mirror of
https://github.com/microsoft/qlib.git
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653c082e7a
* Waiting for bin data * Complete readme * CI * Add inst filter by time * Update qlib/data/dataset/processor.py * typo * Fix time filter bug * Add Filter and set Universe * Complete data pipeline * Fix Provider Logger Info Args * Add DQN; a minor bugfix in ppo reward. * update readme. modify assertion logic in strategy check. * Fix Doc issues and fix black * Fix pylint Error --------- Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
91 lines
2.5 KiB
YAML
91 lines
2.5 KiB
YAML
qlib_init:
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provider_uri:
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day: "~/.qlib/qlib_data/cn_data"
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1min: "~/.qlib/qlib_data/cn_data_1min"
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region: cn
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dataset_cache: null
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maxtasksperchild: null
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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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# 1min closing time is 15:00:00
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end_time: "2020-08-01 15:00:00"
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fit_start_time: 2008-01-01
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fit_end_time: 2014-12-31
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instruments: *market
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freq:
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label: day
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feature_15min: 1min
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feature_day: day
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# with label as reference
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inst_processors:
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feature_15min:
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- class: ResampleNProcessor
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module_path: features_resample_N.py
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kwargs:
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target_frq: 1d
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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:
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- <MODEL>
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- <DATASET>
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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: Avg15minHandler
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module_path: multi_freq_handler.py
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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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