Files
NexQuant/rdagent/scenarios/qlib/factor_proposal.py
T
Xu Yang b4ba69dacc model proposal first version (#61)
* init code

* first version of model proposal
2024-07-11 10:50:34 +08:00

81 lines
3.0 KiB
Python

import json
from pathlib import Path
from typing import List, Tuple
from jinja2 import Environment, StrictUndefined
from rdagent.components.coder.factor_coder.factor import FactorExperiment, FactorTask
from rdagent.components.proposal.factor_proposal import (
FactorHypothesis,
FactorHypothesis2Experiment,
FactorHypothesisGen,
)
from rdagent.core.prompts import Prompts
from rdagent.core.proposal import Hypothesis, Scenario, Trace
prompt_dict = Prompts(file_path=Path(__file__).parent / "prompts.yaml")
QlibFactorHypothesis = FactorHypothesis
class QlibFactorHypothesisGen(FactorHypothesisGen):
def __init__(self, scen: Scenario) -> Tuple[dict, bool]:
super().__init__(scen)
def prepare_context(self, trace: Trace) -> Tuple[dict, bool]:
hypothesis_feedback = (
Environment(undefined=StrictUndefined)
.from_string(prompt_dict["hypothesis_and_feedback"])
.render(trace=trace)
)
context_dict = {
"hypothesis_and_feedback": hypothesis_feedback,
"RAG": ...,
"hypothesis_output_format": prompt_dict["hypothesis_output_format"],
}
return context_dict, True
def convert_response(self, response: str) -> FactorHypothesis:
response_dict = json.loads(response)
hypothesis = QlibFactorHypothesis(hypothesis=response_dict["hypothesis"], reason=response_dict["reason"])
return hypothesis
class QlibFactorHypothesis2Experiment(FactorHypothesis2Experiment):
def prepare_context(self, hypothesis: Hypothesis, trace: Trace) -> Tuple[dict | bool]:
scenario = trace.scen.get_scenario_all_desc()
experiment_output_format = prompt_dict["factor_experiment_output_format"]
hypothesis_and_feedback = (
Environment(undefined=StrictUndefined)
.from_string(prompt_dict["hypothesis_and_feedback"])
.render(trace=trace)
)
experiment_list: List[FactorExperiment] = [t[1] for t in trace.hist]
factor_list = []
for experiment in experiment_list:
factor_list.extend(experiment.sub_tasks)
return {
"target_hypothesis": str(hypothesis),
"scenario": scenario,
"hypothesis_and_feedback": hypothesis_and_feedback,
"experiment_output_format": experiment_output_format,
"target_list": factor_list,
"RAG": ...,
}, True
def convert_response(self, response: str, trace: Trace) -> FactorExperiment:
response_dict = json.loads(response)
tasks = []
for factor_name in response_dict:
description = response_dict[factor_name]["description"]
formulation = response_dict[factor_name]["formulation"]
variables = response_dict[factor_name]["variables"]
tasks.append(FactorTask(factor_name, description, formulation, variables))
exp = FactorExperiment(tasks)
exp.based_experiments = [t[1] for t in trace.hist if t[2]]
return exp