refactor TRA

examples/benchmarks/README.md

@@ -25,6 +25,7 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
 | TCTS (Xueqing Wu, et al.)| Alpha360 | 0.0485±0.00 | 0.3689±0.04| 0.0586±0.00 | 0.4669±0.02 | 0.0816±0.02 | 1.1572±0.30| -0.0689±0.02 |
 | Transformer (Ashish Vaswani, et al.)| Alpha360 | 0.0141±0.00 | 0.0917±0.02| 0.0331±0.00 | 0.2357±0.03 | -0.0259±0.03 | -0.3323±0.43| -0.1763±0.07 |
 | Localformer (Juyong Jiang, et al.)| Alpha360 | 0.0408±0.00 | 0.2988±0.03| 0.0538±0.00 | 0.4105±0.02 | 0.0275±0.03 | 0.3464±0.37| -0.1182±0.03 |
+| TRA (Hengxu Lin, et al.)| Alpha360 | 0.0500±0.00 |  0.3966±0.04 |  0.0594±0.00 |  0.4856±0.03 | 0.1000±0.02 |  1.3425±0.31 |  -0.0845±0.02 |
 
 ## Alpha158 dataset
 | Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |
@@ -43,6 +44,8 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
 | TabNet (Sercan O. Arik, et al.)| Alpha158 | 0.0383±0.00 | 0.3414±0.00| 0.0388±0.00 | 0.3460±0.00 | 0.0226±0.00 | 0.2652±0.00| -0.1072±0.00 |
 | Transformer (Ashish Vaswani, et al.)| Alpha158 | 0.0274±0.00 | 0.2166±0.04| 0.0409±0.00 | 0.3342±0.04 | 0.0204±0.03 | 0.2888±0.40| -0.1216±0.04 |
 | Localformer (Juyong Jiang, et al.)| Alpha158 | 0.0355±0.00 | 0.2747±0.04| 0.0466±0.00 | 0.3762±0.03 | 0.0506±0.02 | 0.7447±0.34| -0.0875±0.02 |
+| TRA (Hengxu Lin, et al.)| Alpha158 (with selected 20 features) | 0.0440±0.00 | 0.3592±0.03 | 0.0500±0.00 | 0.4256±0.02 | 0.0747±0.03 | 1.1281±0.49 | -0.0813±0.03 |
+| TRA (Hengxu Lin, et al.)| Alpha158 | 0.0474±0.00 | 0.3653±0.03 | 0.0573±0.00 | 0.4494±0.02 | 0.0770±0.02 | 1.1342±0.38 | -0.0852±0.03 |
 
 - The selected 20 features are based on the feature importance of a lightgbm-based model.
 - The base model of DoubleEnsemble is LGBM.

examples/benchmarks/TRA/README.md

@@ -1,53 +1,77 @@
 # Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport
 
-This code provides a PyTorch implementation for TRA (Temporal Routing Adaptor), as described in the paper [Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport](http://arxiv.org/abs/2106.12950).
+Temporal Routing Adaptor (TRA) is designed to capture multiple trading patterns in the stock market data. Please refer to [our paper](http://arxiv.org/abs/2106.12950) for more details.
 
