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Merge pull request #650 from microsoft/backtest_improve

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Improve the backtest design and APIs
This commit is contained in:
you-n-g
2021-11-08 09:10:33 +08:00
committed by GitHub
parent b18132dce1 3fa48d7017
commit 7800dd4ec9
65 changed files with 947 additions and 286 deletions
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7
examples/benchmarks/MLP/workflow_config_mlp_Alpha158.yaml
View File

@@ -41,8 +41,9 @@ port_analysis_config: &port_analysis_config
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
signal:
- <MODEL>
- <DATASET>
topk: 50
n_drop: 5
backtest:
@@ -98,4 +99,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config

7
examples/benchmarks/MLP/workflow_config_mlp_Alpha360.yaml
View File

@@ -29,8 +29,9 @@ port_analysis_config: &port_analysis_config
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
signal:
- <MODEL>
- <DATASET>
topk: 50
n_drop: 5
backtest:
@@ -85,4 +86,4 @@ task:
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config