qlib feat: add comprehensive short selling support to qlib backtest framework

This commit introduces a complete short selling framework for qlib that enables:

Core Components:

ShortableExchange: Exchange supporting short positions with proper fee calculation
ShortablePosition: Position class handling negative holdings and borrowing costs
ShortableBacktest: Integration module with ShortableExecutor and LongShortStrategy
BorrowFeeModel: Configurable borrowing cost calculation framework

Key Features:

Full short selling support with negative position tracking
Cross-zero position handling (e.g., long -> flat -> short transitions)
Proper fee calculation for both legs when crossing zero
Borrowing cost management with daily settlement
Risk management with leverage and exposure controls
Support for crypto and traditional markets with different trading calendars
Production-grade stability matching qlib standards

Technical Improvements:

Enhanced position metrics (leverage, net exposure, gross value)
Robust price validation and fallback mechanisms
Proper cash settlement for T+1 and immediate modes
Integration with existing qlib infrastructure
Comprehensive test coverage with real crypto data

Description

Motivation and Context

How Has This Been Tested?

[ ] Pass the test by running: pytest qlib/tests/test_all_pipeline.py under upper directory of qlib.
[ ] If you are adding a new feature, test on your own test scripts.

Screenshots of Test Results (if appropriate):

Pipeline test:
Your own tests:

Types of changes

[ ] Fix bugs
[ ] Add new feature
[ ] Update documentation

Aug 15 '25 17:08 JakobWong

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Aug 15 '25 17:08 JakobWong

Hi, @JakobWong First of all, thank you for your contribution to qlib, secondly, I would like to know where did you get this data ~/.qlib/qlib_data/crypto_data_perp from? I think it would be very helpful for my testing.

Aug 20 '25 08:08 SunsetWolf

Hi, @JakobWong First of all, thank you for your contribution to qlib, secondly, I would like to know where did you get this data ~/.qlib/qlib_data/crypto_data_perp from? I think it would be very helpful for my testing.

Hello, I implemented my own crypto data collector and it was not included in this pr. You may test it with regular regions or if it's necessary I can include it in this pr as well

Aug 20 '25 13:08 JakobWong

Hi, @JakobWong I tried to test the code qlib/example/workflow_by_code_longshort_crypto.py, and found a problem with the circular import.

workflow_by_code_longshort_crypto.py → qlib.workflow.record_temp → qlib.contrib.evaluate → qlib.strategy.base → qlib.backtest → qlib.workflow.record_temp

And a lot of circular import, eventually lead to Memory Error, I think this problem may have something to do with the system, macOS/Linux multiprocessing uses fork mode, and will not trigger this problem, windows multiprocessing does not support fork mode, will trigger the circular import problem. Please fix this bug.

Also, could you move the three samples codes from qlib/examples to the examples/ folder in the project root?

Aug 21 '25 10:08 SunsetWolf

Hi, @JakobWong I tried to test the code qlib/example/workflow_by_code_longshort_crypto.py, and found a problem with the circular import.

workflow_by_code_longshort_crypto.py → qlib.workflow.record_temp → qlib.contrib.evaluate → qlib.strategy.base → qlib.backtest → qlib.workflow.record_temp

And a lot of circular import, eventually lead to Memory Error, I think this problem may have something to do with the system, macOS/Linux multiprocessing uses fork mode, and will not trigger this problem, windows multiprocessing does not support fork mode, will trigger the circular import problem. Please fix this bug.

Also, could you move the three samples codes from qlib/examples to the examples/ folder in the project root?

Hi @SunsetWolf,

Thanks for catching this! I've done updates as follows:

Fixed:

Circular imports: Moved problematic imports inside if __name__ == "__main__": and added multiprocessing.freeze_support() for Windows compatibility
File locations: Moved all three example files from qlib/examples/ to project root examples/ as requested

The main culprit was runtime imports triggering the circular chain you identified. I've also added a FAST_DEBUG mode for quicker testing.

Changes are pushed to feature/shortable-trading-support. Let me know if you spot any other issues!

