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

yaml update

Browse Source
This commit is contained in:
wangwenxi.handsome
2021-06-23 11:54:05 +08:00
committed by you-n-g
parent cbe7c5285a
commit bd6080b8f5
25 changed files with 722 additions and 222 deletions
Download Patch File Download Diff File Expand all files Collapse all files

36
examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml
View File

@@ -34,19 +34,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: ALSTM
@@ -81,13 +96,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

38
examples/benchmarks/ALSTM/workflow_config_alstm_Alpha360.yaml
View File

@@ -26,19 +26,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: ALSTM
@@ -71,13 +86,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config
risk_analysis_freq: day

36
examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158.yaml
View File

@@ -12,19 +12,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: CatBoostModel
@@ -53,13 +68,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

36
examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360.yaml
View File

@@ -19,19 +19,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: CatBoostModel
@@ -60,13 +75,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

42
examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158.yaml
View File

@@ -12,19 +12,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: DEnsembleModel
@@ -75,16 +90,21 @@ task:
train: [2008-01-01, 2014-12-31]
valid: [2015-01-01, 2016-12-31]
test: [2017-01-01, 2020-08-01]
record:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

44
examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360.yaml
View File

@@ -19,19 +19,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: DEnsembleModel
@@ -82,16 +97,21 @@ task:
train: [2008-01-01, 2014-12-31]
valid: [2015-01-01, 2016-12-31]
test: [2017-01-01, 2020-08-01]
record:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

38
examples/benchmarks/GATs/workflow_config_gats_Alpha158.yaml
View File

@@ -33,19 +33,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: GATs
@@ -80,13 +95,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config
risk_analysis_freq: day

38
examples/benchmarks/GATs/workflow_config_gats_Alpha360.yaml
View File

@@ -26,19 +26,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: GATs
@@ -72,13 +87,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config
risk_analysis_freq: day

36
examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml
View File

@@ -34,19 +34,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: GRU
@@ -80,13 +95,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

38
examples/benchmarks/GRU/workflow_config_gru_Alpha360.yaml
View File

@@ -26,19 +26,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: GRU
@@ -70,13 +85,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config
risk_analysis_freq: day

36
examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml
View File

@@ -34,19 +34,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LSTM
@@ -80,13 +95,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

38
examples/benchmarks/LSTM/workflow_config_lstm_Alpha360.yaml
View File

@@ -26,19 +26,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LSTM
@@ -70,13 +85,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config
risk_analysis_freq: day

38
examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
View File

@@ -12,19 +12,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LGBModel
@@ -54,13 +69,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config
risk_analysis_freq: day

38
examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360.yaml
View File

@@ -19,19 +19,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LGBModel
@@ -61,13 +76,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config
risk_analysis_freq: day

38
examples/benchmarks/LightGBM/workflow_config_lightgbm_configurable_dataset.yaml
View File

@@ -27,19 +27,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LGBModel
@@ -69,13 +84,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config
risk_analysis_freq: day

44
examples/benchmarks/Linear/workflow_config_linear_Alpha158.yaml
View File

@@ -26,19 +26,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: LinearModel
@@ -57,16 +72,21 @@ task:
train: [2008-01-01, 2014-12-31]
valid: [2015-01-01, 2016-12-31]
test: [2017-01-01, 2020-08-01]
record:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: True
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

38
examples/benchmarks/MLP/workflow_config_mlp_Alpha158.yaml
View File

@@ -39,19 +39,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: DNNModelPytorch
@@ -83,13 +98,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config
risk_analysis_freq: day

38
examples/benchmarks/MLP/workflow_config_mlp_Alpha360.yaml
View File

@@ -27,19 +27,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: DNNModelPytorch
@@ -70,13 +85,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config
risk_analysis_freq: day

36
examples/benchmarks/SFM/workflow_config_sfm_Alpha360.yaml
View File

@@ -26,19 +26,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: SFM
@@ -73,13 +88,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

38
examples/benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml
View File

@@ -30,19 +30,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: TCTS
@@ -81,13 +96,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
config: *port_analysis_config
risk_analysis_freq: day

36
examples/benchmarks/TFT/workflow_config_tft_Alpha158.yaml
View File

@@ -14,19 +14,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: TFTModel
@@ -46,13 +61,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

36
examples/benchmarks/TabNet/workflow_config_TabNet_Alpha158.yaml
View File

@@ -26,19 +26,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: TabnetModel
@@ -63,13 +78,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

36
examples/benchmarks/TabNet/workflow_config_TabNet_Alpha360.yaml
View File

@@ -26,19 +26,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: TabnetModel
@@ -63,13 +78,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

36
examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha158.yaml
View File

@@ -12,19 +12,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: XGBModel
@@ -52,13 +67,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day

36
examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha360.yaml
View File

@@ -19,19 +19,34 @@ data_handler_config: &data_handler_config
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
module_path: qlib.contrib.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
start_time: 2017-01-01
end_time: 2020-08-01
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
executor:
class: NestedExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: week
inner_executor:
class: SimulatorExecutor
module_path: qlib.backtest.executor
kwargs:
time_per_step: day
generate_report: True
verbose: True
inner_strategy:
class: TWAPStrategy
module_path: qlib.contrib.strategy.rule_strategy
track_data: True
generate_report: True
task:
model:
class: XGBModel
@@ -59,13 +74,18 @@ task:
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: False
ann_scaler: 252
model: <MODEL>
dataset: <DATASET>
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
risk_analysis_freq: day