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Migrate amc4th training (#1316)

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* Migrate amc4th training

* Refine RL example scripts

* Resolve PR comments

Co-authored-by: luocy16 <luocy16@mails.tsinghua.edu.cn>
This commit is contained in:
Huoran Li
2022-10-19 10:17:43 +08:00
committed by GitHub
parent bc06f0301e
commit 3c62d131a5
19 changed files with 676 additions and 50 deletions
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53
examples/rl/experiment_config/backtest/config.py Normal file
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_base_ = ["./twap.yml"]
strategies = {
"_delete_": True,
"30min": {
"class": "TWAPStrategy",
"module_path": "qlib.contrib.strategy.rule_strategy",
"kwargs": {},
},
"1day": {
"class": "SAOEIntStrategy",
"module_path": "qlib.rl.order_execution.strategy",
"kwargs": {
"state_interpreter": {
"class": "FullHistoryStateInterpreter",
"module_path": "qlib.rl.order_execution.interpreter",
"kwargs": {
"max_step": 8,
"data_ticks": 240,
"data_dim": 6,
"processed_data_provider": {
"class": "PickleProcessedDataProvider",
"module_path": "qlib.rl.data.pickle_styled",
"kwargs": {
"data_dir": "./data/pickle_dataframe/feature",
},
},
},
},
"action_interpreter": {
"class": "CategoricalActionInterpreter",
"module_path": "qlib.rl.order_execution.interpreter",
"kwargs": {
"values": 14,
"max_step": 8,
},
},
"network": {
"class": "Recurrent",
"module_path": "qlib.rl.order_execution.network",
"kwargs": {},
},
"policy": {
"class": "PPO",
"module_path": "qlib.rl.order_execution.policy",
"kwargs": {
"lr": 1.0e-4,
"weight_file": "./checkpoints/latest.pth",
},
},
},
},
}