlib
+from qlib.utils import init_instance_by_config
+from qlib.workflow import R
+from qlib.utils import flatten_dict
+from qlib.log import set_log_basic_config
+
+
+def retrieve_configs():
+    # https://github.com/microsoft/qlib/blob/main/examples/benchmarks/
+    config_dir = (lib_dir / ".." / "configs" / "qlib").resolve()
+    # algorithm to file names
+    alg2names = OrderedDict()
+    alg2names["GRU"] = "workflow_config_gru_Alpha360.yaml"
+    alg2names["LSTM"] = "workflow_config_lstm_Alpha360.yaml"
+    # A dual-stage attention-based recurrent neural network for time series prediction, IJCAI-2017
+    alg2names["ALSTM"] = "workflow_config_alstm_Alpha360.yaml"
+    # XGBoost: A Scalable Tree Boosting System, KDD-2016
+    alg2names["XGBoost"] = "workflow_config_xgboost_Alpha360.yaml"
+    # LightGBM: A Highly Efficient Gradient Boosting Decision Tree, NeurIPS-2017
+    alg2names["LightGBM"] = "workflow_config_lightgbm_Alpha360.yaml"
+
+    # find the yaml paths
+    alg2paths = OrderedDict()
+    for idx, (alg, name) in enumerate(alg2names.items()):
+        path = config_dir / name
+        assert path.exists(), "{:} does not exist.".format(path)
+        alg2paths[alg] = str(path)
+        print("The {:02d}/{:02d}-th baseline algorithm is {:9s} ({:}).".format(idx, len(alg2names), alg, path))
+    return alg2paths
+
+
+def update_gpu(config, gpu):
+    config = config.copy()
+    if "GPU" in config["task"]["model"]:
+        config["task"]["model"]["GPU"] = gpu
+    return config
+
+
+def update_market(config, market):
+    config = config.copy()
+    config["market"] = market
+    config["data_handler_config"]["instruments"] = market
+    return config
+
+
+def run_exp(task_config, dataset, experiment_name, recorder_name, uri):
+
+    # model initiaiton
+    model = init_instance_by_config(task_config["model"])
+
+    # start exp
+    with R.start(experiment_name=experiment_name, recorder_name=recorder_name, uri=uri):
+
+        log_file = R.get_recorder().root_uri / '{:}.log'.format(experiment_name)
+        set_log_basic_config(log_file)
+
+        # train model
+        R.log_params(**flatten_dict(task_config))
+        model.fit(dataset)
+        recorder = R.get_recorder()
+        R.save_objects(**{"model.pkl": model})
+
+        # generate records: prediction, backtest, and analysis
+        for record in task_config["record"]:
+            record = record.copy()
+            if record["class"] == "SignalRecord":
+                srconf = {"model": model, "dataset": dataset, "recorder": recorder}
+                record["kwargs"].update(srconf)
+                sr = init_instance_by_config(record)
+                sr.generate()
+            else:
+                rconf = {"recorder": recorder}
+                record["kwargs"].update(rconf)
+                ar = init_instance_by_config(record)
+                ar.generate()
+
+
+def main(xargs, exp_yaml):
+    assert Path(exp_yaml).exists(), "{:} does not exist.".format(exp_yaml)
+
+    with open(exp_yaml) as fp:
+        config = yaml.safe_load(fp)
+    config = update_gpu(config, xargs.gpu)
+    # config = update_market(config, 'csi300')
+
+    qlib.init(**config.get("qlib_init"))
+    dataset_config = config.get("task").get("dataset")
+    dataset = init_instance_by_config(dataset_config)
+    pprint('args: {:}'.format(xargs))
+    pprint(dataset_config)
+    pprint(dataset)
+
+    for irun in range(xargs.times):
+        run_exp(config.get("task"), dataset, xargs.alg, "recorder-{:02d}-{:02d}".format(irun, xargs.times), xargs.save_dir)
+
+
+if __name__ == "__main__":
+
+    alg2paths = retrieve_configs()
+
+    parser = argparse.ArgumentParser("Baselines")
+    parser.add_argument("--save_dir", type=str, default="./outputs/qlib-baselines", help="The checkpoint directory.")
+    parser.add_argument("--times", type=int, default=10, help="The repeated run times.")
+    parser.add_argument("--gpu", type=int, default=0, help="The GPU ID used for train / test.")
+    parser.add_argument("--alg", type=str, choices=list(alg2paths.keys()), required=True, help="The algorithm name.")
+    args = parser.parse_args()
+
+    main(args, alg2paths[args.alg])