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Add catboost config and notebook

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Jactus
2020-11-19 17:18:18 +08:00
parent df406d58a5
commit c91698287a
9 changed files with 415 additions and 87 deletions
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17
examples/workflow_by_code.py
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@@ -32,18 +32,18 @@ if __name__ == "__main__":
qlib.init(provider_uri=provider_uri, region=REG_CN)
MARKET = "csi300"
BENCHMARK = "SH000300"
market = "csi300"
benchmark = "SH000300"
###################################
# train model
###################################
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,
"instruments": market,
}
task = {
@@ -69,7 +69,7 @@ if __name__ == "__main__":
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": DATA_HANDLER_CONFIG,
"kwargs": data_handler_config,
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
@@ -78,8 +78,6 @@ if __name__ == "__main__":
},
},
},
# You shoud record the data in specific sequence
"record": ["SignalRecord", "PortAnaRecord"],
}
port_analysis_config = {
@@ -95,7 +93,7 @@ if __name__ == "__main__":
"verbose": False,
"limit_threshold": 0.095,
"account": 100000000,
"benchmark": BENCHMARK,
"benchmark": benchmark,
"deal_price": "close",
"open_cost": 0.0005,
"close_cost": 0.0015,
@@ -108,7 +106,8 @@ if __name__ == "__main__":
dataset = init_instance_by_config(task["dataset"])
# start exp
with R.start("workflow"):
with R.start(experiment_name="workflow"):
R.log_paramters(**flatten_dict(task))
model.fit(dataset)
# prediction