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be4646b4b7
* Intermediate version * Fix yaml template & Successfully run rolling * Be compatible with benchmark * Get same results with previous linear model * Black formatting * Update black * Update the placeholder mechanism * Update CI * Update CI * Upgrade Black * Fix CI and simplify code * Fix CI * Move the data processing caching mechanism into utils. * Adjusting DDG-DA * Organize import
87 lines
3.1 KiB
YAML
87 lines
3.1 KiB
YAML
qlib_init:
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provider_uri: "~/.qlib/qlib_data/cn_data"
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region: cn
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market: &market csi300
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benchmark: &benchmark SH000300
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data_handler_config: &data_handler_config
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start_time: 2008-01-01
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end_time: 2020-08-01
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instruments: *market
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data_loader:
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class: QlibDataLoader
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kwargs:
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config:
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feature:
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- ["Resi($close, 15)/$close", "Std(Abs($close/Ref($close, 1)-1)*$volume, 5)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 5)+1e-12)", "Rsquare($close, 5)", "($high-$low)/$open", "Rsquare($close, 10)", "Corr($close, Log($volume+1), 5)", "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 5)", "Corr($close, Log($volume+1), 10)", "Rsquare($close, 20)", "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 60)", "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 10)", "Corr($close, Log($volume+1), 20)", "(Less($open, $close)-$low)/$open"]
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- ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"]
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label:
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- ["Ref($close, -2)/Ref($close, -1) - 1"]
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- ["LABEL0"]
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freq: day
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learn_processors:
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- class: DropnaLabel
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- class: CSZScoreNorm
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kwargs:
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fields_group: label
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port_analysis_config: &port_analysis_config
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strategy:
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class: TopkDropoutStrategy
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module_path: qlib.contrib.strategy
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kwargs:
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signal: <PRED>
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topk: 50
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n_drop: 5
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backtest:
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start_time: 2017-01-01
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end_time: 2020-08-01
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account: 100000000
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benchmark: *benchmark
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exchange_kwargs:
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limit_threshold: 0.095
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deal_price: close
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open_cost: 0.0005
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close_cost: 0.0015
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min_cost: 5
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task:
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model:
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class: LGBModel
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module_path: qlib.contrib.model.gbdt
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kwargs:
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loss: mse
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colsample_bytree: 0.8879
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learning_rate: 0.2
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subsample: 0.8789
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lambda_l1: 205.6999
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lambda_l2: 580.9768
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max_depth: 8
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num_leaves: 210
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num_threads: 20
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dataset:
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class: DatasetH
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module_path: qlib.data.dataset
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kwargs:
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handler:
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class: DataHandlerLP
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module_path: qlib.data.dataset.handler
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kwargs: *data_handler_config
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segments:
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train: [2008-01-01, 2014-12-31]
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valid: [2015-01-01, 2016-12-31]
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test: [2017-01-01, 2020-08-01]
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record:
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- class: SignalRecord
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module_path: qlib.workflow.record_temp
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kwargs:
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model: <MODEL>
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dataset: <DATASET>
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- class: SigAnaRecord
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module_path: qlib.workflow.record_temp
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kwargs:
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ana_long_short: False
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ann_scaler: 252
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- class: PortAnaRecord
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module_path: qlib.workflow.record_temp
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kwargs:
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config: *port_analysis_config
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