Add util function to help automatically get horizon #1509
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qlib/contrib/data/dataset.py
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| # Try to guess horizon | ||
| if isinstance(handler, dict): | ||
| handler = init_instance_by_config(handler) | ||
| elif isinstance(handler, str): # pickled handler |
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Could we write it like this?
if isinstance(handler, (dict, str))
Fivele-Li
reviewed
May 18, 2023
| # Unlikely the label doesn't use future information | ||
| if max_horizon < 2: | ||
| return 0 | ||
| return max_horizon + 1 |
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Why is it return max_horizon+1 here instead of return max_horizon or return max_horizon-min_horizon?
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This is consistent with exisiting deinition of "horizon" in other code like DDG-DA and TRA. There is no official documentation, TRA workflow config use max_horizon to truncate and DDG-DA use max_horizon + 1. I use max_horizon + 1 here just to make things safe.
Any suggestion from qlib team?
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Add util function to help automatically get horizon
Description
Add util function to help automatically get horizon
Motivation and Context
In some code like TRA and DDG-DA, horizon is manually passed into the model. Which is not convenient to automate the workflow. Add a util function to help guess the horizon by label.
How Has This Been Tested?
pytest qlib/tests/test_all_pipeline.pyunder upper directory ofqlib.Screenshots of Test Results (if appropriate):
Pipeline test:
Your own tests:
qrun workflow_config_tra_Alpha158.yaml and remove the "horizon" field in the yaml config
Types of changes