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Merge branch 'main' into nested_decision_exe

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you-n-g
2021-07-07 17:30:31 +08:00
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parent 8c743a46c7 dafef0ac08
commit 1fb50d521b
71 changed files with 3615 additions and 522 deletions
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24
examples/benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml
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@@ -22,11 +22,9 @@ data_handler_config: &data_handler_config
- class: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1",
"Ref($close, -3) / Ref($close, -1) - 1",
"Ref($close, -4) / Ref($close, -1) - 1",
"Ref($close, -5) / Ref($close, -1) - 1",
"Ref($close, -6) / Ref($close, -1) - 1"]
label: ["Ref($close, -1) / $close - 1",
"Ref($close, -2) / Ref($close, -1) - 1",
"Ref($close, -3) / Ref($close, -2) - 1"]
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
@@ -65,11 +63,12 @@ task:
GPU: 0
fore_optimizer: adam
weight_optimizer: adam
output_dim: 5
fore_lr: 5e-7
weight_lr: 5e-7
output_dim: 3
fore_lr: 5e-4
weight_lr: 5e-4
steps: 3
target_label: 0
target_label: 1
lowest_valid_performance: 0.993
dataset:
class: DatasetH
module_path: qlib.data.dataset
@@ -91,11 +90,12 @@ task:
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
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