Aug 21 '25 17:08 JakobWong

Hi, @JakobWong

Thanks for fixing bug, I'm trying to run the sample code on the latest modification. Some issues were found:

workflow_by_code_longshort_crypto.py reports: crypto_qlib_config.py file is missing. Here is the output of my terminal:

[18652:MainThread](2025-08-22 12:43:00,535) INFO - qlib.Initialization - [config.py:457] - default_conf: client.
[18652:MainThread](2025-08-22 12:43:00,583) INFO - qlib.Initialization - [__init__.py:75] - qlib successfully initialized based on client settings.
[18652:MainThread](2025-08-22 12:43:00,583) INFO - qlib.Initialization - [__init__.py:77] - data_path={'__DEFAULT_FREQ': WindowsPath('C:/Users/admin/.qlib/qlib_data/cn_data')}
[18652:MainThread](2025-08-22 12:51:49,007) INFO - qlib.timer - [log.py:127] - Time cost: 508.061s | Loading data Done
[18652:MainThread](2025-08-22 12:51:51,077) INFO - qlib.timer - [log.py:127] - Time cost: 0.531s | DropnaLabel Done
[18652:MainThread](2025-08-22 12:52:00,301) INFO - qlib.timer - [log.py:127] - Time cost: 9.224s | CSZScoreNorm Done
[18652:MainThread](2025-08-22 12:52:00,412) INFO - qlib.timer - [log.py:127] - Time cost: 11.404s | fit & process data Done
[18652:MainThread](2025-08-22 12:52:00,412) INFO - qlib.timer - [log.py:127] - Time cost: 519.465s | Init data Done
[18652:MainThread](2025-08-22 12:52:00,417) ERROR - qlib.workflow - [utils.py:41] - An exception has been raised[FileNotFoundError: [Errno 2] No such file or directory: 'C:\\Users\\admin\\Desktop\\qlib\\1986\\crypto-qlib\\crypto_qlib_config.py'].
  File "C:\Users\admin\Desktop\qlib\1986\qlib\examples\workflow_by_code_longshort_crypto.py", line 121, in <module>
  spec.loader.exec_module(crypto_cfg)
  File "<frozen importlib._bootstrap_external>", line 879, in exec_module
  File "<frozen importlib._bootstrap_external>", line 1016, in get_code
  File "<frozen importlib._bootstrap_external>", line 1073, in get_data
FileNotFoundError: [Errno 2] No such file or directory: 'C:\\Users\\admin\\Desktop\\qlib\\1986\\crypto-qlib\\crypto_qlib_config.py'

I noticed that crypto_qlib_config.py is not mentioned in this PR. How do I get this file?

shortable_debug_day.py reports: ShortableExecutor has no common_infra attribute. Here is the output of my terminal:

[35616:MainThread](2025-08-22 13:15:52,257) INFO - qlib.Initialization - [config.py:457] - default_conf: client.
[35616:MainThread](2025-08-22 13:15:56,045) INFO - qlib.Initialization - [__init__.py:75] - qlib successfully initialized based on client settings.
[35616:MainThread](2025-08-22 13:15:56,045) INFO - qlib.Initialization - [__init__.py:77] - data_path={'__DEFAULT_FREQ': WindowsPath('C:/Users/admin/.qlib/qlib_data/cn_data')}
[35616:MainThread](2025-08-22 13:15:57,937) WARNING - qlib.data - [data.py:665] - load calendar error: freq=day, future=True; return current calendar!
[35616:MainThread](2025-08-22 13:15:57,942) WARNING - qlib.data - [data.py:668] - You can get future calendar by referring to the following document: https://github.com/microsoft/qlib/blob/main/scripts/data_collector/contrib/README.md
[35616:MainThread](2025-08-22 13:15:57,994) WARNING - qlib.BaseExecutor - [executor.py:121] - `common_infra` is not set for <qlib.backtest.shortable_backtest.ShortableExecutor object at 0x00000282F202FC40>
[35616:MainThread](2025-08-22 13:15:58,036) ERROR - qlib.workflow - [utils.py:41] - An exception has been raised[AttributeError: 'ShortableExecutor' object has no attribute 'common_infra'].
  File "C:\Users\admin\Desktop\qlib\1986\qlib\examples\shortable_backtest_crypto_loop.py", line 91, in <module>
    main()
  File "C:\Users\admin\Desktop\qlib\1986\qlib\examples\shortable_backtest_crypto_loop.py", line 77, in main
    strat.reset(level_infra=exe.get_level_infra(), common_infra=exe.common_infra)
AttributeError: 'ShortableExecutor' object has no attribute 'common_infra'

I think the reason for this problem is that the common_infra parameter is not passed during construction. Please fix this bug.

