From 93796bdcefe8d11a5cb9def02b3e2ac6d5105282 Mon Sep 17 00:00:00 2001 From: "wangwenxi.handsome" Date: Tue, 29 Jun 2021 21:34:36 +0800 Subject: [PATCH] add exchange kwargs --- .../benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml | 6 ++++++ .../benchmarks/ALSTM/workflow_config_alstm_Alpha360.yaml | 6 ++++++ .../CatBoost/workflow_config_catboost_Alpha158.yaml | 6 ++++++ .../CatBoost/workflow_config_catboost_Alpha360.yaml | 6 ++++++ .../workflow_config_doubleensemble_Alpha158.yaml | 6 ++++++ .../workflow_config_doubleensemble_Alpha360.yaml | 8 +++++++- .../benchmarks/GATs/workflow_config_gats_Alpha158.yaml | 6 ++++++ .../benchmarks/GATs/workflow_config_gats_Alpha360.yaml | 6 ++++++ examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml | 6 ++++++ examples/benchmarks/GRU/workflow_config_gru_Alpha360.yaml | 6 ++++++ .../benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml | 6 ++++++ .../benchmarks/LSTM/workflow_config_lstm_Alpha360.yaml | 6 ++++++ .../LightGBM/workflow_config_lightgbm_Alpha158.yaml | 6 ++++++ .../LightGBM/workflow_config_lightgbm_Alpha360.yaml | 6 ++++++ .../workflow_config_lightgbm_configurable_dataset.yaml | 6 ++++++ .../Linear/workflow_config_linear_Alpha158.yaml | 8 +++++++- examples/benchmarks/MLP/workflow_config_mlp_Alpha158.yaml | 6 ++++++ examples/benchmarks/MLP/workflow_config_mlp_Alpha360.yaml | 6 ++++++ examples/benchmarks/SFM/workflow_config_sfm_Alpha360.yaml | 6 ++++++ .../benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml | 6 ++++++ examples/benchmarks/TFT/workflow_config_tft_Alpha158.yaml | 6 ++++++ .../TabNet/workflow_config_TabNet_Alpha158.yaml | 6 ++++++ .../TabNet/workflow_config_TabNet_Alpha360.yaml | 6 ++++++ .../XGBoost/workflow_config_xgboost_Alpha158.yaml | 6 ++++++ .../XGBoost/workflow_config_xgboost_Alpha360.yaml | 6 ++++++ 25 files changed, 152 insertions(+), 2 deletions(-) diff --git a/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml b/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml index b39673880..ea38ae19c 100755 --- a/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml +++ b/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml @@ -45,6 +45,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: ALSTM diff --git a/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha360.yaml b/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha360.yaml index b03df6c4d..83720b4b2 100644 --- a/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha360.yaml +++ b/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha360.yaml @@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: ALSTM diff --git a/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158.yaml b/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158.yaml index f36aec008..0ffe19e1b 100644 --- a/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158.yaml +++ b/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158.yaml @@ -23,6 +23,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: CatBoostModel diff --git a/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360.yaml b/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360.yaml index 12241f226..57c1751a1 100644 --- a/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360.yaml +++ b/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360.yaml @@ -30,6 +30,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: CatBoostModel diff --git a/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158.yaml b/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158.yaml index ce4b55ff3..71f0d3e64 100644 --- a/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158.yaml +++ b/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158.yaml @@ -23,6 +23,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: DEnsembleModel diff --git a/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360.yaml b/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360.yaml index 93e142d0d..8a185f05f 100644 --- a/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360.yaml +++ b/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360.yaml @@ -30,6 +30,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: DEnsembleModel @@ -88,7 +94,7 @@ task: dataset: - class: SigAnaRecord module_path: qlib.workflow.record_temp - kwargs: + kwargs: ana_long_short: False ann_scaler: 252 model: diff --git a/examples/benchmarks/GATs/workflow_config_gats_Alpha158.yaml b/examples/benchmarks/GATs/workflow_config_gats_Alpha158.yaml index fc4188623..37a992335 100644 --- a/examples/benchmarks/GATs/workflow_config_gats_Alpha158.yaml +++ b/examples/benchmarks/GATs/workflow_config_gats_Alpha158.yaml @@ -44,6 +44,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: GATs diff --git a/examples/benchmarks/GATs/workflow_config_gats_Alpha360.yaml b/examples/benchmarks/GATs/workflow_config_gats_Alpha360.yaml index b9df52baa..c37fd0ee5 100644 --- a/examples/benchmarks/GATs/workflow_config_gats_Alpha360.yaml +++ b/examples/benchmarks/GATs/workflow_config_gats_Alpha360.yaml @@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: GATs diff --git a/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml b/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml index e8a5dc612..42286fecd 100755 --- a/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml +++ b/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml @@ -45,6 +45,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: GRU diff --git a/examples/benchmarks/GRU/workflow_config_gru_Alpha360.yaml b/examples/benchmarks/GRU/workflow_config_gru_Alpha360.yaml index ffdc6fb66..bd1a6e1bf 100644 --- a/examples/benchmarks/GRU/workflow_config_gru_Alpha360.yaml +++ b/examples/benchmarks/GRU/workflow_config_gru_Alpha360.yaml @@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: GRU diff --git a/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml b/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml index 