-* TRA (Temporal Routing Adaptor) is a lightweight module that consists of a set of independent predictors for learning multiple patterns as well as a router to dispatch samples to different predictors.
-* We also design a learning algorithm based on Optimal Transport (OT) to obtain the optimal sample to predictor assignment and effectively optimize the router with such assignment through an auxiliary loss term.
+If you find our work useful in your research, please cite:
+```
+@inproceedings{HengxuKDD2021,
+ author = {Hengxu Lin and Dong Zhou and Weiqing Liu and Jiang Bian},
+ title = {Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport},
+ booktitle = {Proceedings of the 27th ACM SIGKDD Conference on Knowledge Discovery \& Data Mining},
+ series = {KDD '21},
+ year = {2021},
+ publisher = {ACM},
+}
+
+@article{yang2020qlib,
+  title={Qlib: An AI-oriented Quantitative Investment Platform},
+  author={Yang, Xiao and Liu, Weiqing and Zhou, Dong and Bian, Jiang and Liu, Tie-Yan},
+  journal={arXiv preprint arXiv:2009.11189},
+  year={2020}
+}
+```
+
+## Usage (Recommended)
+
+**Update**: `TRA` has been moved to `qlib.contrib.model.pytorch_tra` to support other `Qlib` components like  `qlib.workflow` and `Alpha158/Alpha360` dataset.
+
+Please follow the official [doc](https://qlib.readthedocs.io/en/latest/component/workflow.html) to use `TRA` with `workflow`. Here we also provide several example config files:
+
+- `workflow_config_tra_Alpha360.yaml`: running `TRA` with `Alpha360` dataset
+- `workflow_config_tra_Alpha158.yaml`: running `TRA` with `Alpha158` dataset (with feature subsampling)
+- `workflow_config_tra_Alpha158_full.yaml`: running `TRA` with `Alpha158` dataset (without feature subsampling)
 
+The performances of `TRA` are reported in [Benchmarks](https://github.com/microsoft/qlib/tree/main/examples/benchmarks).
 
-# Running TRA 
+## Usage (Not Maintained)
 
-## Requirements
-- Install `Qlib` main branch
+This section is used to reproduce the results in the paper.
 
-## Running 
+### Running
 
 We attach our running scripts for the paper in `run.sh`.
 
 And here are two ways to run the model:
 
 * Running from scripts with default parameters
-    You can directly run from Qlib command `qrun`:
-    ```
-    qrun configs/config_alstm.yaml
-    ```
+
+  You can directly run from Qlib command `qrun`:
+  ```
+  qrun configs/config_alstm.yaml
+  ```
 
 * Running from code with self-defined parameters
-    Setting different parameters is also allowed. See codes in `example.py`:
-    ```
-    python example.py --config_file configs/config_alstm.yaml
-    ```
 
-Here we trained TRA on a pretrained backbone model. Therefore we run `*_init.yaml` before TRA's scipts.
+  Setting different parameters is also allowed. See codes in `example.py`:
+  ```
+  python example.py --config_file configs/config_alstm.yaml
+  ```
 
-# Results
+Here we trained TRA on a pretrained backbone model. Therefore we run `*_init.yaml` before TRA's scipts.
 
-## Outputs
+### Results
 
 After running the scripts, you can find result files in path `./output`:
 
-`info.json` - config settings and result metrics.
-
-`log.csv` - running logs.
+* `info.json` - config settings and result metrics.
+* `log.csv` - running logs.
+* `model.bin` - the model parameter dictionary.
+* `pred.pkl` - the prediction scores and output for inference.
 
-`model.bin` - the model parameter dictionary.
+Evaluation metrics reported in the paper:
 
-`pred.pkl` - the prediction scores and output for inference.
-
-## Our Results
 | Methods | MSE| MAE| IC | ICIR | AR | AV | SR | MDD |
-|-------------------|-------------------|---------------------|--------------------|--------------------|--------------------|--------------------|--------------------|--------------------|
+|-------|-------|------|-----|-----|-----|-----|-----|-----|
 |Linear|0.163|0.327|0.020|0.132|-3.2%|16.8%|-0.191|32.1%|
 |LightGBM|0.160(0.000)|0.323(0.000)|0.041|0.292|7.8%|15.5%|0.503|25.7%|
 |MLP|0.160(0.002)|0.323(0.003)|0.037|0.273|3.7%|15.3%|0.264|26.2%|
@@ -61,21 +85,8 @@ After running the scripts, you can find result files in path `./output`:
 
 A more detailed demo for our experiment results in the paper can be found in `Report.ipynb`.
 
-# Common Issues
+## Common Issues
 
 For help or issues using TRA, please submit a GitHub issue.
 
