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82 lines
2.2 KiB
Python
82 lines
2.2 KiB
Python
# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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import qlib
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from qlib.config import REG_CN
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from qlib.utils import exists_qlib_data, init_instance_by_config
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from qlib.tests.data import GetData
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market = "csi300"
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benchmark = "SH000300"
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###################################
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# config
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###################################
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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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"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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}
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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": 0.0421,
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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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},
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},
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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": "Alpha158",
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"module_path": "qlib.contrib.data.handler",
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"kwargs": data_handler_config,
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},
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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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},
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},
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},
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}
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if __name__ == "__main__":
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# use default data
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provider_uri = "~/.qlib/qlib_data/cn_data" # target_dir
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if not exists_qlib_data(provider_uri):
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print(f"Qlib data is not found in {provider_uri}")
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GetData().qlib_data(target_dir=provider_uri, region=REG_CN)
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qlib.init(provider_uri=provider_uri, region=REG_CN)
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###################################
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# train model
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###################################
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# model initialization
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model = init_instance_by_config(task["model"])
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dataset = init_instance_by_config(task["dataset"])
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model.fit(dataset)
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# get model feature importance
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feature_importance = model.get_feature_importance()
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print("feature importance:")
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print(feature_importance)
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