Aug 22 '25 06:08 SunsetWolf

Hi, @JakobWong

Thanks for fixing bug, I'm trying to run the sample code on the latest modification. Some issues were found:

workflow_by_code_longshort_crypto.py reports: crypto_qlib_config.py file is missing. Here is the output of my terminal:

[18652:MainThread](2025-08-22 12:43:00,535) INFO - qlib.Initialization - [config.py:457] - default_conf: client.
[18652:MainThread](2025-08-22 12:43:00,583) INFO - qlib.Initialization - [__init__.py:75] - qlib successfully initialized based on client settings.
[18652:MainThread](2025-08-22 12:43:00,583) INFO - qlib.Initialization - [__init__.py:77] - data_path={'__DEFAULT_FREQ': WindowsPath('C:/Users/admin/.qlib/qlib_data/cn_data')}
[18652:MainThread](2025-08-22 12:51:49,007) INFO - qlib.timer - [log.py:127] - Time cost: 508.061s | Loading data Done
[18652:MainThread](2025-08-22 12:51:51,077) INFO - qlib.timer - [log.py:127] - Time cost: 0.531s | DropnaLabel Done
[18652:MainThread](2025-08-22 12:52:00,301) INFO - qlib.timer - [log.py:127] - Time cost: 9.224s | CSZScoreNorm Done
[18652:MainThread](2025-08-22 12:52:00,412) INFO - qlib.timer - [log.py:127] - Time cost: 11.404s | fit & process data Done
[18652:MainThread](2025-08-22 12:52:00,412) INFO - qlib.timer - [log.py:127] - Time cost: 519.465s | Init data Done
[18652:MainThread](2025-08-22 12:52:00,417) ERROR - qlib.workflow - [utils.py:41] - An exception has been raised[FileNotFoundError: [Errno 2] No such file or directory: 'C:\\Users\\admin\\Desktop\\qlib\\1986\\crypto-qlib\\crypto_qlib_config.py'].
  File "C:\Users\admin\Desktop\qlib\1986\qlib\examples\workflow_by_code_longshort_crypto.py", line 121, in <module>
  spec.loader.exec_module(crypto_cfg)
  File "<frozen importlib._bootstrap_external>", line 879, in exec_module
  File "<frozen importlib._bootstrap_external>", line 1016, in get_code
  File "<frozen importlib._bootstrap_external>", line 1073, in get_data
FileNotFoundError: [Errno 2] No such file or directory: 'C:\\Users\\admin\\Desktop\\qlib\\1986\\crypto-qlib\\crypto_qlib_config.py'

I noticed that crypto_qlib_config.py is not mentioned in this PR. How do I get this file?

shortable_debug_day.py reports: ShortableExecutor has no common_infra attribute. Here is the output of my terminal:

[35616:MainThread](2025-08-22 13:15:52,257) INFO - qlib.Initialization - [config.py:457] - default_conf: client.
[35616:MainThread](2025-08-22 13:15:56,045) INFO - qlib.Initialization - [__init__.py:75] - qlib successfully initialized based on client settings.
[35616:MainThread](2025-08-22 13:15:56,045) INFO - qlib.Initialization - [__init__.py:77] - data_path={'__DEFAULT_FREQ': WindowsPath('C:/Users/admin/.qlib/qlib_data/cn_data')}
[35616:MainThread](2025-08-22 13:15:57,937) WARNING - qlib.data - [data.py:665] - load calendar error: freq=day, future=True; return current calendar!
[35616:MainThread](2025-08-22 13:15:57,942) WARNING - qlib.data - [data.py:668] - You can get future calendar by referring to the following document: https://github.com/microsoft/qlib/blob/main/scripts/data_collector/contrib/README.md
[35616:MainThread](2025-08-22 13:15:57,994) WARNING - qlib.BaseExecutor - [executor.py:121] - `common_infra` is not set for <qlib.backtest.shortable_backtest.ShortableExecutor object at 0x00000282F202FC40>
[35616:MainThread](2025-08-22 13:15:58,036) ERROR - qlib.workflow - [utils.py:41] - An exception has been raised[AttributeError: 'ShortableExecutor' object has no attribute 'common_infra'].
  File "C:\Users\admin\Desktop\qlib\1986\qlib\examples\shortable_backtest_crypto_loop.py", line 91, in <module>
    main()
  File "C:\Users\admin\Desktop\qlib\1986\qlib\examples\shortable_backtest_crypto_loop.py", line 77, in main
    strat.reset(level_infra=exe.get_level_infra(), common_infra=exe.common_infra)
AttributeError: 'ShortableExecutor' object has no attribute 'common_infra'

I think the reason for this problem is that the common_infra parameter is not passed during construction. Please fix this bug.

