Quick Start¶

Introduction¶

This Quick Start guide tries to demonstrate

• It’s very easy to build a complete Quant research workflow and try users’ ideas with Qlib.
• Though with public data and simple models, machine learning technologies work very well in practical Quant investment.

Installation¶

Users can easily intsall Qlib according to the following steps:

• Before installing Qlib from source, users need to install some dependencies:

• Clone the repository and install Qlib

Prepare Data¶

Load and prepare data by running the following code:

This dataset is created by public data collected by crawler scripts in scripts/data_collector/, which have been released in the same repository. Users could create the same dataset with it.

Auto Quant Research Workflow¶

Qlib provides a tool named qrun to run the whole workflow automatically (including building dataset, training models, backtest and evaluation). Users can start an auto quant research workflow and have a graphical reports analysis according to the following steps:

• Quant Research Workflow:
• Run qrun with a config file of the LightGBM model workflow_config_lightgbm.yaml as following.

• Workflow result

The result of qrun is as follows, which is also the typical result of Forecast model(alpha). Please refer to Intraday Trading. for more details about the result.

                                                  risk
excess_return_without_cost mean               0.000605
std                0.005481
annualized_return  0.152373
information_ratio  1.751319
max_drawdown      -0.059055
excess_return_with_cost    mean               0.000410
std                0.005478
annualized_return  0.103265
information_ratio  1.187411
max_drawdown      -0.075024


To know more about workflow and qrun, please refer to Workflow: Workflow Management.

• Graphical Reports Analysis:
• Run examples/workflow_by_code.ipynb with jupyter notebook
Users can have portfolio analysis or prediction score (model prediction) analysis by run examples/workflow_by_code.ipynb.
• Graphical Reports
Users can get graphical reports about the analysis, please refer to Analysis: Evaluation & Results Analysis for more details.

Custom Model Integration¶

Qlib provides a batch of models (such as lightGBM and MLP models) as examples of Forecast Model. In addition to the default model, users can integrate their own custom models into Qlib. If users are interested in the custom model, please refer to Custom Model Integration.