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microsoft / qlib

Qlib is an AI-oriented quantitative investment platform that aims to realize the potential, empower research, and create value using AI technologies in quantitative investment, from exploring ideas to implementing productions. Qlib supports diverse machine learning modeling paradigms. including supervised learning, market dynamics modeling, and RL.
https://qlib.readthedocs.io/en/latest/
MIT License
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Support monrhly interval in PIT. #1112

Open ChiahungTai opened 2 years ago

ChiahungTai commented 2 years ago

🌟 Feature Description

Support monthly interval in PIT.

Motivation

  1. Application scenario
  2. Related works (Papers, Github repos etc.):
  3. Any other relevant and important information:

Some markets(ex: Taiwan Stock Market) will provide monthly revenue every month. So that make senese to support monthly in PIT.

Alternatives

N/A

Additional Notes

Related codes

  1. dump_pit.py
  2. pit/collector.py
  3. qlib/data/data.py: LocalPITProvider
  4. qlib/utils/init.py: get_period_list, get_period_offset, read_period_data
  5. test_pit.py

@bxdd @you-n-g, how do you think? Is there any related code I am missing?

you-n-g commented 2 years ago

@ChiahungTai I reviewed this PR again https://github.com/microsoft/qlib/pull/343/files . And I think you have considered all the related code. Looking forward to your PR :)

Thanks :)

ChiahungTai commented 2 years ago

Thanks for your comment. I will do my best.