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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>
78 lines
2.8 KiB
YAML
Executable File
78 lines
2.8 KiB
YAML
Executable File
# start & end time for training/validation/test datasets
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start_time: !!str &start 2020-01-01
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end_time: !!str &end 2021-12-31
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train_end_time: !!str &tend 2021-06-30
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valid_start_time: !!str &vstart 2021-07-01
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valid_end_time: !!str &vend 2021-09-30
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test_start_time: !!str &tstart 2021-10-01
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# the instrument set
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instruments: &ins csi300s19_22
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# qlib related configuration
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qlib_conf:
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provider_uri:
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5min: ./data/bin # path to generated qlib bin
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redis_port: 233
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feature_conf:
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path: ./data/pickle/feature.pkl # output path of feature
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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: HighFreqGeneralHandler
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module_path: qlib.contrib.data.highfreq_handler
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kwargs:
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start_time: *start
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end_time: *end
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fit_start_time: *start
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fit_end_time: *tend
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instruments: *ins
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day_length: 240 # how many minutes in one trading day
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freq: 5min
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columns: ["$open", "$high", "$low", "$close"]
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infer_processors:
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- class: HighFreqNorm
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module_path: qlib.contrib.data.highfreq_processor
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kwargs:
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feature_save_dir: ./stat/ # output path of statistics of features (for feature normalization)
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norm_groups:
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price: 8
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volume: 2
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inst_processors:
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- class: TimeRangeFlt
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module_path: qlib.data.dataset.processor
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kwargs:
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start_time: "2020-01-01"
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end_time: "2021-12-31"
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freq: 5min
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segments:
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train: !!python/tuple [*start, *tend]
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valid: !!python/tuple [*vstart, *vend]
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test: !!python/tuple [*tstart, *end]
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backtest_conf:
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path: ./data/pickle/backtest.pkl # output path of backtest
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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: HighFreqGeneralBacktestHandler
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module_path: qlib.contrib.data.highfreq_handler
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kwargs:
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start_time: *start
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end_time: *end
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instruments: *ins
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day_length: 240
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freq: 5min
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columns: ["$close", "$volume"]
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inst_processors:
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- class: TimeRangeFlt
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module_path: qlib.data.dataset.processor
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kwargs:
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start_time: "2020-01-01"
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end_time: "2021-12-31"
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freq: 5min
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segments:
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train: !!python/tuple [*start, *tend]
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valid: !!python/tuple [*vstart, *vend]
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test: !!python/tuple [*tstart, *end]
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freq: 5min
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