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Update LightGBM alpha158 csi500 result (#1199)

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* Update the arguments of LightGBModel

* update README table

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
This commit is contained in:
Ning Tang
2022-08-05 16:45:54 +08:00
committed by GitHub
parent 8f1e28c43f
commit 58f9eed3c9
2 changed files with 5 additions and 5 deletions
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8
examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_csi500.yaml
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@@ -35,13 +35,13 @@ task:
module_path: qlib.contrib.model.gbdt
kwargs:
loss: mse
colsample_bytree: 0.8879
learning_rate: 0.2
subsample: 0.8789
colsample_bytree: 0.9
learning_rate: 0.1
subsample: 0.9
lambda_l1: 205.6999
lambda_l2: 580.9768
max_depth: 8
num_leaves: 210
num_leaves: 250
num_threads: 20
dataset:
class: DatasetH

2
examples/benchmarks/README.md
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@@ -110,7 +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 |
|------------|----------|-------------|-------------|-------------|-------------|-------------------|-------------------|--------------|
| LightGBM | Alpha158 | 0.0377±0.00 | 0.3860±0.00 | 0.0448±0.00 | 0.4675±0.00 | 0.1151±0.00 | 1.3884±0.00 | -0.0898±0.00 |
| 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 |
### Alpha360 dataset