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.
User can choose "mse" metric to evaluate the model
How Has This Been Tested?
[x] Pass the test by running: pytest qlib/tests/test_all_pipeline.py under upper directory of qlib.
[x] If you are adding a new feature, test on your own test scripts.
Screenshots of Test Results (if appropriate):
Pipeline test:
Your own tests:
Use the file qlib/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml for testing. Set task -> model -> kwargs -> metric to mse and set n_jobs to 5 due to the memory limit of my computer.
Enhance the metric_fn method of the ALSTM class to include the "mse" metric option.
Description
Add "mse" metric option to ALSTM.metric_fn
Motivation and Context
https://github.com/microsoft/qlib/issues/1780#issue-2257857368
User can choose "mse" metric to evaluate the model
How Has This Been Tested?
pytest qlib/tests/test_all_pipeline.py
under upper directory ofqlib
.Screenshots of Test Results (if appropriate):
Pipeline test:![image](https://github.com/microsoft/qlib/assets/37997482/49110b2b-7b08-419e-b14e-b39de9709d27)
Your own tests: Use the file qlib/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml for testing. Set![image](https://github.com/microsoft/qlib/assets/37997482/7d45e259-a003-4191-b0d0-f3d15e943637)
task -> model -> kwargs -> metric
tomse
and set n_jobs to 5 due to the memory limit of my computer.Types of changes