| |
| |
|
|
| 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()) |
|
|
