mirror of
https://github.com/NicolasBohn/NexQuant.git
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74d5a8234e
Connect Protection Manager, Results Database, model_loader, and Technical Indicators to the main fin_quant trading loop. P0 - CRITICAL INTEGRATIONS: 1. PROTECTION MANAGER in factor_runner.py - Automatic protection check after every backtest - Factors with >15% drawdown are rejected - Cooldown, stoploss guard, low performance filters active - Error handling: workflow continues if protection fails 2. RESULTS DATABASE in quant.py - Auto-save experiment results to SQLite after each loop - Stores: IC, Sharpe, Max DD, Annualized Return, Win Rate - Queryable via ResultsDatabase API - Error handling: warning logged, workflow continues P1 - IMPORTANT INTEGRATIONS: 3. MODEL LOADER in model_coder.py - Loads models/local/ as baseline reference for LLM - Transformer, TCN, PatchTST, CNN+LSTM now used as starting point - LLM can improve upon existing models instead of from scratch 4. TECHNICAL INDICATORS in factor_coder.py - RSI, MACD, Bollinger Bands, CCI, ATR available to LLM - Import paths and usage examples in prompts - Better factor generation with professional indicators TESTS (32 new, ALL PASS): - 23 integration tests in test/qlib/test_fin_quant_integration.py - 9 enhanced integration tests in test/integration/test_all_features.py - All 183 tests pass (122 backtesting + 29 qlib + 32 new) Modified files: - rdagent/app/qlib_rd_loop/quant.py: Results Database integration - rdagent/scenarios/qlib/developer/factor_runner.py: Protection Manager - rdagent/scenarios/qlib/developer/model_coder.py: model_loader baseline - rdagent/scenarios/qlib/developer/factor_coder.py: Technical indicators - test/qlib/test_fin_quant_integration.py: NEW - 23 integration tests - test/integration/test_all_features.py: 9 enhanced tests
86 lines
2.8 KiB
Python
86 lines
2.8 KiB
Python
"""
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Qlib Model Coder - Generates and improves ML models using LLM.
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Integrates with model_loader to load local models as baselines
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for the LLM to reference and improve upon.
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"""
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import inspect
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from typing import Any
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from rdagent.components.coder.model_coder import ModelCoSTEER
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from rdagent.core.scenario import Scenario
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class QlibModelCoSTEER(ModelCoSTEER):
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"""
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Qlib-specific Model Coder that integrates local model baselines.
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Loads available local models and includes their source code
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in the LLM prompt as reference implementations to improve upon.
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"""
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def __init__(self, scen: Scenario, *args, **kwargs) -> None:
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super().__init__(scen, *args, **kwargs)
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self._baseline_code = self._load_baseline_models()
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def _load_baseline_models(self) -> str:
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"""
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Load available local models as baseline references.
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Returns
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-------
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str
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Source code of available baseline models, or empty string if none found.
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"""
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try:
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from rdagent.components.model_loader import load_model, list_available_models
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available = list_available_models()
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local_models = available.get("local", [])
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if not local_models:
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return ""
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# Load the first available local model as baseline
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baseline_code_parts = []
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for model_name in local_models[:2]: # Load up to 2 baselines
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try:
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model_factory = load_model(model_name)
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source = inspect.getsource(model_factory)
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baseline_code_parts.append(
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f"### Baseline Model: {model_name}\n```python\n{source}\n```\n"
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)
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except Exception as e:
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# Skip models that fail to load
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pass
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if baseline_code_parts:
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return (
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"\n## Reference Baseline Models\n"
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"Here are existing local models you can improve upon:\n\n"
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+ "\n".join(baseline_code_parts)
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)
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except Exception as e:
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# If model_loader fails entirely, return empty baseline
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pass
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return ""
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def develop(self, exp: Any) -> Any:
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"""
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Develop a model experiment with baseline reference.
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If baseline models are available, they are referenced in the
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development process to guide the LLM toward better implementations.
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"""
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# Store baseline code in scenario for prompt injection
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if self._baseline_code and hasattr(self, "scen"):
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self.scen.baseline_model_code = self._baseline_code
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return super().develop(exp)
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# Backward compatibility alias
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QlibModelCoSTEER = QlibModelCoSTEER
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