Add util function to help automatically get horizon (#1509)

* Add util function to help automatically get horizon

* Reformat for CI

* Leverage horizon change

* Udpate config yaml

* Update for formatting

* Adapt to pickled handler

* Fix CI error

* remove blank

* Fix lint

* Update tests

* Remove redundant check

* modify the code as suggested

* format code with pylint

* fix pytest error

---------

Co-authored-by: Linlang <[email protected]>

Author: chenditc

examples/benchmarks/TRA/workflow_config_tra_Alpha158.yaml

@@ -110,7 +110,6 @@ task:
         valid: [2015-01-01, 2016-12-31]
         test: [2017-01-01, 2020-08-01]
       seq_len: 60
-      horizon: 2
       input_size:
       num_states: *num_states
       batch_size: 1024

examples/benchmarks/TRA/workflow_config_tra_Alpha158_full.yaml

@@ -104,7 +104,6 @@ task:
         valid: [2015-01-01, 2016-12-31]
         test: [2017-01-01, 2020-08-01]
       seq_len: 60
-      horizon: 2
       input_size:
       num_states: *num_states
       batch_size: 1024

examples/benchmarks/TRA/workflow_config_tra_Alpha360.yaml

@@ -104,7 +104,6 @@ task:
         valid: [2015-01-01, 2016-12-31]
         test: [2017-01-01, 2020-08-01]
       seq_len: 60
-      horizon: 2
       input_size: 6
       num_states: *num_states
       batch_size: 1024

qlib/contrib/data/dataset.py

@@ -6,6 +6,8 @@
 import warnings
 import numpy as np
 import pandas as pd
+from qlib.utils.data import guess_horizon
+from qlib.utils import init_instance_by_config
 
 from qlib.data.dataset import DatasetH
 
@@ -130,6 +132,14 @@ def __init__(
         input_size=None,
         **kwargs,
     ):
+        if horizon == 0:
+            # Try to guess horizon
+            if isinstance(handler, (dict, str)):
+                handler = init_instance_by_config(handler)
+            assert "label" in getattr(handler.data_loader, "fields", None)
+            label = handler.data_loader.fields["label"][0][0]
+            horizon = guess_horizon([label])
+
         assert num_states == 0 or horizon > 0, "please specify `horizon` to avoid data leakage"
         assert memory_mode in ["sample", "daily"], "unsupported memory mode"
         assert memory_mode == "sample" or batch_size < 0, "daily memory requires daily sampling (`batch_size < 0`)"

qlib/utils/data.py

@@ -5,8 +5,11 @@
 """
 from copy import deepcopy
 from typing import List, Union
-import pandas as pd
+
 import numpy as np
+import pandas as pd
+
+from qlib.data.data import DatasetProvider
 
 
 def robust_zscore(x: pd.Series, zscore=False):
@@ -103,3 +106,12 @@ def update_config(base_config: dict, ext_config: Union[dict, List[dict]]):
                     # one of then are not dict. Then replace
                     base_config[key] = ec[key]
     return base_config
+
+
+def guess_horizon(label: List):
+    """
+    Try to guess the horizon by parsing label
+    """
+    expr = DatasetProvider.parse_fields(label)[0]
+    lft_etd, rght_etd = expr.get_extended_window_size()
+    return rght_etd

tests/misc/test_utils.py

@@ -9,6 +9,7 @@
 from qlib.log import TimeInspector
 from qlib.constant import REG_CN, REG_US, REG_TW
 from qlib.utils.time import cal_sam_minute as cal_sam_minute_new, get_min_cal, CN_TIME, US_TIME, TW_TIME
+from qlib.utils.data import guess_horizon
 
 REG_MAP = {REG_CN: CN_TIME, REG_US: US_TIME, REG_TW: TW_TIME}
 
@@ -112,5 +113,24 @@ def gen_args(cal: List):
                     cal_sam_minute_new(*args, region=region)
 
 
+class DataUtils(TestCase):
+    @classmethod
+    def setUpClass(cls):
+        init()
+
+    def test_guess_horizon(self):
+        label = ["Ref($close, -2) / Ref($close, -1) - 1"]
+        result = guess_horizon(label)
+        assert result == 2
+
+        label = ["Ref($close, -5) / Ref($close, -1) - 1"]
+        result = guess_horizon(label)
+        assert result == 5
+
+        label = ["Ref($close, -1) / Ref($close, -1) - 1"]
+        result = guess_horizon(label)
+        assert result == 1
+
+
 if __name__ == "__main__":
     unittest.main()