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Init benchmarks

This commit is contained in:
Jactus
2020-11-19 16:51:09 +08:00
parent a8ad2120c9
commit 21c0dae03c
14 changed files with 459 additions and 0 deletions

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pandas==1.1.2
numpy==1.17.4
scikit_learn==0.23.2
torch==1.7.0

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provider_uri: "~/.qlib/qlib_data/cn_data"
market: &market csi300
benchmark: &benchmark SH000300
data_handler_config: &data_handler_config
start_time: 2008-01-01
end_time: 2020-08-01
fit_start_time: 2008-01-01
fit_end_time: 2014-12-31
instruments: *market
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
kwargs:
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
task:
model:
class: DNNModelPytorch
module_path: qlib.contrib.model.pytorch_nn
kwargs:
input_dim: 360
output_dim: 1
layers: [256, 512, 1024, 512, 256, 128, 64]
lr: 0.001
max_steps: 300
batch_size: 2000
early_stop_rounds: 50
eval_steps: 20
lr_decay: 0.96
lr_decay_steps: 100
optimizer: gd
loss: mse
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: ALPHA360_Denoise
module_path: qlib.contrib.data.handler
kwargs: *data_handler_config
segments:
train: [2008-01-01, 2014-12-31]
valid: [2015-01-01, 2016-12-31]
test: [2017-01-01, 2020-08-01]
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config