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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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98
qlib/contrib/data/handler.py
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@@ -9,6 +9,78 @@ from ...log import TimeInspector
from inspect import getfullargspec
import copy
class ALPHA360_Denoise(DataHandlerLP):
def __init__(self, instruments="csi500", start_time=None, end_time=None, fit_start_time=None, fit_end_time=None):
data_loader = {
"class": "QlibDataLoader",
"kwargs": {
"config": {
"feature": self.get_feature_config(),
"label": self.get_label_config(),
},
},
}
learn_processors = [
{"class": "DropnaLabel", "kwargs": {"group": "label"}},
{"class": "CSZScoreNorm", "kwargs": {"fields_group": "label"}},
]
infer_processors = [
{"class": "ProcessInf", "kwargs": {}},
{"class": "TanhProcess", "kwargs": {}},
{"class": "Fillna", "kwargs": {}},
]
super().__init__(
instruments,
start_time,
end_time,
data_loader=data_loader,
learn_processors=learn_processors,
infer_processors=infer_processors,
)
def get_label_config(self):
return (["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])
def get_feature_config(self):
fields = []
names = []
for i in range(59, 0, -1):
fields += ["Ref($close, %d)/$close" % (i)]
names += ["CLOSE%d" % (i)]
fields += ["$close/$close"]
names += ["CLOSE0"]
for i in range(59, 0, -1):
fields += ["Ref($open, %d)/$close" % (i)]
names += ["OPEN%d" % (i)]
fields += ["$open/$close"]
names += ["OPEN0"]
for i in range(59, 0, -1):
fields += ["Ref($high, %d)/$close" % (i)]
names += ["HIGH%d" % (i)]
fields += ["$high/$close"]
names += ["HIGH0"]
for i in range(59, 0, -1):
fields += ["Ref($low, %d)/$close" % (i)]
names += ["LOW%d" % (i)]
fields += ["$low/$close"]
names += ["LOW0"]
for i in range(59, 0, -1):
fields += ["Ref($vwap, %d)/$close" % (i)]
names += ["VWAP%d" % (i)]
fields += ["$vwap/$close"]
names += ["VWAP0"]
for i in range(59, 0, -1):
fields += ["Ref($volume, %d)/$volume" % (i)]
names += ["VOLUME%d" % (i)]
fields += ["$volume/$volume"]
names += ["VOLUME0"]
return fields, names
class ALPHA360(DataHandlerLP):
def __init__(self, instruments="csi500", start_time=None, end_time=None, fit_start_time=None, fit_end_time=None):
@@ -52,28 +124,32 @@ class ALPHA360(DataHandlerLP):
for i in range(59, 0, -1):
fields += ["Ref($close, %d)/$close" % (i)]
names += ["CLOSE%d" % (i)]
fields += ["$close/$close"]
names += ["CLOSE0"]
for i in range(59, 0, -1):
fields += ["Ref($open, %d)/$close" % (i)]
names += ["OPEN%d" % (i)]
fields += ["$open/$close"]
names += ["OPEN0"]
for i in range(59, 0, -1):
fields += ["Ref($high, %d)/$close" % (i)]
names += ["HIGH%d" % (i)]
fields += ["$high/$close"]
names += ["HIGH0"]
for i in range(59, 0, -1):
fields += ["Ref($low, %d)/$close" % (i)]
names += ["LOW%d" % (i)]
fields += ["$low/$close"]
names += ["LOW0"]
for i in range(59, 0, -1):
fields += ["Ref($vwap, %d)/$close" % (i)]
names += ["VWAP%d" % (i)]
fields += ["$vwap/$close"]
names += ["VWAP0"]
for i in range(59, 0, -1):
fields += ["Ref($volume, %d)/$volume" % (i)]
names += ["VOLUME%d" % (i)]
fields += ["$close/$close"]
fields += ["$open/$close"]
fields += ["$high/$close"]
fields += ["$low/$close"]
fields += ["$vwap/$close"]
fields += ["$volume/$volume"]
names += ["CLOSE0"]
names += ["OPEN0"]
names += ["HIGH0"]
names += ["LOW0"]
names += ["VWAP0"]
names += ["VOLUME0"]
return fields, names