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3c62d131a5
* Migrate amc4th training * Refine RL example scripts * Resolve PR comments Co-authored-by: luocy16 <luocy16@mails.tsinghua.edu.cn>
60 lines
1.3 KiB
YAML
60 lines
1.3 KiB
YAML
simulator:
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time_per_step: 30
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vol_limit: null
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env:
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concurrency: 1
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parallel_mode: dummy
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action_interpreter:
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class: CategoricalActionInterpreter
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kwargs:
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values: 14
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max_step: 8
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module_path: qlib.rl.order_execution.interpreter
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state_interpreter:
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class: FullHistoryStateInterpreter
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kwargs:
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data_dim: 6
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data_ticks: 240
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max_step: 8
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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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module_path: qlib.rl.order_execution.interpreter
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reward:
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class: PAPenaltyReward
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kwargs:
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penalty: 100.0
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module_path: qlib.rl.order_execution.reward
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data:
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source:
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order_dir: ./data/training_order_split
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data_dir: ./data/pickle_dataframe/backtest
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total_time: 240
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default_start_time: 0
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default_end_time: 240
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proc_data_dim: 6
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num_workers: 0
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queue_size: 20
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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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policy:
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class: PPO
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kwargs:
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lr: 0.0001
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module_path: qlib.rl.order_execution.policy
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runtime:
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seed: 42
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use_cuda: false
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trainer:
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max_epoch: 2
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repeat_per_collect: 5
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earlystop_patience: 2
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episode_per_collect: 20
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batch_size: 16
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val_every_n_epoch: 1
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checkpoint_path: ./checkpoints
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checkpoint_every_n_iters: 1
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