Hi @SunsetWolf ,

Thanks again for testing! Both issues you reported have been addressed:

Missing crypto_qlib_config.py

I added a new crypto_record_temp.py in qlib.contrib.

The examples now use CryptoPortAnaRecord directly from contrib instead of relying on external config files.

ShortableExecutor missing common_infra

Updated the executor initialization to correctly handle the common_infra attribute and other required parameters.

With these fixes, the latest version should run without problems.

Thanks for the thorough Windows testing—it’s been really helpful in catching these issues!

Aug 22 '25 17:08 JakobWong

Hi, @JakobWong Thanks for fixing the previously mentioned bugs, I tried to run shortable_backtest_crypto_loop.py, and the problem disappeared, which is good news. But workflow_by_code_longshort_crypto.py found a new problem during backtest. The benchmark csi300 during the backtest is not included in the datasource, but it is included in the official dataset of qlib. Please fix this bug. Here is the output of my terminal.

>>>python examples/workflow_by_code_longshort_crypto.py
[45604:MainThread](2025-08-25 13:35:04,482) INFO - qlib.Initialization - [config.py:457] - default_conf: client.
[45604:MainThread](2025-08-25 13:35:04,494) INFO - qlib.Initialization - [__init__.py:75] - qlib successfully initialized based on client settings.
[45604:MainThread](2025-08-25 13:35:04,494) INFO - qlib.Initialization - [__init__.py:77] - data_path={'__DEFAULT_FREQ': WindowsPath('C:/Users/admin/.qlib/qlib_data/cn_data')}
ModuleNotFoundError. CatBoostModel are skipped. (optional: maybe installing CatBoostModel can fix it.)
ModuleNotFoundError. XGBModel is skipped(optional: maybe installing xgboost can fix it).
[45604:MainThread](2025-08-25 13:44:16,060) INFO - qlib.timer - [log.py:127] - Time cost: 536.249s | Loading data Done
[45604:MainThread](2025-08-25 13:44:17,825) INFO - qlib.timer - [log.py:127] - Time cost: 0.494s | DropnaLabel Done
[45604:MainThread](2025-08-25 13:44:26,304) INFO - qlib.timer - [log.py:127] - Time cost: 8.479s | CSZScoreNorm Done
[45604:MainThread](2025-08-25 13:44:26,413) INFO - qlib.timer - [log.py:127] - Time cost: 10.353s | fit & process data Done
[45604:MainThread](2025-08-25 13:44:26,413) INFO - qlib.timer - [log.py:127] - Time cost: 546.603s | Init data Done
Using contrib's crypto version of CryptoPortAnaRecord as PortAnaRecord
                           KMID      KLEN     KMID2  ...   VSUMD30   VSUMD60  Ref($close, -2) / Ref($close, -1) - 1
datetime   instrument                                ...
2008-01-02 SH600000    0.010374  0.061129  0.169699  ...  0.028076 -0.020675                               0.042064
           SH600004    0.057280  0.059661  0.960094  ...  0.152031 -0.029863                               0.000000
           SH600006    0.012673  0.040323  0.314283  ...  0.010894 -0.049861                              -0.008830
           SH600007    0.066977  0.084186  0.795580  ...  0.294774  0.159104                               0.007495
           SH600008    0.051163  0.082326  0.621469  ...  0.199027  0.060235                              -0.015446

