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Update GRU model.

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This commit is contained in:
lwwang1995
2020-11-16 23:28:11 +08:00
parent 90d41e4022
commit 0afe57f2fe
4 changed files with 258 additions and 160 deletions
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17
examples/workflow_by_code_gru.py
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@@ -8,7 +8,7 @@ import qlib
import pandas as pd
from qlib.config import REG_CN
from qlib.contrib.model.pytorch_gru import GRU
from qlib.contrib.data.handler import ALPHA360
from qlib.contrib.data.handler import ALPHA360_Denoise
from qlib.contrib.strategy.strategy import TopkDropoutStrategy
from qlib.contrib.evaluate import (
backtest as normal_backtest,
@@ -19,6 +19,7 @@ from qlib.utils import exists_qlib_data
# from qlib.model.learner import train_model
from qlib.utils import init_instance_by_config
import pickle
if __name__ == "__main__":
@@ -63,14 +64,13 @@ if __name__ == "__main__":
"kwargs": {
"d_feat": 6,
"hidden_size": 64,
"num_layers": 3,
"num_layers": 2,
"dropout": 0.0,
"n_epochs": 2000,
"lr": 1e-1,
"early_stop": 200,
"n_epochs": 200,
"lr": 1e-3,
"early_stop": 20,
"batch_size": 800,
"smooth_steps": 5,
"metric": "mse",
"metric": "IC",
"loss": "mse",
"seed": 0,
"GPU": 0,
@@ -81,7 +81,7 @@ if __name__ == "__main__":
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "ALPHA360",
"class": "ALPHA360_Denoise",
"module_path": "qlib.contrib.data.handler",
"kwargs": DATA_HANDLER_CONFIG,
},
@@ -99,7 +99,6 @@ if __name__ == "__main__":
# model = train_model(task)
model = init_instance_by_config(task["model"])
dataset = init_instance_by_config(task["dataset"])
model.fit(dataset)
pred_score = model.predict(dataset)