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Update training setting.

This commit is contained in:
lwwang1995
2020-11-27 10:09:17 +08:00
parent 13c2c41d23
commit 6fb19eb58d
11 changed files with 91 additions and 50 deletions

View File

@@ -8,6 +8,20 @@ data_handler_config: &data_handler_config
fit_start_time: 2008-01-01
fit_end_time: 2014-12-31
instruments: *market
infer_processors:
- class: RobustZScoreNorm
kwargs:
fields_group: feature
clip_outlier: true
- class: Fillna
kwargs:
fields_group: feature
learn_processors:
- class: DropnaLabel
- class: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1"]
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
@@ -37,7 +51,7 @@ task:
lr: 1e-3
early_stop: 20
batch_size: 800
metric: IC
metric: loss
loss: mse
seed: 0
GPU: 0
@@ -46,7 +60,7 @@ task:
module_path: qlib.data.dataset
kwargs:
handler:
class: ALPHA360_Denoise
class: ALPHA360
module_path: qlib.contrib.data.handler
kwargs: *data_handler_config
segments: