File size: 2,696 Bytes
ab8be8f | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 | # Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
from qlib.workflow.record_temp import SignalRecord
import shutil
import unittest
import pytest
from pathlib import Path
from qlib.contrib.workflow import MultiSegRecord, SignalMseRecord
from qlib.utils import init_instance_by_config, flatten_dict
from qlib.workflow import R
from qlib.tests import TestAutoData
from qlib.tests.config import GBDT_MODEL, get_dataset_config, CSI300_MARKET
CSI300_GBDT_TASK = {
"model": GBDT_MODEL,
"dataset": get_dataset_config(
train=("2020-05-01", "2020-06-01"),
valid=("2020-06-01", "2020-07-01"),
test=("2020-07-01", "2020-08-01"),
handler_kwargs={
"start_time": "2020-05-01",
"end_time": "2020-08-01",
"fit_start_time": "<dataset.kwargs.segments.train.0>",
"fit_end_time": "<dataset.kwargs.segments.train.1>",
"instruments": CSI300_MARKET,
},
),
}
def train_multiseg(uri_path: str = None):
model = init_instance_by_config(CSI300_GBDT_TASK["model"])
dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
with R.start(experiment_name="workflow", uri=uri_path):
R.log_params(**flatten_dict(CSI300_GBDT_TASK))
model.fit(dataset)
recorder = R.get_recorder()
sr = MultiSegRecord(model, dataset, recorder)
sr.generate(dict(valid="valid", test="test"), True)
uri = R.get_uri()
return uri
def train_mse(uri_path: str = None):
model = init_instance_by_config(CSI300_GBDT_TASK["model"])
dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
with R.start(experiment_name="workflow", uri=uri_path):
R.log_params(**flatten_dict(CSI300_GBDT_TASK))
model.fit(dataset)
recorder = R.get_recorder()
SignalRecord(recorder=recorder, model=model, dataset=dataset).generate()
sr = SignalMseRecord(recorder)
sr.generate()
uri = R.get_uri()
return uri
class TestAllFlow(TestAutoData):
URI_PATH = "file:" + str(Path(__file__).parent.joinpath("test_contrib_mlruns").resolve())
@classmethod
def tearDownClass(cls) -> None:
shutil.rmtree(cls.URI_PATH.lstrip("file:"))
@pytest.mark.slow
def test_0_multiseg(self):
uri_path = train_multiseg(self.URI_PATH)
@pytest.mark.slow
def test_1_mse(self):
uri_path = train_mse(self.URI_PATH)
def suite():
_suite = unittest.TestSuite()
_suite.addTest(TestAllFlow("test_0_multiseg"))
_suite.addTest(TestAllFlow("test_1_mse"))
return _suite
if __name__ == "__main__":
runner = unittest.TextTestRunner()
runner.run(suite())
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