liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-06-06 05:51:17 +08:00
Code Activity

bug fix & use oracle transport pretrain

Browse Source
This commit is contained in:
Dong Zhou
2021-08-30 07:32:04 +00:00
parent 0483406c12
commit 8f4d320832
4 changed files with 375 additions and 248 deletions
Download Patch File Download Diff File Expand all files Collapse all files

93
examples/benchmarks/TRA/workflow_config_tra_Alpha158.yaml
View File

@@ -6,30 +6,30 @@ market: &market csi300
benchmark: &benchmark SH000300
data_handler_config: &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: *market
infer_processors:
- class: FilterCol
kwargs:
fields_group: feature
col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10",
"ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5",
"RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"]
- class: RobustZScoreNorm
kwargs:
fields_group: feature
clip_outlier: true
- class: Fillna
kwargs:
fields_group: feature
learn_processors:
- class: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1"]
start_time: 2008-01-01
end_time: 2020-08-01
fit_start_time: 2008-01-01
fit_end_time: 2014-12-31
instruments: *market
infer_processors:
- class: FilterCol
kwargs:
fields_group: feature
col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10",
"ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5",
"RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"]
- class: RobustZScoreNorm
kwargs:
fields_group: feature
clip_outlier: true
- class: Fillna
kwargs:
fields_group: feature
learn_processors:
- class: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1"]
num_states: &num_states 3
@@ -37,7 +37,10 @@ memory_mode: &memory_mode sample
tra_config: &tra_config
num_states: *num_states
hidden_size: 16
rnn_arch: LSTM
hidden_size: 32
num_layers: 1
dropout: 0.0
tau: 1.0
src_info: LR_TPE
@@ -50,21 +53,21 @@ model_config: &model_config
dropout: 0.0
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
kwargs:
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
kwargs:
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
task:
model:
@@ -76,13 +79,13 @@ task:
model_type: RNN
lr: 1e-3
n_epochs: 100
max_steps_per_epoch: 100
early_stop: 10
smooth_steps: 5
max_steps_per_epoch:
early_stop: 20
logdir: output/Alpha158
seed: 0
logdir:
lamb: 1.0
rho: 1.0
rho: 0.99
alpha: 0.5
transport_method: router
memory_mode: *memory_mode
eval_train: False

81
examples/benchmarks/TRA/workflow_config_tra_Alpha158_full.yaml
View File

@@ -6,24 +6,24 @@ market: &market csi300
benchmark: &benchmark SH000300
data_handler_config: &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: *market
infer_processors:
- class: RobustZScoreNorm
kwargs:
fields_group: feature
clip_outlier: true
- class: Fillna
kwargs:
fields_group: feature
learn_processors:
- class: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1"]
start_time: 2008-01-01
end_time: 2020-08-01
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: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1"]
num_states: &num_states 3
@@ -31,7 +31,10 @@ memory_mode: &memory_mode sample
tra_config: &tra_config
num_states: *num_states
hidden_size: 16
rnn_arch: LSTM
hidden_size: 32
num_layers: 1
dropout: 0.0
tau: 1.0
src_info: LR_TPE
@@ -44,21 +47,21 @@ model_config: &model_config
dropout: 0.2
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
kwargs:
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
kwargs:
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
task:
model:
@@ -70,13 +73,13 @@ task:
model_type: RNN
lr: 1e-3
n_epochs: 100
max_steps_per_epoch: 100
early_stop: 10
smooth_steps: 5
max_steps_per_epoch:
early_stop: 20
logdir: output/Alpha158_full
seed: 0
logdir:
lamb: 1.0
rho: 1.0
rho: 0.99
alpha: 0.5
transport_method: router
memory_mode: *memory_mode
eval_train: False

81
examples/benchmarks/TRA/workflow_config_tra_Alpha360.yaml
View File

@@ -6,24 +6,24 @@ market: &market csi300
benchmark: &benchmark SH000300
data_handler_config: &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: *market
infer_processors:
- class: RobustZScoreNorm
kwargs:
fields_group: feature
clip_outlier: true
- class: Fillna
kwargs:
fields_group: feature
learn_processors:
- class: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1"]
start_time: 2008-01-01
end_time: 2020-08-01
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: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1"]
num_states: &num_states 3
@@ -31,7 +31,10 @@ memory_mode: &memory_mode sample
tra_config: &tra_config
num_states: *num_states
hidden_size: 16
rnn_arch: LSTM
hidden_size: 32
num_layers: 1
dropout: 0.0
tau: 1.0
src_info: LR_TPE
@@ -44,21 +47,21 @@ model_config: &model_config
dropout: 0.0
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
kwargs:
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
kwargs:
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
task:
model:
@@ -70,13 +73,13 @@ task:
model_type: RNN
lr: 1e-3
n_epochs: 100
max_steps_per_epoch: 100
early_stop: 10
smooth_steps: 5
logdir:
max_steps_per_epoch:
early_stop: 20
logdir: output/Alpha360
seed: 0
lamb: 1.0
rho: 1.0
rho: 0.99
alpha: 0.5
transport_method: router
memory_mode: *memory_mode
eval_train: False