-Sometimes we might encounter situation where the loss is `NaN`, please check the `epsilon` parameter in the sinkhorn algorithm, adjusting the `epsilon` according to input's scale is important. 
-
-# Citation
-If you find this repository useful in your research, please cite:
-```
-@inproceedings{HengxuKDD2021,
- author = {Hengxu Lin and Dong Zhou and Weiqing Liu and Jiang Bian},
- title = {Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport},
- booktitle = {Proceedings of the 27th ACM SIGKDD Conference on Knowledge Discovery \& Data Mining},
- series = {KDD '21},
- year = {2021},
- publisher = {ACM},
-}
-```
+Sometimes we might encounter situation where the loss is `NaN`, please check the `epsilon` parameter in the sinkhorn algorithm, adjusting the `epsilon` according to input's scale is important.

examples/benchmarks/TRA/workflow_config_tra_Alpha158.yaml

@@ -0,0 +1,126 @@
+qlib_init:
+  provider_uri: "~/.qlib/qlib_data/cn_data"
+  region: cn
+
+market: &market csi300
+benchmark: &benchmark SH000300
+
+data_handler_config: &data_handler_config
+    start_time: 2008-01-01
+    end_time: 2020-08-01
+    fit_start_time: 2008-01-01
+    fit_end_time: 2014-12-31
+    instruments: *market
+    infer_processors:
+      - class: FilterCol
+        kwargs:
+          fields_group: feature
+          col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10",
+                            "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5",
+                            "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"]
+      - class: RobustZScoreNorm
+        kwargs:
+          fields_group: feature
+          clip_outlier: true
+      - class: Fillna
+        kwargs:
+          fields_group: feature
+    learn_processors:
+        - class: CSRankNorm
+          kwargs:
+              fields_group: label
+    label: ["Ref($close, -2) / Ref($close, -1) - 1"]
+
+num_states: &num_states 3
+
+memory_mode: &memory_mode sample
+
+tra_config: &tra_config
+  num_states: *num_states
+  hidden_size: 16
+  tau: 1.0
+  src_info: LR_TPE
+
+model_config: &model_config
+  input_size: 20
+  hidden_size: 64
+  num_layers: 2
+  rnn_arch: LSTM
+  use_attn: True
+  dropout: 0.0
+
+port_analysis_config: &port_analysis_config
+    strategy:
+        class: TopkDropoutStrategy
+        module_path: qlib.contrib.strategy.strategy
+        kwargs:
+            topk: 50
+            n_drop: 5
+    backtest:
+        verbose: False
+        limit_threshold: 0.095
+        account: 100000000
+        benchmark: *benchmark
+        deal_price: close
+        open_cost: 0.0005
+        close_cost: 0.0015
+        min_cost: 5
+
+task:
+  model:
+    class: TRAModel
+    module_path: qlib.contrib.model.pytorch_tra
+    kwargs:
+      tra_config: *tra_config
+      model_config: *model_config
+      model_type: RNN
+      lr: 1e-3
+      n_epochs: 100
+      max_steps_per_epoch: 100
+      early_stop: 10
+      smooth_steps: 5
+      seed: 0
+      logdir:
+      lamb: 1.0
+      rho: 1.0
+      transport_method: router
+      memory_mode: *memory_mode
+      eval_train: False
+      eval_test: True
+      pretrain: True
+      init_state:
+      freeze_model: False
+      freeze_predictors: False
+  dataset:
+    class: MTSDatasetH
+    module_path: qlib.contrib.data.dataset
+    kwargs:
+      handler:
+        class: Alpha158
+        module_path: qlib.contrib.data.handler
+        kwargs: *data_handler_config
+      segments:
+        train: [2008-01-01, 2014-12-31]
+        valid: [2015-01-01, 2016-12-31]
+        test: [2017-01-01, 2020-08-01]
+      seq_len: 60
+      horizon: 2
+      input_size:
+      num_states: *num_states
+      batch_size: 1024
+      n_samples:
+      memory_mode: *memory_mode
+      drop_last: True
+  record:
+    - class: SignalRecord
+      module_path: qlib.workflow.record_temp
+      kwargs: {}
+    - class: SigAnaRecord
+      module_path: qlib.workflow.record_temp
+      kwargs:
+        ana_long_short: False
+        ann_scaler: 252
+    - class: PortAnaRecord
+      module_path: qlib.workflow.record_temp
+      kwargs:
+        config: *port_analysis_config

