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qlib自动化quant
2022-07-31 03:40:00 【人工智能曾小健】
使用 pip 安装
用户可以按照以下命令通过 pip 轻松安装 Qlib。
pip install pyqlib
注意:pip 将安装最新的稳定 qlib。但是,qlib 的主要分支正在积极开发中。如果您想在主分支中测试最新的脚本或功能。请使用以下方法安装 qlib。
自动量化研究工作流程
Qlib 提供了一个名为 qrun 的工具来自动运行整个工作流程(包括构建数据集、训练模型、回测和评估)。您可以根据以下步骤启动自动量化研究工作流程并进行图形报告分析:
Quant Research Workflow: Run qrun
with lightgbm workflow config (workflow_config_lightgbm_Alpha158.yaml as following.
cd examples # Avoid running program under the directory contains `qlib`
qrun benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
如果用户想
qrun
在调试模式下使用,请使用以下命令:python -m pdb qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
结果
qrun
如下,有关结果的详细信息,请参阅日内交易。'The following are analysis results of the excess return without cost.' risk mean 0.000708 std 0.005626 annualized_return 0.178316 information_ratio 1.996555 max_drawdown -0.081806 'The following are analysis results of the excess return with cost.' risk mean 0.000512 std 0.005626 annualized_return 0.128982 information_ratio 1.444287 max_drawdown -0.091078
以下是详细的文档
qrun
和工作流程。图形报告分析:运行
examples/workflow_by_code.ipynb
以jupyter notebook
获取图形报告预测信号(模型预测)分析
- 团体累计回报Cumulative Return of groups
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