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fix CI

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bxdd
2021-06-01 18:50:50 +08:00
parent 04fff8ca36
commit 4d48c96d30
6 changed files with 96 additions and 109 deletions
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59
examples/workflow_by_code.py
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@@ -3,10 +3,12 @@
import qlib
from qlib.config import REG_CN
from qlib.utils import exists_qlib_data, init_instance_by_config, flatten_dict
from qlib.utils import init_instance_by_config, flatten_dict
from qlib.workflow import R
from qlib.workflow.record_temp import SignalRecord, PortAnaRecord
from qlib.tests.data import GetData
from qlib.tests.config import CSI300_BENCH, CSI300_GBDT_TASK
if __name__ == "__main__":
@@ -15,57 +17,8 @@ if __name__ == "__main__":
GetData().qlib_data(target_dir=provider_uri, region=REG_CN, exists_skip=True)
qlib.init(provider_uri=provider_uri, region=REG_CN)
market = "csi300"
benchmark = "SH000300"
###################################
# train model
###################################
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,
}
task = {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
"kwargs": {
"loss": "mse",
"colsample_bytree": 0.8879,
"learning_rate": 0.0421,
"subsample": 0.8789,
"lambda_l1": 205.6999,
"lambda_l2": 580.9768,
"max_depth": 8,
"num_leaves": 210,
"num_threads": 20,
},
},
"dataset": {
"class": "DatasetH",
"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"),
},
},
},
}
# model initialization
model = init_instance_by_config(task["model"])
dataset = init_instance_by_config(task["dataset"])
model = init_instance_by_config(CSI300_GBDT_TASK["model"])
dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
port_analysis_config = {
"executor": {
@@ -90,7 +43,7 @@ if __name__ == "__main__":
"start_time": "2017-01-01",
"end_time": "2020-08-01",
"account": 100000000,
"benchmark": benchmark,
"benchmark": CSI300_BENCH,
"exchange_kwargs": {
"freq": "day",
"limit_threshold": 0.095,