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65 lines
2.0 KiB
YAML
65 lines
2.0 KiB
YAML
qlib_init:
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provider_uri: "~/.qlib/qlib_data/cn_data_1min"
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region: cn
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market: &market 'csi300'
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start_time: &start_time "2020-09-15 00:00:00"
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end_time: &end_time "2021-01-18 16:00:00"
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train_end_time: &train_end_time "2020-11-15 16:00:00"
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valid_start_time: &valid_start_time "2020-11-16 00:00:00"
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valid_end_time: &valid_end_time "2020-11-30 16:00:00"
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test_start_time: &test_start_time "2020-12-01 00:00:00"
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data_handler_config: &data_handler_config
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start_time: *start_time
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end_time: *end_time
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fit_start_time: *start_time
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fit_end_time: *train_end_time
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instruments: *market
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freq: '1min'
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infer_processors:
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- class: 'RobustZScoreNorm'
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kwargs:
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fields_group: 'feature'
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clip_outlier: false
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- class: "Fillna"
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kwargs:
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fields_group: 'feature'
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learn_processors:
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- class: 'DropnaLabel'
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- class: 'CSRankNorm'
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kwargs:
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fields_group: 'label'
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label: ["Ref($close, -2) / Ref($close, -1) - 1"]
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task:
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model:
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class: "HFLGBModel"
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module_path: "qlib.contrib.model.highfreq_gdbt_model"
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kwargs:
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objective: 'binary'
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metric: ['binary_logloss','auc']
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verbosity: -1
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learning_rate: 0.01
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max_depth: 8
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num_leaves: 150
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lambda_l1: 1.5
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lambda_l2: 1
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num_threads: 20
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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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segments:
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train: [*start_time, *train_end_time]
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valid: [*train_end_time, *valid_end_time]
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test: [*test_start_time, *end_time]
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record:
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- class: "SignalRecord"
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module_path: "qlib.workflow.record_temp"
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kwargs: {}
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- class: "HFSignalRecord"
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module_path: "qlib.workflow.record_temp"
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kwargs: {} |