examples/benchmarks/TRA/workflow_config_tra_Alpha158_full.yaml

@@ -0,0 +1,120 @@
+qlib_init:
+  provider_uri: "~/.qlib/qlib_data/cn_data"
+  region: cn
+
+market: &market csi300
+benchmark: &benchmark SH000300
+
+data_handler_config: &data_handler_config
+    start_time: 2008-01-01
+    end_time: 2020-08-01
+    fit_start_time: 2008-01-01
+    fit_end_time: 2014-12-31
+    instruments: *market
+    infer_processors:
+      - class: RobustZScoreNorm
+        kwargs:
+          fields_group: feature
+          clip_outlier: true
+      - class: Fillna
+        kwargs:
+          fields_group: feature
+    learn_processors:
+        - class: CSRankNorm
+          kwargs:
+              fields_group: label
+    label: ["Ref($close, -2) / Ref($close, -1) - 1"]
+
+num_states: &num_states 3
+
+memory_mode: &memory_mode sample
+
+tra_config: &tra_config
+  num_states: *num_states
+  hidden_size: 16
+  tau: 1.0
+  src_info: LR_TPE
+
+model_config: &model_config
+  input_size: 158
+  hidden_size: 256
+  num_layers: 2
+  rnn_arch: LSTM
+  use_attn: True
+  dropout: 0.2
+
+port_analysis_config: &port_analysis_config
+    strategy:
+        class: TopkDropoutStrategy
+        module_path: qlib.contrib.strategy.strategy
+        kwargs:
+            topk: 50
+            n_drop: 5
+    backtest:
+        verbose: False
+        limit_threshold: 0.095
+        account: 100000000
+        benchmark: *benchmark
+        deal_price: close
+        open_cost: 0.0005
+        close_cost: 0.0015
+        min_cost: 5
+
+task:
+  model:
+    class: TRAModel
+    module_path: qlib.contrib.model.pytorch_tra
+    kwargs:
+      tra_config: *tra_config
+      model_config: *model_config
+      model_type: RNN
+      lr: 1e-3
+      n_epochs: 100
+      max_steps_per_epoch: 100
+      early_stop: 10
+      smooth_steps: 5
+      seed: 0
+      logdir:
+      lamb: 1.0
+      rho: 1.0
+      transport_method: router
+      memory_mode: *memory_mode
+      eval_train: False
+      eval_test: True
+      pretrain: True
+      init_state:
+      freeze_model: False
+      freeze_predictors: False
+  dataset:
+    class: MTSDatasetH
+    module_path: qlib.contrib.data.dataset
+    kwargs:
+      handler:
+        class: Alpha158
+        module_path: qlib.contrib.data.handler
+        kwargs: *data_handler_config
+      segments:
+        train: [2008-01-01, 2014-12-31]
+        valid: [2015-01-01, 2016-12-31]
+        test: [2017-01-01, 2020-08-01]
+      seq_len: 60
+      horizon: 2
+      input_size:
+      num_states: *num_states
+      batch_size: 1024
+      n_samples:
+      memory_mode: *memory_mode
+      drop_last: True
+  record:
+    - class: SignalRecord
+      module_path: qlib.workflow.record_temp
+      kwargs: {}
+    - class: SigAnaRecord
+      module_path: qlib.workflow.record_temp
+      kwargs:
+        ana_long_short: False
+        ann_scaler: 252
+    - class: PortAnaRecord
+      module_path: qlib.workflow.record_temp
+      kwargs:
+        config: *port_analysis_config