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| # https://github.com/github/gitignore/blob/master/Python.gitignore | ||
| __pycache__/ | ||
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| *.pyc | ||
| *.so | ||
| *.ipynb | ||
| .ipynb_checkpoints | ||
| _build | ||
| build/ | ||
| dist/ | ||
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| *.pkl | ||
| *.hd5 | ||
| *.csv | ||
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| .env | ||
| .vim | ||
| .nvimrc | ||
| .vscode | ||
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| qlib/data/_libs/expanding.cpp | ||
| qlib/data/_libs/rolling.cpp | ||
| examples/estimator/estimator_example/ | ||
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| *.egg-info/ | ||
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| # special software | ||
| mlruns/ | ||
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| tags | ||
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| Changelog | ||
| ==================== | ||
| Here you can see the full list of changes between each QLib release. | ||
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| Version 0.1.0 | ||
| -------------------- | ||
| This is the initial release of QLib library. | ||
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| Version 0.1.1 | ||
| -------------------- | ||
| Performance optimize. Add more features and operators. | ||
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| Version 0.1.2 | ||
| -------------------- | ||
| - Support operator syntax. Now ``High() - Low()`` is equivalent to ``Sub(High(), Low())``. | ||
| - Add more technical indicators. | ||
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| Version 0.1.3 | ||
| -------------------- | ||
| Bug fix and add instruments filtering mechanism. | ||
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| Version 0.2.0 | ||
| -------------------- | ||
| - Redesign ``LocalProvider`` database format for performance improvement. | ||
| - Support load features as string fields. | ||
| - Add scripts for database construction. | ||
| - More operators and technical indicators. | ||
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| Version 0.2.1 | ||
| -------------------- | ||
| - Support registering user-defined ``Provider``. | ||
| - Support use operators in string format, e.g. ``['Ref($close, 1)']`` is valid field format. | ||
| - Support dynamic fields in ``$some_field`` format. And exising fields like ``Close()`` may be deprecated in the future. | ||
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| Version 0.2.2 | ||
| -------------------- | ||
| - Add ``disk_cache`` for reusing features (enabled by default). | ||
| - Add ``qlib.contrib`` for experimental model construction and evaluation. | ||
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| Version 0.2.3 | ||
| -------------------- | ||
| - Add ``backtest`` module | ||
| - Decoupling the Strategy, Account, Position, Exchange from the backtest module | ||
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| Version 0.2.4 | ||
| -------------------- | ||
| - Add ``profit attribution`` module | ||
| - Add ``rick_control`` and ``cost_control`` strategies | ||
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| Version 0.3.0 | ||
| -------------------- | ||
| - Add ``estimator`` module | ||
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| Version 0.3.1 | ||
| -------------------- | ||
| - Add ``filter`` module | ||
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| Version 0.3.2 | ||
| -------------------- | ||
| - Add real price trading, if the ``factor`` field in the data set is incomplete, use ``adj_price`` trading | ||
| - Refactor ``handler`` ``launcher`` ``trainer`` code | ||
| - Support ``backtest`` configuration parameters in the configuration file | ||
| - Fix bug in position ``amount`` is 0 | ||
| - Fix bug of ``filter`` module | ||
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| Version 0.3.3 | ||
| ------------------- | ||
| - Fix bug of ``filter`` module | ||
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| Version 0.3.4 | ||
| -------------------- | ||
| - Support for ``finetune model`` | ||
| - Refactor ``fetcher`` code | ||
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| Version 0.3.5 | ||
| -------------------- | ||
| - Support multi-label training, you can provide multiple label in ``handler``. (But LightGBM doesn't support due to the algorithm itself) | ||
| - Refactor ``handler`` code, dataset.py is no longer used, and you can deploy your own labels and features in ``feature_label_config`` | ||
| - Handler only offer DataFrame. Also, ``trainer`` and model.py only receive DataFrame | ||
| - Change ``split_rolling_data``, we roll the data on market calender now, not on normal date | ||
| - Move some date config from ``handler`` to ``trainer`` | ||
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| Version 0.4.0 | ||
| -------------------- | ||
| - Add `data` package that holds all data-related codes | ||
| - Reform the data provider structure | ||
| - Create a server for data centralized management `qlib-server<https://amc-msra.visualstudio.com/trading-algo/_git/qlib-server>`_ | ||
| - Add a `ClientProvider` to work with server | ||
| - Add a pluggable cache mechanism | ||
| - Add a recursive backtracking algorithm to inspect the furthest reference date for an expression | ||
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| .. note:: | ||
| The ``D.instruments`` function does not support ``start_time``, ``end_time``, and ``as_list`` parameters, if you want to get the results of previous versions of ``D.instruments``, you can do this: | ||
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| >>> from qlib.data import D | ||
| >>> instruments = D.instruments(market='csi500') | ||
| >>> D.list_instruments(instruments=instruments, start_time='2015-01-01', end_time='2016-02-15', as_list=True) | ||
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| Version 0.4.1 | ||
| -------------------- | ||
| - Add support Windows | ||
| - Fix ``instruments`` type bug | ||
| - Fix ``features`` is empty bug(It will cause failure in updating) | ||
| - Fix ``cache`` lock and update bug | ||
| - Fix use the same cache for the same field (the original space will add a new cache) | ||
| - Change "logger handler" from config | ||
| - Change model load support 0.4.0 later | ||
| - The default value of the ``method`` parameter of ``risk_analysis`` function is changed from **ci** to **si** | ||
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| Version 0.4.2 | ||
| -------------------- | ||
| - Refactor DataHandler | ||
| - Add ``ALPHA360`` DataHandler | ||
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| Version 0.4.3 | ||
| -------------------- | ||
| - Implementing Online Inference and Trading Framework | ||
| - Refactoring The interfaces of backtest and strategy module. | ||
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| Version 0.4.4 | ||
| -------------------- | ||
| - Optimize cache generation performance | ||
| - Add report module | ||
| - Fix bug when using ``ServerDatasetCache`` offline. | ||
| - In the previous version of ``long_short_backtest``, there is a case of ``np.nan`` in long_short. The current version ``0.4.4`` has been fixed, so ``long_short_backtest`` will be different from the previous version. | ||
| - In the ``0.4.2`` version of ``risk_analysis`` function, ``N`` is ``250``, and ``N`` is ``252`` from ``0.4.3``, so ``0.4.2`` is ``0.002122`` smaller than the ``0.4.3`` the backtest result is slightly different between ``0.4.2`` and ``0.4.3``. | ||
| - refactor the argument of backtest function. | ||
| - **NOTE**: | ||
| - The default arguments of topk margin strategy is changed. Please pass the arguments explicitly if you want to get the same backtest result as previous version. | ||
| - The TopkWeightStrategy is changed slightly. It will try to sell the stocks more than ``topk``. (The backtest result of TopkAmountStrategy remains the same) | ||
| - The margin ratio mechanism is supported in the Topk Margin strategies. | ||
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| Version 0.4.5 | ||
| -------------------- | ||
| - Add multi-kernel implementation for both client and server. | ||
| - Support a new way to load data from client which skips dataset cache. | ||
| - Change the default dataset method from single kernel implementation to multi kernel implementation. | ||
| - Accelerate the high frequency data reading by optimizing the relative modules. | ||
| - Support a new method to write config file by using dict. | ||
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| Version 0.4.6 | ||
| -------------------- | ||
| - Some bugs are fixed | ||
| - The default config in `Version 0.4.5` is not friendly to daily frequency data. | ||
| - Backtest error in TopkWeightStrategy when `WithInteract=True`. |
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