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Add csi500 benchmark for MLP model. (#1215)

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* Add csi500 benchmark for MLP model.

* Update MLP metric for Alpha158 dataset.

Co-authored-by: vincilee <vincilee1994@outlook.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
This commit is contained in:
Jinge Wang
2022-08-05 16:57:40 +08:00
committed by GitHub
parent 157481abd1
commit 558603beca
3 changed files with 193 additions and 0 deletions
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examples/benchmarks/README.md
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@@ -110,6 +110,7 @@ python run_all_model.py run 3 lightgbm Alpha158 csi500 # for models with random
| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |
|------------|----------|-------------|-------------|-------------|-------------|-------------------|-------------------|--------------|
| Linear | Alpha158 | 0.0332±0.00 | 0.3044±0.00 | 0.0462±0.00 | 0.4326±0.00 | 0.0382±0.00 | 0.1723±0.00 | -0.4876±0.00 |
| MLP | Alpha158 | 0.0229±0.01 | 0.2181±0.05 | 0.0360±0.00 | 0.3409±0.02 | 0.0043±0.02 | 0.0602±0.27 | -0.2184±0.04 |
| LightGBM | Alpha158 | 0.0399±0.00 | 0.4065±0.00 | 0.0482±0.00 | 0.5101±0.00 | 0.1284±0.00 | 1.5650±0.00 | -0.0635±0.00 |
| CatBoost | Alpha158 | 0.0345±0.00 | 0.2855±0.00 | 0.0417±0.00 | 0.3740±0.00 | 0.0496±0.00 | 0.5977±0.00 | -0.1496±0.00 |
| DoubleEnsemble | Alpha158 | 0.0380±0.00 | 0.3659±0.00 | 0.0442±0.00 | 0.4324±0.00 | 0.0382±0.00 | 0.1723±0.00 | -0.4876±0.00 |
@@ -117,6 +118,7 @@ python run_all_model.py run 3 lightgbm Alpha158 csi500 # for models with random
### Alpha360 dataset
| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |
|------------|----------|-------------|-------------|-------------|-------------|-------------------|-------------------|--------------|
| MLP | Alpha360 | 0.0258±0.00 | 0.2021±0.02 | 0.0426±0.00 | 0.3840±0.02 | 0.0022±0.02 | 0.0301±0.26 | -0.2064±0.02 |
| LightGBM | Alpha360 | 0.0400±0.00 | 0.3605±0.00 | 0.0536±0.00 | 0.5431±0.00 | 0.0505±0.00 | 0.7658±0.02 | -0.1880±0.00 |
| CatBoost | Alpha360 | 0.0382±0.00 | 0.3229±0.00 | 0.0489±0.00 | 0.4649±0.00 | 0.0297±0.00 | 0.4227±0.02 | -0.1499±0.01 |
| DoubleEnsemble | Alpha360 | 0.0361±0.00 | 0.3092±0.00 | 0.0499±0.00 | 0.4793±0.00 | 0.0382±0.00 | 0.1723±0.02 | -0.4876±0.00 |