liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-06-06 05:51:17 +08:00
Code Activity

fix all example

Browse Source
This commit is contained in:
wangwenxi.handsome
2021-06-28 21:29:12 +08:00
committed by you-n-g
parent 8b28575dad
commit 267ee3555d
25 changed files with 12 additions and 462 deletions
Download Patch File Download Diff File Expand all files Collapse all files

18
examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml
View File

@@ -45,23 +45,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: ALSTM
@@ -110,4 +93,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

20
examples/benchmarks/ALSTM/workflow_config_alstm_Alpha360.yaml
View File

@@ -37,23 +37,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: ALSTM
@@ -99,5 +82,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

18
examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158.yaml
View File

@@ -23,23 +23,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: CatBoostModel
@@ -82,4 +65,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

18
examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360.yaml
View File

@@ -30,23 +30,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: CatBoostModel
@@ -89,4 +72,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

18
examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158.yaml
View File

@@ -23,23 +23,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: DEnsembleModel
@@ -107,4 +90,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

20
examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360.yaml
View File

@@ -30,23 +30,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: DEnsembleModel
@@ -113,5 +96,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

20
examples/benchmarks/GATs/workflow_config_gats_Alpha158.yaml
View File

@@ -44,23 +44,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: GATs
@@ -108,5 +91,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

20
examples/benchmarks/GATs/workflow_config_gats_Alpha360.yaml
View File

@@ -37,23 +37,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: GATs
@@ -100,5 +83,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

18
examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml
View File

@@ -45,23 +45,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: GRU
@@ -109,4 +92,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

20
examples/benchmarks/GRU/workflow_config_gru_Alpha360.yaml
View File

@@ -37,23 +37,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: GRU
@@ -98,5 +81,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

18
examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml
View File

@@ -45,23 +45,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LSTM
@@ -109,4 +92,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

20
examples/benchmarks/LSTM/workflow_config_lstm_Alpha360.yaml
View File

@@ -37,23 +37,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LSTM
@@ -98,5 +81,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

20
examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
View File

@@ -23,23 +23,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LGBModel
@@ -82,5 +65,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

20
examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360.yaml
View File

@@ -30,23 +30,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LGBModel
@@ -89,5 +72,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

20
examples/benchmarks/LightGBM/workflow_config_lightgbm_configurable_dataset.yaml
View File

@@ -38,23 +38,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LGBModel
@@ -97,5 +80,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

18
examples/benchmarks/Linear/workflow_config_linear_Alpha158.yaml
View File

@@ -37,23 +37,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LinearModel
@@ -89,4 +72,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

20
examples/benchmarks/MLP/workflow_config_mlp_Alpha158.yaml
View File

@@ -50,23 +50,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: DNNModelPytorch
@@ -111,5 +94,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

20
examples/benchmarks/MLP/workflow_config_mlp_Alpha360.yaml
View File

@@ -38,23 +38,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: DNNModelPytorch
@@ -98,5 +81,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

18
examples/benchmarks/SFM/workflow_config_sfm_Alpha360.yaml
View File

@@ -37,23 +37,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: SFM
@@ -102,4 +85,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

20
examples/benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml
View File

@@ -41,23 +41,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: TCTS
@@ -109,5 +92,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day
config: *port_analysis_config

18
examples/benchmarks/TFT/workflow_config_tft_Alpha158.yaml
View File

@@ -25,23 +25,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: TFTModel
@@ -75,4 +58,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

18
examples/benchmarks/TabNet/workflow_config_TabNet_Alpha158.yaml
View File

@@ -37,23 +37,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: TabnetModel
@@ -92,4 +75,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

18
examples/benchmarks/TabNet/workflow_config_TabNet_Alpha360.yaml
View File

@@ -37,23 +37,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: TabnetModel
@@ -92,4 +75,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

18
examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha158.yaml
View File

@@ -23,23 +23,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: XGBModel
@@ -81,4 +64,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

18
examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha360.yaml
View File

@@ -30,23 +30,6 @@ port_analysis_config: &port_analysis_config
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: XGBModel
@@ -88,4 +71,3 @@ task:
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day