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Update TCTS. (#495)

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* Update TCTS Model.

Co-authored-by: lewwang <lwwang@microsoft.com>
This commit is contained in:
Lewen Wang
2021-07-04 16:45:05 +08:00
committed by GitHub
parent 2d4f0e80f9
commit ace7484304
10 changed files with 117 additions and 156 deletions
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20
examples/benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml
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@@ -22,11 +22,9 @@ data_handler_config: &data_handler_config
- class: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1",
"Ref($close, -3) / Ref($close, -1) - 1",
"Ref($close, -4) / Ref($close, -1) - 1",
"Ref($close, -5) / Ref($close, -1) - 1",
"Ref($close, -6) / Ref($close, -1) - 1"]
label: ["Ref($close, -1) / $close - 1",
"Ref($close, -2) / Ref($close, -1) - 1",
"Ref($close, -3) / Ref($close, -2) - 1"]
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
@@ -61,11 +59,12 @@ task:
GPU: 0
fore_optimizer: adam
weight_optimizer: adam
output_dim: 5
fore_lr: 5e-7
weight_lr: 5e-7
output_dim: 3
fore_lr: 5e-4
weight_lr: 5e-4
steps: 3
target_label: 0
target_label: 1
lowest_valid_performance: 0.993
dataset:
class: DatasetH
module_path: qlib.data.dataset
@@ -87,7 +86,8 @@ task:
kwargs:
ana_long_short: False
ann_scaler: 252
label_col: 1
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config