From 2eee064eb8c3f025103c19aa2ca7b89e021b86a8 Mon Sep 17 00:00:00 2001
From: Ying-Tao Luo <yl3851@uw.edu>
Date: Wed, 14 Jul 2021 16:11:51 +0800
Subject: [PATCH] Add files via upload

---
 .../workflow_config_localformer_Alpha158.yaml | 82 +++++++++++++++++++
 .../workflow_config_localformer_Alpha360.yaml | 82 +++++++++++++++++++
 .../workflow_config_transformer_Alpha158.yaml | 82 +++++++++++++++++++
 .../workflow_config_transformer_Alpha360.yaml | 82 +++++++++++++++++++
 4 files changed, 328 insertions(+)
 create mode 100644 examples/benchmarks/Localformer/workflow_config_localformer_Alpha158.yaml
 create mode 100644 examples/benchmarks/Localformer/workflow_config_localformer_Alpha360.yaml
 create mode 100644 examples/benchmarks/Transformer/workflow_config_transformer_Alpha158.yaml
 create mode 100644 examples/benchmarks/Transformer/workflow_config_transformer_Alpha360.yaml

diff --git a/examples/benchmarks/Localformer/workflow_config_localformer_Alpha158.yaml b/examples/benchmarks/Localformer/workflow_config_localformer_Alpha158.yaml
new file mode 100644
index 000000000..98090356e
--- /dev/null
+++ b/examples/benchmarks/Localformer/workflow_config_localformer_Alpha158.yaml
@@ -0,0 +1,82 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+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
+    infer_processors:
+        - class: FilterCol
+          kwargs:
+              fields_group: feature
+              col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", 
+                            "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5", 
+                            "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"
+                        ]
+        - class: RobustZScoreNorm
+          kwargs:
+              fields_group: feature
+              clip_outlier: true
+        - class: Fillna
+          kwargs:
+              fields_group: feature
+    learn_processors:
+        - class: DropnaLabel
+        - class: CSRankNorm
+          kwargs:
+              fields_group: label
+    label: ["Ref($close, -2) / Ref($close, -1) - 1"] 
+
+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: LocalformerModel
+        module_path: qlib.contrib.model.pytorch_localformer
+        kwargs:
+            seed: 0
+            n_jobs: 20
+    dataset:
+        class: TSDatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha158
+                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]
+            step_len: 20
+    record: 
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: {}
+        - class: SigAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            ana_long_short: False
+            ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            config: *port_analysis_config
diff --git a/examples/benchmarks/Localformer/workflow_config_localformer_Alpha360.yaml b/examples/benchmarks/Localformer/workflow_config_localformer_Alpha360.yaml
new file mode 100644
index 000000000..9792a2357
--- /dev/null
+++ b/examples/benchmarks/Localformer/workflow_config_localformer_Alpha360.yaml
@@ -0,0 +1,82 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+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
+    infer_processors:
+        - class: FilterCol
+          kwargs:
+              fields_group: feature
+              col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", 
+                            "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5", 
+                            "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"
+                        ]
+        - class: RobustZScoreNorm
+          kwargs:
+              fields_group: feature
+              clip_outlier: true
+        - class: Fillna
+          kwargs:
+              fields_group: feature
+    learn_processors:
+        - class: DropnaLabel
+        - class: CSRankNorm
+          kwargs:
+              fields_group: label
+    label: ["Ref($close, -2) / Ref($close, -1) - 1"] 
+
+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: LocalformerModel
+        module_path: qlib.contrib.model.pytorch_localformer
+        kwargs:
+            seed: 0
+            n_jobs: 20
+    dataset:
+        class: TSDatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha360
+                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]
+            step_len: 20
+    record: 
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: {}
+        - class: SigAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            ana_long_short: False
+            ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            config: *port_analysis_config
diff --git a/examples/benchmarks/Transformer/workflow_config_transformer_Alpha158.yaml b/examples/benchmarks/Transformer/workflow_config_transformer_Alpha158.yaml
new file mode 100644
index 000000000..e58c20541
--- /dev/null
+++ b/examples/benchmarks/Transformer/workflow_config_transformer_Alpha158.yaml
@@ -0,0 +1,82 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+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
+    infer_processors:
+        - class: FilterCol
+          kwargs:
+              fields_group: feature
+              col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", 
+                            "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5", 
+                            "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"
+                        ]
+        - class: RobustZScoreNorm
+          kwargs:
+              fields_group: feature
+              clip_outlier: true
+        - class: Fillna
+          kwargs:
+              fields_group: feature
+    learn_processors:
+        - class: DropnaLabel
+        - class: CSRankNorm
+          kwargs:
+              fields_group: label
+    label: ["Ref($close, -2) / Ref($close, -1) - 1"] 
+
+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: TransformerModel
+        module_path: qlib.contrib.model.pytorch_transformer
+        kwargs:
+            seed: 0
+            n_jobs: 20
+    dataset:
+        class: TSDatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha158
+                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]
+            step_len: 20
+    record: 
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: {}
+        - class: SigAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            ana_long_short: False
+            ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            config: *port_analysis_config
diff --git a/examples/benchmarks/Transformer/workflow_config_transformer_Alpha360.yaml b/examples/benchmarks/Transformer/workflow_config_transformer_Alpha360.yaml
new file mode 100644
index 000000000..59d5fa2b9
--- /dev/null
+++ b/examples/benchmarks/Transformer/workflow_config_transformer_Alpha360.yaml
@@ -0,0 +1,82 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+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
+    infer_processors:
+        - class: FilterCol
+          kwargs:
+              fields_group: feature
+              col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", 
+                            "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5", 
+                            "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"
+                        ]
+        - class: RobustZScoreNorm
+          kwargs:
+              fields_group: feature
+              clip_outlier: true
+        - class: Fillna
+          kwargs:
+              fields_group: feature
+    learn_processors:
+        - class: DropnaLabel
+        - class: CSRankNorm
+          kwargs:
+              fields_group: label
+    label: ["Ref($close, -2) / Ref($close, -1) - 1"] 
+
+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: TransformerModel
+        module_path: qlib.contrib.model.pytorch_transformer
+        kwargs:
+            seed: 0
+            n_jobs: 20
+    dataset:
+        class: TSDatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha360
+                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]
+            step_len: 20
+    record: 
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: {}
+        - class: SigAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            ana_long_short: False
+            ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            config: *port_analysis_config