[5 rows x 159 columns]
[45604:MainThread](2025-08-25 13:44:28,753) INFO - qlib.workflow - [exp.py:258] - Experiment 751081396690558920 starts running ...
[45604:MainThread](2025-08-25 13:44:31,656) INFO - qlib.workflow - [recorder.py:345] - Recorder a047b47665574221be0ad1ffff5bf27d starts running under Experiment 751081396690558920 ...
Training until validation scores don't improve for 50 rounds
[20]    train's l2: 0.981256    valid's l2: 0.99289
[40]    train's l2: 0.973505    valid's l2: 0.992926
[60]    train's l2: 0.966997    valid's l2: 0.993487
[80]    train's l2: 0.961038    valid's l2: 0.993884
Early stopping, best iteration is:
[35]    train's l2: 0.975252    valid's l2: 0.992748
[45604:MainThread](2025-08-25 13:44:53,791) INFO - qlib.workflow - [record_temp.py:198] - Signal record 'pred.pkl' has been saved as the artifact of the Experiment 751081396690558920
'The following are prediction results of the LGBModel model.'
                          score
datetime   instrument
2017-01-03 SH600000   -0.054091
           SH600008    0.014351
           SH600009    0.046024
           SH600010    0.015651
           SH600015   -0.099635
Downloading artifacts:   0%|                                                                     | 0/1 [00:00<?, ?it/s]
Downloading artifacts: 100%|█████████████████████████████████████████████████████████████| 1/1 [00:00<00:00, 32.14it/s]
Downloading artifacts:   0%|                                                                     | 0/1 [00:00<?, ?it/s]
Downloading artifacts: 100%|█████████████████████████████████████████████████████████████| 1/1 [00:00<00:00, 32.40it/s]
{'IC': 0.04669529053598672,
 'ICIR': 0.38483657235226576,
 'Rank IC': 0.04792825961375113,
 'Rank ICIR': 0.4153376423651454}
Downloading artifacts:   0%|                                                                     | 0/1 [00:00<?, ?it/s]
Downloading artifacts: 100%|█████████████████████████████████████████████████████████████| 1/1 [00:00<00:00, 96.65it/s]
[45604:MainThread](2025-08-25 13:44:57,976) INFO - qlib.timer - [log.py:127] - Time cost: 0.000s | waiting `async_log` Done
[45604:MainThread](2025-08-25 13:44:57,986) ERROR - qlib.workflow - [utils.py:41] - An exception has been raised[ValueError: The benchmark ['csi300'] does not exist. Please provide the right benchmark].
  File "C:\Users\admin\Desktop\qlib\1986\qlib\examples\workflow_by_code_longshort_crypto.py", line 197, in <module>
    par.generate()
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\workflow\record_temp.py", line 236, in generate
    artifact_dict = self._generate(*args, **kwargs)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\contrib\workflow\crypto_record_temp.py", line 98, in _generate
    portfolio_metric_dict, indicator_dict = normal_backtest(
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\__init__.py", line 301, in backtest
    trade_strategy, trade_executor = get_strategy_executor(
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\__init__.py", line 211, in get_strategy_executor
    trade_account = create_account_instance(
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\__init__.py", line 179, in create_account_instance
    return Account(
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\account.py", line 109, in __init__
    self.init_vars(init_cash, position_dict, freq, benchmark_config)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\account.py", line 130, in init_vars
    self.reset(freq=freq, benchmark_config=benchmark_config)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\account.py", line 175, in reset
    self.reset_report(self.freq, self.benchmark_config)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\account.py", line 143, in reset_report
    self.portfolio_metrics = PortfolioMetrics(freq, benchmark_config)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\report.py", line 76, in __init__
    self.init_bench(freq=freq, benchmark_config=benchmark_config)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\report.py", line 94, in init_bench
    self.bench = self._cal_benchmark(self.benchmark_config, self.freq)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\report.py", line 116, in _cal_benchmark
    raise ValueError(f"The benchmark {_codes} does not exist. Please provide the right benchmark")
ValueError: The benchmark ['csi300'] does not exist. Please provide the right benchmark

Aug 25 '25 07:08 SunsetWolf

Hi, @JakobWong Thanks for fixing the previously mentioned bugs, I tried to run shortable_backtest_crypto_loop.py, and the problem disappeared, which is good news. But workflow_by_code_longshort_crypto.py found a new problem during backtest. The benchmark csi300 during the backtest is not included in the datasource, but it is included in the official dataset of qlib. Please fix this bug. Here is the output of my terminal.

