Add TabNet config

examples/benchmarks/CatBoost/workflow_config_catboost.yaml

@@ -37,7 +37,7 @@ task:
         module_path: qlib.data.dataset
         kwargs:
             handler:
-                class: ALPHA360_Denoise
+                class: Alpha158
                 module_path: qlib.contrib.data.handler
                 kwargs: *data_handler_config
             segments:

examples/benchmarks/DNN/workflow_config_dnn.yaml

@@ -44,7 +44,7 @@ task:
         module_path: qlib.data.dataset
         kwargs:
             handler:
-                class: ALPHA360_Denoise
+                class: Alpha158
                 module_path: qlib.contrib.data.handler
                 kwargs: *data_handler_config
             segments:

examples/benchmarks/TabNet/requirements.txt

@@ -0,0 +1,5 @@
+pandas==1.1.2
+numpy==1.17.4
+scikit_learn==0.23.2
+torch==1.7.0
+pytorch-tabnet==2.0.1

examples/benchmarks/TabNet/workflow_config_tabnet.yaml

@@ -0,0 +1,66 @@
+provider_uri: "~/.qlib/qlib_data/cn_data"
+region: cn
+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
+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
+task:
+    model:
+        class: TabNetModel
+        module_path: qlib.contrib.model.tabnet
+        kwargs:
+            n_d: 8
+            n_a: 8
+            n_steps: 3
+            gamma: 1.3
+            n_independent: 2
+            n_shared: 2
+            seed: 0
+            momentum: 0.02
+            lambda_sparse: 1e-3
+            optimizer_params: {lr: 2e-3}
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha158
+                module_path: qlib.contrib.data.handler
+                kwargs: *data_handler_config
+            segments:
+                train: [2008-01-01, 2014-12-31]
+                valid: [2015-01-01, 2016-12-31]
+                test: [2017-01-01, 2020-08-01]
+    record: 
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: {}
+        - class: SigAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            ana_long_short: False
+            ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            config: *port_analysis_config

examples/workflow_by_code_tabnet.py

@@ -71,7 +71,7 @@ if __name__ == "__main__":
                 "seed": 0,
                 "momentum": 0.02,
                 "lambda_sparse": 1e-3,
-                "optimizer_params": {'lr':2e-3}
+                "optimizer_params": {"lr": 2e-3},
             },
         },
         "dataset": {