7cbfb357d..687404419 100755 --- a/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml +++ b/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml @@ -45,6 +45,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: LSTM diff --git a/examples/benchmarks/LSTM/workflow_config_lstm_Alpha360.yaml b/examples/benchmarks/LSTM/workflow_config_lstm_Alpha360.yaml index 1f6d11dfd..e6c3b5736 100644 --- a/examples/benchmarks/LSTM/workflow_config_lstm_Alpha360.yaml +++ b/examples/benchmarks/LSTM/workflow_config_lstm_Alpha360.yaml @@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: LSTM diff --git a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml index 4eb919505..9d6f45076 100644 --- a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml +++ b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml @@ -23,6 +23,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: LGBModel diff --git a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360.yaml b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360.yaml index 249d74fce..ba96b076c 100644 --- a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360.yaml +++ b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360.yaml @@ -30,6 +30,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: LGBModel diff --git a/examples/benchmarks/LightGBM/workflow_config_lightgbm_configurable_dataset.yaml b/examples/benchmarks/LightGBM/workflow_config_lightgbm_configurable_dataset.yaml index 2c3def064..0f71b2a36 100644 --- a/examples/benchmarks/LightGBM/workflow_config_lightgbm_configurable_dataset.yaml +++ b/examples/benchmarks/LightGBM/workflow_config_lightgbm_configurable_dataset.yaml @@ -38,6 +38,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: LGBModel diff --git a/examples/benchmarks/Linear/workflow_config_linear_Alpha158.yaml b/examples/benchmarks/Linear/workflow_config_linear_Alpha158.yaml index 5c5e08a30..1cf28024e 100644 --- a/examples/benchmarks/Linear/workflow_config_linear_Alpha158.yaml +++ b/examples/benchmarks/Linear/workflow_config_linear_Alpha158.yaml @@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: LinearModel @@ -64,7 +70,7 @@ task: - class: SigAnaRecord module_path: qlib.workflow.record_temp kwargs: - ana_long_short: False + ana_long_short: True ann_scaler: 252 model: dataset: diff --git a/examples/benchmarks/MLP/workflow_config_mlp_Alpha158.yaml b/examples/benchmarks/MLP/workflow_config_mlp_Alpha158.yaml index fc9a973c0..bc005b43e 100644 --- a/examples/benchmarks/MLP/workflow_config_mlp_Alpha158.yaml +++ b/examples/benchmarks/MLP/workflow_config_mlp_Alpha158.yaml @@ -50,6 +50,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: DNNModelPytorch diff --git a/examples/benchmarks/MLP/workflow_config_mlp_Alpha360.yaml b/examples/benchmarks/MLP/workflow_config_mlp_Alpha360.yaml index ffd9499c3..a4ceab8da 100644 --- a/examples/benchmarks/MLP/workflow_config_mlp_Alpha360.yaml +++ b/examples/benchmarks/MLP/workflow_config_mlp_Alpha360.yaml @@ -38,6 +38,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: DNNModelPytorch diff --git a/examples/benchmarks/SFM/workflow_config_sfm_Alpha360.yaml b/examples/benchmarks/SFM/workflow_config_sfm_Alpha360.yaml index 5c4536d44..e42f75aec 100644 --- a/examples/benchmarks/SFM/workflow_config_sfm_Alpha360.yaml +++ b/examples/benchmarks/SFM/workflow_config_sfm_Alpha360.yaml @@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: SFM diff --git a/examples/benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml b/examples/benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml index 0c2b40723..ce336af6c 100644 --- a/examples/benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml +++ b/examples/benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml @@ -41,6 +41,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: TCTS diff --git a/examples/benchmarks/TFT/workflow_config_tft_Alpha158.yaml b/examples/benchmarks/TFT/workflow_config_tft_Alpha158.yaml index 74994d875..a396371dc 100644 --- a/examples/benchmarks/TFT/workflow_config_tft_Alpha158.yaml +++ b/examples/benchmarks/TFT/workflow_config_tft_Alpha158.yaml @@ -25,6 +25,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: TFTModel diff --git a/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha158.yaml b/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha158.yaml index 92b3f8933..71d41be63 100644 --- a/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha158.yaml +++ b/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha158.yaml @@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: TabnetModel diff --git a/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha360.yaml b/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha360.yaml index 2211ef66e..f43af104c 100644 --- a/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha360.yaml +++ b/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha360.yaml @@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: TabnetModel diff --git a/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha158.yaml b/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha158.yaml index 6feed7cc4..dee169f18 100644 --- a/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha158.yaml +++ b/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha158.yaml @@ -23,6 +23,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: XGBModel diff --git a/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha360.yaml b/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha360.yaml index f6a07f3a7..926224f84 100644 --- a/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha360.yaml +++ b/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha360.yaml @@ -30,6 +30,12 @@ port_analysis_config: &port_analysis_config end_time: 2020-08-01 account: 100000000 benchmark: *benchmark + exchange_kwargs: + limit_threshold: 0.095 + deal_price: close + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5 task: model: class: XGBModel