>>>python examples/workflow_by_code_longshort_crypto.py
[45604:MainThread](2025-08-25 13:35:04,482) INFO - qlib.Initialization - [config.py:457] - default_conf: client.
[45604:MainThread](2025-08-25 13:35:04,494) INFO - qlib.Initialization - [__init__.py:75] - qlib successfully initialized based on client settings.
[45604:MainThread](2025-08-25 13:35:04,494) INFO - qlib.Initialization - [__init__.py:77] - data_path={'__DEFAULT_FREQ': WindowsPath('C:/Users/admin/.qlib/qlib_data/cn_data')}
ModuleNotFoundError. CatBoostModel are skipped. (optional: maybe installing CatBoostModel can fix it.)
ModuleNotFoundError. XGBModel is skipped(optional: maybe installing xgboost can fix it).
[45604:MainThread](2025-08-25 13:44:16,060) INFO - qlib.timer - [log.py:127] - Time cost: 536.249s | Loading data Done
[45604:MainThread](2025-08-25 13:44:17,825) INFO - qlib.timer - [log.py:127] - Time cost: 0.494s | DropnaLabel Done
[45604:MainThread](2025-08-25 13:44:26,304) INFO - qlib.timer - [log.py:127] - Time cost: 8.479s | CSZScoreNorm Done
[45604:MainThread](2025-08-25 13:44:26,413) INFO - qlib.timer - [log.py:127] - Time cost: 10.353s | fit & process data Done
[45604:MainThread](2025-08-25 13:44:26,413) INFO - qlib.timer - [log.py:127] - Time cost: 546.603s | Init data Done
Using contrib's crypto version of CryptoPortAnaRecord as PortAnaRecord
                           KMID      KLEN     KMID2  ...   VSUMD30   VSUMD60  Ref($close, -2) / Ref($close, -1) - 1
datetime   instrument                                ...
2008-01-02 SH600000    0.010374  0.061129  0.169699  ...  0.028076 -0.020675                               0.042064
           SH600004    0.057280  0.059661  0.960094  ...  0.152031 -0.029863                               0.000000
           SH600006    0.012673  0.040323  0.314283  ...  0.010894 -0.049861                              -0.008830
           SH600007    0.066977  0.084186  0.795580  ...  0.294774  0.159104                               0.007495
           SH600008    0.051163  0.082326  0.621469  ...  0.199027  0.060235                              -0.015446

[5 rows x 159 columns]
[45604:MainThread](2025-08-25 13:44:28,753) INFO - qlib.workflow - [exp.py:258] - Experiment 751081396690558920 starts running ...
[45604:MainThread](2025-08-25 13:44:31,656) INFO - qlib.workflow - [recorder.py:345] - Recorder a047b47665574221be0ad1ffff5bf27d starts running under Experiment 751081396690558920 ...
Training until validation scores don't improve for 50 rounds
[20]    train's l2: 0.981256    valid's l2: 0.99289
[40]    train's l2: 0.973505    valid's l2: 0.992926
[60]    train's l2: 0.966997    valid's l2: 0.993487
[80]    train's l2: 0.961038    valid's l2: 0.993884
Early stopping, best iteration is:
[35]    train's l2: 0.975252    valid's l2: 0.992748
[45604:MainThread](2025-08-25 13:44:53,791) INFO - qlib.workflow - [record_temp.py:198] - Signal record 'pred.pkl' has been saved as the artifact of the Experiment 751081396690558920
'The following are prediction results of the LGBModel model.'
                          score
datetime   instrument
2017-01-03 SH600000   -0.054091
           SH600008    0.014351
           SH600009    0.046024
           SH600010    0.015651
           SH600015   -0.099635
Downloading artifacts:   0%|                                                                     | 0/1 [00:00<?, ?it/s]
Downloading artifacts: 100%|█████████████████████████████████████████████████████████████| 1/1 [00:00<00:00, 32.14it/s]
Downloading artifacts:   0%|                                                                     | 0/1 [00:00<?, ?it/s]
Downloading artifacts: 100%|█████████████████████████████████████████████████████████████| 1/1 [00:00<00:00, 32.40it/s]
{'IC': 0.04669529053598672,
 'ICIR': 0.38483657235226576,
 'Rank IC': 0.04792825961375113,
 'Rank ICIR': 0.4153376423651454}
Downloading artifacts:   0%|                                                                     | 0/1 [00:00<?, ?it/s]
Downloading artifacts: 100%|█████████████████████████████████████████████████████████████| 1/1 [00:00<00:00, 96.65it/s]
[45604:MainThread](2025-08-25 13:44:57,976) INFO - qlib.timer - [log.py:127] - Time cost: 0.000s | waiting `async_log` Done
[45604:MainThread](2025-08-25 13:44:57,986) ERROR - qlib.workflow - [utils.py:41] - An exception has been raised[ValueError: The benchmark ['csi300'] does not exist. Please provide the right benchmark].
  File "C:\Users\admin\Desktop\qlib\1986\qlib\examples\workflow_by_code_longshort_crypto.py", line 197, in <module>
    par.generate()
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\workflow\record_temp.py", line 236, in generate
    artifact_dict = self._generate(*args, **kwargs)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\contrib\workflow\crypto_record_temp.py", line 98, in _generate
    portfolio_metric_dict, indicator_dict = normal_backtest(
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\__init__.py", line 301, in backtest
    trade_strategy, trade_executor = get_strategy_executor(
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\__init__.py", line 211, in get_strategy_executor
    trade_account = create_account_instance(
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\__init__.py", line 179, in create_account_instance
    return Account(
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\account.py", line 109, in __init__
    self.init_vars(init_cash, position_dict, freq, benchmark_config)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\account.py", line 130, in init_vars
    self.reset(freq=freq, benchmark_config=benchmark_config)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\account.py", line 175, in reset
    self.reset_report(self.freq, self.benchmark_config)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\account.py", line 143, in reset_report
    self.portfolio_metrics = PortfolioMetrics(freq, benchmark_config)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\report.py", line 76, in __init__
    self.init_bench(freq=freq, benchmark_config=benchmark_config)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\report.py", line 94, in init_bench
    self.bench = self._cal_benchmark(self.benchmark_config, self.freq)
  File "C:\Users\admin\Desktop\qlib\1986\qlib\qlib\backtest\report.py", line 116, in _cal_benchmark
    raise ValueError(f"The benchmark {_codes} does not exist. Please provide the right benchmark")
ValueError: The benchmark ['csi300'] does not exist. Please provide the right benchmark

