1
0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-05 20:11:08 +08:00
This commit is contained in:
xixi
2021-06-22 10:04:38 +08:00
committed by you-n-g
parent d6984a3f2d
commit d1b8ed9613
2 changed files with 2 additions and 73 deletions

View File

@@ -103,7 +103,8 @@ def end_task_train(rec: Recorder, experiment_name: str) -> Recorder:
for record in records:
cls, kwargs = get_cls_kwargs(record, default_module="qlib.workflow.record_temp")
kwargs = fill_placeholder(kwargs, model, dataset)
r = cls(**kwargs, **{"record", record})
kwargs["recorder"] = rec
r = cls(**kwargs)
r.generate()
return rec

View File

@@ -1,72 +0,0 @@
qlib_init:
provider_uri: "~/.qlib/qlib_data/cn_data"
region: cn
market: &market csi300
benchmark: &benchmark SH000300
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
port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
kwargs:
model: <MODEL>
dataset: <DATASET>
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5
task:
model:
class: LGBModel
module_path: qlib.contrib.model.gbdt
kwargs:
loss: mse
colsample_bytree: 0.8879
learning_rate: 0.2
subsample: 0.8789
lambda_l1: 205.6999
lambda_l2: 580.9768
max_depth: 8
num_leaves: 210
num_threads: 20
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: Alpha158
module_path: qlib.contrib.data.handler
kwargs: *data_handler_config
segments:
train: [2008-01-01, 2014-12-31]
valid: [2015-01-01, 2016-12-31]
test: [2017-01-01, 2020-08-01]
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs:
model: <MODEL>
dataset: <DATASET>
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
model: <MODEL>
dataset: <DATASET>
ana_long_short: False
ann_scaler: 252
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config