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:
            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: SFM
        module_path: qlib.contrib.model.pytorch_sfm
        kwargs:
            d_feat: 6
            hidden_size: 64
            output_dim: 1
            freq_dim: 15
            dropout_W: 0.5
            dropout_U: 0.5
            n_epochs: 10
            lr: 1e-3
            batch_size: 800
            early_stop: 20
            eval_steps: 5
            loss: mse
            lr_decay: 0.96
            lr_decay_steps: 100
            optimizer: gd
            GPU: 1
            seed: 0
    dataset:
        class: DatasetH
        module_path: qlib.data.dataset
        kwargs:
            handler:
                class: ALPHA360_Denoise
                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: {}
        - class: SigAnaRecord
          module_path: qlib.workflow.record_temp
          kwargs: 
            ana_long_short: False
            ann_scaler: 252
        - class: PortAnaRecord
          module_path: qlib.workflow.record_temp
          kwargs: 
            config: *port_analysis_config