Merge pull request microsoft#479 from linhx25/main

Add TRA Model

examples/benchmarks/TRA/README.md

@@ -0,0 +1,81 @@
+# Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport
+
+This code provides a PyTorch implementation for TRA (Temporal Routing Adaptor), as described in the paper [Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport](http://arxiv.org/abs/2106.12950).
+
+* TRA (Temporal Routing Adaptor) is a lightweight module that consists of a set of independent predictors for learning multiple patterns as well as a router to dispatch samples to different predictors.
+* We also design a learning algorithm based on Optimal Transport (OT) to obtain the optimal sample to predictor assignment and effectively optimize the router with such assignment through an auxiliary loss term.
+
+
+# Running TRA 
+
+## Requirements
+- Install `Qlib` main branch
+
+## Running 
+
+We attach our running scripts for the paper in `run.sh`.
+
+And here are two ways to run the model:
+
+* Running from scripts with default parameters
+    You can directly run from Qlib command `qrun`:
+    ```
+    qrun configs/config_alstm.yaml
+    ```
+
+* Running from code with self-defined parameters
+    Setting different parameters is also allowed. See codes in `example.py`:
+    ```
+    python example.py --config_file configs/config_alstm.yaml
+    ```
+
+Here we trained TRA on a pretrained backbone model. Therefore we run `*_init.yaml` before TRA's scipts.
+
+# Results
+
+## Outputs
+
+After running the scripts, you can find result files in path `./output`:
+
+`info.json` - config settings and result metrics.
+
+`log.csv` - running logs.
+
+`model.bin` - the model parameter dictionary.
+
+`pred.pkl` - the prediction scores and output for inference.
+
+## Our Results
+| Methods | MSE| MAE| IC | ICIR | AR | AV | SR | MDD |
+|-------------------|-------------------|---------------------|--------------------|--------------------|--------------------|--------------------|--------------------|--------------------|
+|Linear|0.163|0.327|0.020|0.132|-3.2%|16.8%|-0.191|32.1%|
+|LightGBM|0.160(0.000)|0.323(0.000)|0.041|0.292|7.8%|15.5%|0.503|25.7%|
+|MLP|0.160(0.002)|0.323(0.003)|0.037|0.273|3.7%|15.3%|0.264|26.2%|
+|SFM|0.159(0.001)	|0.321(0.001)	|0.047	|0.381	|7.1%	|14.3%	|0.497	|22.9%|
+|ALSTM|0.158(0.001)	|0.320(0.001)	|0.053	|0.419	|12.3%	|13.7%	|0.897	|20.2%|
+|Trans.|0.158(0.001)	|0.322(0.001)	|0.051	|0.400	|14.5%	|14.2%	|1.028	|22.5%|
+|ALSTM+TS|0.160(0.002)	|0.321(0.002)	|0.039	|0.291	|6.7%	|14.6%	|0.480|22.3%|
+|Trans.+TS|0.160(0.004)	|0.324(0.005)	|0.037	|0.278	|10.4%	|14.7%	|0.722	|23.7%|
+|ALSTM+TRA(Ours)|0.157(0.000)	|0.318(0.000)	|0.059	|0.460	|12.4%	|14.0%	|0.885	|20.4%|
+|Trans.+TRA(Ours)|0.157(0.000)	|0.320(0.000)	|0.056	|0.442	|16.1%	|14.2%	|1.133	|23.1%|
+
+A more detailed demo for our experiment results in the paper can be found in `Report.ipynb`.
+
+# Common Issues
+
+For help or issues using TRA, please submit a GitHub issue.
+
+Sometimes we might encounter situation where the loss is `NaN`, please check the `epsilon` parameter in the sinkhorn algorithm, adjusting the `epsilon` according to input's scale is important. 
+
+# Citation
+If you find this repository useful in your research, please cite:
+```
+@inproceedings{HengxuKDD2021,
+ author = {Hengxu Lin and Dong Zhou and Weiqing Liu and Jiang Bian},
+ title = {Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport},
+ booktitle = {Proceedings of the 27th ACM SIGKDD Conference on Knowledge Discovery \& Data Mining},
+ series = {KDD '21},
+ year = {2021},
+ publisher = {ACM},
+}
+```