From 58f9eed3c9720e0af1f6cad532eae077f876beeb Mon Sep 17 00:00:00 2001 From: Ning Tang Date: Fri, 5 Aug 2022 16:45:54 +0800 Subject: [PATCH] Update LightGBM alpha158 csi500 result (#1199) * Update the arguments of LightGBModel * update README table Co-authored-by: you-n-g --- .../workflow_config_lightgbm_Alpha158_csi500.yaml | 8 ++++---- examples/benchmarks/README.md | 2 +- 2 files changed, 5 insertions(+), 5 deletions(-) diff --git a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_csi500.yaml b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_csi500.yaml index df0f7c794..327e7fffa 100644 --- a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_csi500.yaml +++ b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_csi500.yaml @@ -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 diff --git a/examples/benchmarks/README.md b/examples/benchmarks/README.md index cf8518d84..3c5bf110f 100644 --- a/examples/benchmarks/README.md +++ b/examples/benchmarks/README.md @@ -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