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modify tests.config.py

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This commit is contained in:
lzh222333
2021-06-01 09:40:53 +00:00
parent 231bdf8608
commit 8d05cd2daf
3 changed files with 138 additions and 26 deletions
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94
qlib/tests/config.py
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@@ -43,17 +43,29 @@ RECORD_CONFIG = [
]
def get_data_handler_config(market=CSI300_MARKET):
def get_data_handler_config(
start_time="2008-01-01",
end_time="2020-08-01",
fit_start_time="2008-01-01",
fit_end_time="2014-12-31",
instruments=CSI300_MARKET,
):
return {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": market,
"start_time": start_time,
"end_time": end_time,
"fit_start_time": fit_start_time,
"fit_end_time": fit_end_time,
"instruments": instruments,
}
def get_dataset_config(market=CSI300_MARKET, dataset_class=DATASET_ALPHA158_CLASS):
def get_dataset_config(
dataset_class=DATASET_ALPHA158_CLASS,
train=("2008-01-01", "2014-12-31"),
valid=("2015-01-01", "2016-12-31"),
test=("2017-01-01", "2020-08-01"),
handler_kwargs={"instruments": CSI300_MARKET},
):
return {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
@@ -61,48 +73,88 @@ def get_dataset_config(market=CSI300_MARKET, dataset_class=DATASET_ALPHA158_CLAS
"handler": {
"class": dataset_class,
"module_path": "qlib.contrib.data.handler",
"kwargs": get_data_handler_config(market),
"kwargs": get_data_handler_config(**handler_kwargs),
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
"train": train,
"valid": valid,
"test": test,
},
},
}
def get_gbdt_task(market=CSI300_MARKET):
def get_gbdt_task(dataset_kwargs={}, handler_kwargs={"instruments": CSI300_MARKET}):
return {
"model": GBDT_MODEL,
"dataset": get_dataset_config(market),
"dataset": get_dataset_config(**dataset_kwargs, handler_kwargs=handler_kwargs),
}
def get_record_lgb_config(market=CSI300_MARKET):
def get_record_lgb_config(dataset_kwargs={}, handler_kwargs={"instruments": CSI300_MARKET}):
return {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
},
"dataset": get_dataset_config(market),
"dataset": get_dataset_config(**dataset_kwargs, handler_kwargs=handler_kwargs),
"record": RECORD_CONFIG,
}
def get_record_xgboost_config(market=CSI300_MARKET):
def get_record_xgboost_config(dataset_kwargs={}, handler_kwargs={"instruments": CSI300_MARKET}):
return {
"model": {
"class": "XGBModel",
"module_path": "qlib.contrib.model.xgboost",
},
"dataset": get_dataset_config(market),
"dataset": get_dataset_config(**dataset_kwargs, handler_kwargs=handler_kwargs),
"record": RECORD_CONFIG,
}
CSI300_DATASET_CONFIG = get_dataset_config(market=CSI300_MARKET)
CSI300_GBDT_TASK = get_gbdt_task(market=CSI300_MARKET)
CSI300_DATASET_CONFIG = get_dataset_config(handler_kwargs={"instruments": CSI300_MARKET})
CSI300_GBDT_TASK = get_gbdt_task(handler_kwargs={"instruments": CSI300_MARKET})
CSI100_RECORD_XGBOOST_TASK_CONFIG = get_record_xgboost_config(market=CSI100_MARKET)
CSI100_RECORD_LGB_TASK_CONFIG = get_record_lgb_config(market=CSI100_MARKET)
CSI100_RECORD_XGBOOST_TASK_CONFIG = get_record_xgboost_config(handler_kwargs={"instruments": CSI100_MARKET})
CSI100_RECORD_LGB_TASK_CONFIG = get_record_lgb_config(handler_kwargs={"instruments": CSI100_MARKET})
# use for rolling_online_managment.py
ROLLING_HANDLER_CONFIG = {
"start_time": "2013-01-01",
"end_time": "2020-09-25",
"fit_start_time": "2013-01-01",
"fit_end_time": "2014-12-31",
"instruments": CSI100_MARKET,
}
ROLLING_DATASET_CONFIG = {
"train": ("2013-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2015-12-31"),
"test": ("2016-01-01", "2020-07-10"),
}
CSI100_RECORD_XGBOOST_TASK_CONFIG_ROLLING = get_record_xgboost_config(
dataset_kwargs=ROLLING_DATASET_CONFIG, handler_kwargs=ROLLING_HANDLER_CONFIG
)
CSI100_RECORD_LGB_TASK_CONFIG_ROLLING = get_record_lgb_config(
dataset_kwargs=ROLLING_DATASET_CONFIG, handler_kwargs=ROLLING_HANDLER_CONFIG
)
# use for online_management_simulate.py
ONLINE_HANDLER_CONFIG = {
"start_time": "2018-01-01",
"end_time": "2018-10-31",
"fit_start_time": "2018-01-01",
"fit_end_time": "2018-03-31",
"instruments": CSI100_MARKET,
}
ONLINE_DATASET_CONFIG = {
"train": ("2018-01-01", "2018-03-31"),
"valid": ("2018-04-01", "2018-05-31"),
"test": ("2018-06-01", "2018-09-10"),
}
CSI100_RECORD_XGBOOST_TASK_CONFIG_ONLINE = get_record_xgboost_config(
dataset_kwargs=ONLINE_DATASET_CONFIG, handler_kwargs=ONLINE_HANDLER_CONFIG
)
CSI100_RECORD_LGB_TASK_CONFIG_ONLINE = get_record_lgb_config(
dataset_kwargs=ONLINE_DATASET_CONFIG, handler_kwargs=ONLINE_HANDLER_CONFIG
)