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RL backtest pipeline on 5-min data (#1417)

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* Workflow runnable

* CI

* Slight changes to make the workflow runnable. The changes of handler/provider should be reverted before merging.

* Train experiment successful

* Refine handler & provider

* test passed

* Ready to test on server

* Minor

* Test passed

* TWAP training

* Add PPOReward

* Add a FIXME

* Refine PPO reward according to PR comments

* Minor

* Resolve PR comments

* CI issues

* CI issues

* CI issues
This commit is contained in:
Huoran Li
2023-02-13 12:43:22 +08:00
committed by GitHub
parent 6295939346
commit 5eb5ac1f1f
25 changed files with 251 additions and 167 deletions
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qlib/rl/contrib/naive_config_parser.py
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@@ -98,7 +98,7 @@ def get_backtest_config_fromfile(path: str) -> dict:
"debug_single_day": None,
"concurrency": -1,
"multiplier": 1.0,
"output_dir": "outputs/",
"output_dir": "outputs_backtest/",
"generate_report": False,
}
backtest_config = merge_a_into_b(a=backtest_config, b=backtest_config_default)