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Add SFM config

This commit is contained in:
Jactus
2020-11-25 14:58:23 +08:00
parent fcbafde741
commit 3520d3b108
6 changed files with 131 additions and 54 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"
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
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: SFM
module_path: qlib.contrib.model.pytorch_sfm
kwargs:
d_feat: 6
hidden_size: 64
output_dim: 1
freq_dim: 15
dropout_W: 0.5
dropout_U: 0.5
n_epochs: 10
lr: 1e-3
batch_size: 800
early_stop: 20
eval_steps: 5
loss: mse
lr_decay: 0.96
lr_decay_steps: 100
optimizer: gd
GPU: 1
seed: 0
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: 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