To re-org Q-results

exps/trading/baselines.py

@@ -65,16 +65,16 @@ def update_market(config, market):
 def run_exp(task_config, dataset, experiment_name, recorder_name, uri):
 
     # model initiaiton
-    print('')
-    print('[{:}] - [{:}]: {:}'.format(experiment_name, recorder_name, uri))
-    print('dataset={:}'.format(dataset))
+    print("")
+    print("[{:}] - [{:}]: {:}".format(experiment_name, recorder_name, uri))
+    print("dataset={:}".format(dataset))
 
     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)
+        log_file = R.get_recorder().root_uri / "{:}.log".format(experiment_name)
         set_log_basic_config(log_file)
 
         # train model
@@ -109,12 +109,14 @@ def main(xargs, exp_yaml):
     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("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)
+        run_exp(
+            config.get("task"), dataset, xargs.alg, "recorder-{:02d}-{:02d}".format(irun, xargs.times), xargs.save_dir
+        )
 
 
 if __name__ == "__main__":

exps/trading/organize_results.py

@@ -0,0 +1,135 @@
+#####################################################
+# Copyright (c) Xuanyi Dong [GitHub D-X-Y], 2021.02 #
+#####################################################
+# python exps/trading/organize_results.py
+#####################################################
+import sys, argparse
+import numpy as np
+from typing import List, Text
+from collections import defaultdict, 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.config import REG_CN
+from qlib.workflow import R
+
+
+class QResult:
+
+  def __init__(self):
+    self._result = defaultdict(list)
+
+  def append(self, key, value):
+    self._result[key].append(value)
+
+  @property
+  def result(self):
+    return self._result
+
+  def update(self, metrics, filter_keys=None):
+    for key, value in metrics.items():
+      if filter_keys is not None and key in filter_keys:
+        key = filter_keys[key]
+      elif filter_keys is not None:
+        continue
+      self.append(key, value)
+
+  @staticmethod
+  def full_str(xstr, space):
+    xformat = '{:' + str(space) + 's}'
+    return xformat.format(str(xstr))
+
+  def info(self, keys: List[Text], separate: Text = '', space: int = 25, show=True):
+    avaliable_keys = []
+    for key in keys:
+      if key not in self.result:
+        print('There are invalid key [{:}].'.format(key))
+      else:
+        avaliable_keys.append(key)
+    head_str = separate.join([self.full_str(x, space) for x in avaliable_keys])
+    values = []
+    for key in avaliable_keys:
+      current_values = self._result[key]
+      mean = np.mean(current_values)
+      std = np.std(current_values)
+      values.append('{:.4f} $\pm$ {:.4f}'.format(mean, std))
+    value_str = separate.join([self.full_str(x, space) for x in values])
+    if show:
+      print(head_str)
+      print(value_str)
+    else:
+      return head_str, value_str
+
+
+def compare_results(heads, values, names, space=10):
+  for idx, x in enumerate(heads):
+    assert x == heads[0], '[{:}] {:} vs {:}'.format(idx, x, heads[0])
+  new_head = QResult.full_str('Name', space) + heads[0]
+  print(new_head)
+  for name, value in zip(names, values):
+    xline = QResult.full_str(name, space) + value
+    print(xline)
+
+
+def filter_finished(recorders):
+    returned_recorders = dict()
+    not_finished = 0
+    for key, recorder in recorders.items():
+        if recorder.status == "FINISHED":
+            returned_recorders[key] = recorder
+        else:
+            not_finished += 1
+    return returned_recorders, not_finished
+
+
+def main(xargs):
+    R.reset_default_uri(xargs.save_dir)
+    experiments = R.list_experiments()
+
+    key_map = {"IC": "IC",
+               "ICIR": "ICIR",
+               "Rank IC": "Rank_IC",
+               "Rank ICIR": "Rank_ICIR",
+               "excess_return_with_cost.annualized_return": "Annualized_Return",
+               "excess_return_with_cost.information_ratio": "Information_Ratio",
+               "excess_return_with_cost.max_drawdown": "Max_Drawdown"}
+    all_keys = list(key_map.values())
+
+    print("There are {:} experiments.".format(len(experiments)))
+    head_strs, value_strs, names = [], [], []
+    for idx, (key, experiment) in enumerate(experiments.items()):
+        if experiment.id == '0':
+          continue
+        recorders = experiment.list_recorders()
+        recorders, not_finished = filter_finished(recorders)
+        print(
+            "====>>>> {:02d}/{:02d}-th experiment {:9s} has {:02d}/{:02d} finished recorders.".format(
+                idx, len(experiments), experiment.name, len(recorders), len(recorders) + not_finished
+            )
+        )
+        result = QResult()
+        for recorder_id, recorder in recorders.items():
+          result.update(recorder.list_metrics(), key_map)
+        head_str, value_str = result.info(all_keys, show=False)
+        head_strs.append(head_str)
+        value_strs.append(value_str)
+        names.append(experiment.name)
+    compare_results(head_strs, value_strs, names, space=10)
+
+
+if __name__ == "__main__":
+
+    parser = argparse.ArgumentParser("Show Results")
+    parser.add_argument("--save_dir", type=str, default="./outputs/qlib-baselines", help="The checkpoint directory.")
+    args = parser.parse_args()
+
+    provider_uri = "~/.qlib/qlib_data/cn_data"
+    qlib.init(provider_uri=provider_uri, region=REG_CN)
+
+    main(args)

exps/trading/workflow_tt.py

@@ -4,7 +4,7 @@
 # Refer to:
 # - https://github.com/microsoft/qlib/blob/main/examples/workflow_by_code.ipynb
 # - https://github.com/microsoft/qlib/blob/main/examples/workflow_by_code.py
-# python exps/trading/workflow_tt.py
+# python exps/trading/workflow_tt.py --market all
 #####################################################
 import sys, argparse
 from pathlib import Path
@@ -102,10 +102,9 @@ def main(xargs):
 
     task = dict(model=model_config, dataset=dataset_config, record=record_config)
 
-
     # start exp to train model
-    with R.start(experiment_name="tt_model", uri=xargs.save_dir):
-        set_log_basic_config(R.get_recorder().root_uri / 'log.log')
+    with R.start(experiment_name="tt_model", uri=xargs.save_dir + "-" + xargs.market):
+        set_log_basic_config(R.get_recorder().root_uri / "log.log")
 
         model = init_instance_by_config(model_config)
         dataset = init_instance_by_config(dataset_config)
@@ -138,7 +137,7 @@ if __name__ == "__main__":
     parser.add_argument("--market", type=str, default="csi300", help="The market indicator.")
     args = parser.parse_args()
 
-    provider_uri = "~/.qlib/qlib_data/cn_data"  # target_dir
+    provider_uri = "~/.qlib/qlib_data/cn_data"
     qlib.init(provider_uri=provider_uri, region=REG_CN)
 
     main(args)