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Fix processor bug and format

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Jactus
2020-11-11 14:24:04 +08:00
parent e2d89f44fb
commit 52c0c4b7a8
8 changed files with 114 additions and 101 deletions
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35
examples/workflow_by_code_gru.py
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@@ -36,15 +36,14 @@ if __name__ == "__main__":
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",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": MARKET,
}
@@ -69,37 +68,43 @@ if __name__ == "__main__":
"n_epochs": 2000,
"lr": 1e-1,
"early_stop": 200,
"batch_size":800,
"batch_size": 800,
"smooth_steps": 5,
"metric": "mse",
"loss": "mse",
"seed": 0,
"GPU": 0,
}
},
},
"dataset": {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
'handler': {
"handler": {
"class": "ALPHA360",
"module_path": "qlib.contrib.data.handler",
"kwargs": DATA_HANDLER_CONFIG
"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",),
}
}
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": (
"2015-01-01",
"2016-12-31",
),
"test": (
"2017-01-01",
"2020-08-01",
),
},
},
}
# You shoud record the data in specific sequence
# "record": ['SignalRecord', 'SigAnaRecord', 'PortAnaRecord'],
}
# model = train_model(task)
model = init_instance_by_config(task['model'])
dataset = init_instance_by_config(task['dataset'])
model = init_instance_by_config(task["model"])
dataset = init_instance_by_config(task["dataset"])
model.fit(dataset)