Hey @SunsetWolf,

Thanks for checking this. I updated the script so that if the initialized data path contains cn_data, we use SH000300; otherwise we keep BTCUSDT. The problem of the example script should be fixed now.

Aug 25 '25 18:08 JakobWong

Hey, @JakobWong Thanks for fixing these issues, the sample code in examples currently works. This is good news. I see that there are still some Chinese comments, please revert them to English. Also, I see that the CI hasn't passed yet, please fix the problems in the CI.

Aug 26 '25 08:08 SunsetWolf

Hey, @JakobWong Thanks for fixing these issues, the sample code in examples currently works. This is good news. I see that there are still some Chinese comments, please revert them to English. Also, I see that the CI hasn't passed yet, please fix the problems in the CI.

Hey @SunsetWolf,

Thanks for the feedback! Just pushed the fixes:

All Chinese comments across the codebase have been converted to English.

The linting problems should be resolved now with the code formatting improvements.

Aug 26 '25 22:08 JakobWong

Hey @SunsetWolf,

It looks like there's a workflow awaiting your approval

Aug 31 '25 23:08 JakobWong

@SunsetWolf, could you run a CI test for this new push? hopefully that would settle some errors in the previous version. Would be great to have it merge soon so people can start using it

Sep 22 '25 16:09 JakobWong

Hey, @JakobWong

I apologize for the long time between replies, I reopened this PR today, tested the test_shortable_crypto_real.py script, and found two errors:

qlib/tests/test_shortable_crypto_real.py Line 125:

AttributeError: ‘ShortableExecutor’ object has no attribute ‘position’. AttributeError: 'ShortableExecutor' object has no attribute 'position'

qlib/backtest/decision.py Line 336:

AttributeError: ' LongShortStrategy' object has no attribute 'trade_calendar'

Solution:

For the first problem, try executing the following before calling exe.position

 common_infra = CommonInfrastructure(trade_account=account, trade_exchange=ex) 
 exe.reset_common_infra( common_infra=common_infra)

  I think this solution is only temporary, is there a more elegant solution?

The second problem, I think, is that LongShortStrategy does not inherit from BaseStrategy.

Please change the code so that test_shortable_crypto_real.py passes.

Oct 16 '25 06:10 SunsetWolf