mirror of
https://github.com/microsoft/qlib.git
synced 2026-06-06 05:51:17 +08:00
e182124e75
* Add docs for qlib.rl * Update docs for qlib.rl * Add homepage introduct to RL framework * Update index Link * Fix Icon * typo * Update catelog * Update docs for qlib.rl * Update docs for qlib.rl * Update figure * Update docs for qlib.rl * Update setup.py * FIx setup.py * Update docs and fix some typos * Fix the reference to RL docs * Update framework.svg * Update framework.svg * Update framework.svg * Update docs for qlibrl. * Update docs for qlibrl. * Update docs for Qlibrl. * Update docs for qlibrl. * Update docs for qlibrl. * Update docs for qlibrl. * Add new framework * Update jpg * Update framework.svg * Update framework.svg * Update Qlib framework and description * Update grammar * Update README.md * Update README.md * Update docs/component/rl.rst Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * Update docs/component/rl.rst Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * Update docs for qlib.rl * Change theme for docs. * Update docs for qlib.rl * Update docs for qlib.rl * Update docs for qlib.rl * Update docs for qlib.rl. * Update docs for qlib.rl * Update docs for qlib.rl * Update docs for qlib.rl Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
58 lines
1.7 KiB
YAML
58 lines
1.7 KiB
YAML
order_file: ./data/backtest_orders.csv
|
|
start_time: "9:45"
|
|
end_time: "14:44"
|
|
qlib:
|
|
provider_uri_1min: ./data/bin
|
|
feature_root_dir: ./data/pickle
|
|
feature_columns_today: [
|
|
"$open", "$high", "$low", "$close", "$vwap", "$volume",
|
|
]
|
|
feature_columns_yesterday: [
|
|
"$open_v1", "$high_v1", "$low_v1", "$close_v1", "$vwap_v1", "$volume_v1",
|
|
]
|
|
exchange:
|
|
limit_threshold: ['$close == 0', '$close == 0']
|
|
deal_price: ["If($close == 0, $vwap, $close)", "If($close == 0, $vwap, $close)"]
|
|
volume_threshold:
|
|
all: ["cum", "0.2 * DayCumsum($volume, '9:45', '14:44')"]
|
|
buy: ["current", "$close"]
|
|
sell: ["current", "$close"]
|
|
strategies:
|
|
30min:
|
|
class: TWAPStrategy
|
|
module_path: qlib.contrib.strategy.rule_strategy
|
|
kwargs: {}
|
|
1day:
|
|
class: SAOEIntStrategy
|
|
module_path: qlib.rl.order_execution.strategy
|
|
kwargs:
|
|
state_interpreter:
|
|
class: FullHistoryStateInterpreter
|
|
module_path: qlib.rl.order_execution.interpreter
|
|
kwargs:
|
|
max_step: 8
|
|
data_ticks: 240
|
|
data_dim: 6
|
|
processed_data_provider:
|
|
class: PickleProcessedDataProvider
|
|
module_path: qlib.rl.data.pickle_styled
|
|
kwargs:
|
|
data_dir: ./data/pickle_dataframe/feature
|
|
action_interpreter:
|
|
class: CategoricalActionInterpreter
|
|
module_path: qlib.rl.order_execution.interpreter
|
|
kwargs:
|
|
values: 14
|
|
max_step: 8
|
|
network:
|
|
class: Recurrent
|
|
module_path: qlib.rl.order_execution.network
|
|
kwargs: {}
|
|
policy:
|
|
class: PPO
|
|
module_path: qlib.rl.order_execution.policy
|
|
kwargs:
|
|
lr: 1.0e-4
|
|
weight_file: ./checkpoints/latest.pth
|
|
concurrency: 5
|