Add scripts for Q

.latent-data/qlib

@@ -1 +1 @@
-Subproject commit 0ef7c8e0e62f1b08f89f676eac97cbbd2bcc1657
+Subproject commit e626264d5aebfb28295abd00d44827621bec33a5

exps/trading/baselines.py

@@ -1,10 +1,11 @@
 #####################################################
 # Copyright (c) Xuanyi Dong [GitHub D-X-Y], 2021.02 #
 #####################################################
+# python exps/trading/baselines.py --alg MLP        #
 # 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 MLP        #
+#                                                   #
 # python exps/trading/baselines.py --alg SFM        #
 # python exps/trading/baselines.py --alg XGBoost    #
 # python exps/trading/baselines.py --alg LightGBM   #

lib/procedures/q_exps.py

@@ -80,7 +80,7 @@ def run_exp(task_config, dataset, experiment_name, recorder_name, uri):
         # Train model
         R.log_params(**flatten_dict(task_config))
         if "save_path" in inspect.getfullargspec(model.fit).args:
-            model_fit_kwargs["save_path"] = os.path.join(recorder_root_dir, "model-ckps")
+            model_fit_kwargs["save_path"] = os.path.join(recorder_root_dir, "model.ckps")
         model.fit(**model_fit_kwargs)
         # Get the recorder
         recorder = R.get_recorder()

lib/trade_models/quant_transformer.py

@@ -17,7 +17,7 @@ import logging
 from qlib.utils import (
     unpack_archive_with_buffer,
     save_multiple_parts_file,
-    create_save_path,
+    get_or_create_path,
     drop_nan_by_y_index,
 )
 from qlib.log import get_module_logger, TimeInspector
@@ -176,7 +176,7 @@ class QuantTransformer(Model):
             _prepare_loader(test_dataset, False),
         )
 
-        save_path = create_save_path(save_path)
+        save_path = get_or_create_path(save_path)
         self.logger.info("Fit procedure for [{:}] with save path={:}".format(self.__class__.__name__, save_path))
 
         def _internal_test(ckp_epoch=None, results_dict=None):

scripts/trade/baseline.sh

@@ -0,0 +1,22 @@
+#!/bin/bash
+# bash scripts/trade/baseline.sh 0 csi300
+set -e
+echo script name: $0
+echo $# arguments
+
+if [ "$#" -ne 2 ] ;then
+  echo "Input illegal number of parameters " $#
+  exit 1
+fi
+
+gpu=$1
+market=$2
+
+algorithms="MLP GRU LSTM ALSTM XGBoost LightGBM"
+
+for alg in ${algorithms}
+do
+
+  python exps/trading/baselines.py --alg ${alg} --gpu ${gpu} --market ${market}
+
+done