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3c62d131a5
* Migrate amc4th training * Refine RL example scripts * Resolve PR comments Co-authored-by: luocy16 <luocy16@mails.tsinghua.edu.cn>
54 lines
1.7 KiB
Python
54 lines
1.7 KiB
Python
_base_ = ["./twap.yml"]
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strategies = {
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"_delete_": True,
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"30min": {
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"class": "TWAPStrategy",
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"module_path": "qlib.contrib.strategy.rule_strategy",
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"kwargs": {},
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},
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"1day": {
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"class": "SAOEIntStrategy",
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"module_path": "qlib.rl.order_execution.strategy",
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"kwargs": {
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"state_interpreter": {
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"class": "FullHistoryStateInterpreter",
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"module_path": "qlib.rl.order_execution.interpreter",
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"kwargs": {
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"max_step": 8,
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"data_ticks": 240,
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"data_dim": 6,
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"processed_data_provider": {
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"class": "PickleProcessedDataProvider",
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"module_path": "qlib.rl.data.pickle_styled",
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"kwargs": {
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"data_dir": "./data/pickle_dataframe/feature",
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},
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},
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},
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},
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"action_interpreter": {
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"class": "CategoricalActionInterpreter",
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"module_path": "qlib.rl.order_execution.interpreter",
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"kwargs": {
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"values": 14,
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"max_step": 8,
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},
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},
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"network": {
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"class": "Recurrent",
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"module_path": "qlib.rl.order_execution.network",
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"kwargs": {},
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},
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"policy": {
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"class": "PPO",
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"module_path": "qlib.rl.order_execution.policy",
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"kwargs": {
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"lr": 1.0e-4,
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"weight_file": "./checkpoints/latest.pth",
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},
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},
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},
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},
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}
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