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yaml update

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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
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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