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Update TCTS. (#643)

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* Update TCTS.

* Update TCTS README.

* Update TCTS README.

* Update TCTS.

Co-authored-by: lewwang <lwwang@microsoft.com>
This commit is contained in:
Lewen Wang
2021-10-12 10:08:48 +08:00
committed by GitHub
parent c0ce712be9
commit 17ea44e0cf
5 changed files with 63 additions and 63 deletions
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19
examples/benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml
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@@ -22,9 +22,9 @@ data_handler_config: &data_handler_config
- class: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -1) / $close - 1",
"Ref($close, -2) / Ref($close, -1) - 1",
"Ref($close, -3) / Ref($close, -2) - 1"]
label: ["Ref($close, -2) / Ref($close, -1) - 1",
"Ref($close, -3) / Ref($close, -1) - 1",
"Ref($close, -4) / Ref($close, -1) - 1"]
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
@@ -53,9 +53,8 @@ task:
d_feat: 6
hidden_size: 64
num_layers: 2
dropout: 0.0
dropout: 0.3
n_epochs: 200
lr: 1e-3
early_stop: 20
batch_size: 800
metric: loss
@@ -64,12 +63,11 @@ task:
fore_optimizer: adam
weight_optimizer: adam
output_dim: 3
fore_lr: 5e-4
weight_lr: 5e-4
fore_lr: 2e-3
weight_lr: 2e-3
steps: 3
target_label: 1
target_label: 0
lowest_valid_performance: 0.993
seed: 0
dataset:
class: DatasetH
module_path: qlib.data.dataset
@@ -93,8 +91,7 @@ task:
kwargs:
ana_long_short: False
ann_scaler: 252
label_col: 1
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config