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