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Rename DNN

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Jactus
2020-11-28 10:53:24 +08:00
parent eaa9f1a80d
commit ac96dde4c9
2 changed files with 0 additions and 0 deletions

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pandas==1.1.2
numpy==1.17.4
scikit_learn==0.23.2
torch==1.7.0

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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
infer_processors: [
{
"class" : "DropCol",
"kwargs":{"col_list": ["VWAP0"]}
},
{
"class" : "CSZFillna",
"kwargs":{"fields_group": "feature"}
}
]
learn_processors: [
{
"class" : "DropCol",
"kwargs":{"col_list": ["VWAP0"]}
},
{
"class" : "DropnaProcessor",
"kwargs":{"fields_group": "feature"}
},
"DropnaLabel",
{
"class": "CSZScoreNorm",
"kwargs": {"fields_group": "label"}
}
]
process_type: "independent"
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: DNNModelPytorch
module_path: qlib.contrib.model.pytorch_nn
kwargs:
loss: mse
input_dim: 157
output_dim: 1
lr: 0.002
lr_decay: 0.96
lr_decay_steps: 100
optimizer: adam
max_steps: 8000
batch_size: 4096
GPU: 0
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