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Update on Dynamic Benchmark (#1539)

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* move config file to benchmark_dynamic & switch default sim task model to GBDT

* Update benchmark_dynamic results

* Change the default value of alpha of DDG-DA
This commit is contained in:
Wendi Li
2023-06-03 08:42:24 +08:00
committed by GitHub
parent 0e9ac9dce7
commit cd4ab998fb
5 changed files with 164 additions and 10 deletions
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12
examples/benchmarks_dynamic/README.md
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@@ -8,15 +8,17 @@ The table below shows the performances of different solutions on different forec
Here is the [crowd sourced version of qlib data](data_collector/crowd_source/README.md): https://github.com/chenditc/investment_data/releases
```bash
wget https://github.com/chenditc/investment_data/releases/download/20220720/qlib_bin.tar.gz
mkdir -p ~/.qlib/qlib_data/cn_data
tar -zxvf qlib_bin.tar.gz -C ~/.qlib/qlib_data/cn_data --strip-components=2
rm -f qlib_bin.tar.gz
```
| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |
|------------------|---------|----|------|---------|-----------|-------------------|-------------------|--------------|
| RR[Linear] |Alpha158 |0.089|0.577|0.102 |0.627 |0.093 |1.458 |-0.073 |
| DDG-DA[Linear] |Alpha158 |0.096|0.636|0.107 |0.677 |0.067 |0.996 |-0.091 |
| RR[LightGBM] |Alpha158 |0.082|0.589|0.091 |0.626 |0.077 |1.320 |-0.091 |
| DDG-DA[LightGBM] |Alpha158 |0.085|0.658|0.094 |0.686 |0.115 |1.792 |-0.068 |
|------------------|---------|------|------|---------|-----------|-------------------|-------------------|--------------|
| RR[Linear] |Alpha158 |0.0945|0.5989|0.1069 |0.6495 |0.0857 |1.3682 |-0.0986 |
| DDG-DA[Linear] |Alpha158 |0.0983|0.6157|0.1108 |0.6646 |0.0764 |1.1904 |-0.0769 |
| RR[LightGBM] |Alpha158 |0.0816|0.5887|0.0912 |0.6263 |0.0771 |1.3196 |-0.0909 |
| DDG-DA[LightGBM] |Alpha158 |0.0878|0.6185|0.0975 |0.6524 |0.1261 |2.0096 |-0.0744 |
- The label horizon of the `Alpha158` dataset is set to 20.
- The rolling time intervals are set to 20 trading days.