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* Add knowledge module * add KnowledgeExperiment add KnowledgeBase; * add knowledge associate prompts to template; * Add Topic class * add Topic to summarize knowledge; * add recorder's metric to summarizeTask; --------- Co-authored-by: Cadenza-Li <362237642@qq.com>
631 lines
39 KiB
YAML
631 lines
39 KiB
YAML
WorkflowTask_system : |-
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Your goal is to determine the appropriate workflow (supervised learning or reinforcement learning) for a given user requirement in Qlib. The user will provide a statement of their requirements, and you will provide a clear and concise response indicating the optimal workflow.
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Please provide the output in the following format: "workflow: [supervised learning/reinforcement learning]". You should not provide additional explanations or engage in conversation with the user.
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Please note that your response should be based solely on the user's requirements and should consider factors such as the complexity of the task, the type and amount of data available, and the desired outcome.
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Example input 1:
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Help me build a low turnover quant investment strategy that focus more on long turn return in China a stock market.
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Example output 1:
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workflow: supervised learning
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Example input 2:
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Help me build a pipeline to determine the best selling point of a stock in a day or half a day in USA stock market.
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Example output 2:
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workflow: reinforcement learning
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WorkflowTask_user : |-
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User input: '{{user_prompt}}'
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Please provide the workflow in Qlib (supervised learning or reinforcement learning) ensureing the workflow can meet the user's requirements.
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Response only with the output in the exact format specified in the system prompt, with no explanation or conversation.
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SLPlanTask_system : |-
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Your task is to design the 6 crucial components in Qlib (Dataset, DataHandler, Model, Record, Strategy, Backtest) ensuring the workflow can meet the user's requirements.
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The predefined class in Qlib modules can be listed in format of {module_path}-{class name}:
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Dataset: {qlib.data.dataset}-{DatasetH}, {qlib.contrib.data.dataset}-{MTSDatasetH}
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DataHandler: {qlib.contrib.data.handler}-{Alpha158}, {qlib.contrib.data.handler}-{Alpha158vwap}, {qlib.contrib.data.handler}-{Alpha360}, {qlib.contrib.data.handler}-{Alpha360vwap}, {qlib.data.dataset.loader}-{QlibDataLoader}
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Model: {qlib.contrib.model.catboost_model}-{CatBoostModel}, {qlib.contrib.model.double_ensemble}-{DoubleEnsembleModel}, {qlib.contrib.model.gbdt}-{LGBModel}, {qlib.contrib.model.highfreq_gdbt_model}-{HFLGBModel}, {qlib.contrib.model.linear}-{LinearModel}, {qlib.contrib.model.pytorch_adarnn}-{AdaRNNModel}, {qlib.contrib.model.pytorch_add}-{ADD}, {qlib.contrib.model.pytorch_alstm_ts}-{ALSTM}, {qlib.contrib.model.pytorch_alstm}-{ALSTM}, {qlib.contrib.model.pytorch_gats}-{GATs}, {qlib.contrib.model.pytorch_gats_ts}-{GATs}, {qlib.contrib.model.pytorch_gru}-{GRU}, {qlib.contrib.model.pytorch_gru_ts}-{GRU}, {qlib.contrib.model.pytorch_hist}-{HIST}, {qlib.contrib.model.pytorch_igmtf}-{IGMTF}, {qlib.contrib.model.pytorch_localformer}-{LocalformerModel}, {qlib.contrib.model.pytorch_localformer_ts}-{LocalformerModel}, {qlib.contrib.model.pytorch_lstm}-{LSTM}, {qlib.contrib.model.pytorch_lstm_ts}-{LSTM}, {qlib.contrib.model.pytorch_nn}-{DNNModelPytorch}, {qlib.contrib.model.pytorch_sfm}-{SFM}, {qlib.contrib.model.pytorch_tabnet}-{TabnetModel}, {qlib.contrib.model.pytorch_tcn_ts}-{TCN}, {qlib.contrib.model.pytorch_tcn}-{TCN}, {qlib.contrib.model.pytorch_tcts.}-{TCTS}, {qlib.contrib.model.pytorch_tra}-{TRA}, {qlib.contrib.model.pytorch_transformer}-{TransformerModel}, {qlib.contrib.model.pytorch_transformer_ts}-{TransformerModel}, {qlib.contrib.model.xgboost}-{XGBModel}
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Record: {qlib.workflow.record_temp}-{SignalRecord}, {qlib.workflow.record_temp}-{SigAnaRecord},
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Strategy: {qlib.contrib.strategy}-{TopkDropoutStrategy}, {qlib.contrib.strategy}-{WeightStrategyBase}, {qlib.contrib.strategy}-{EnhancedIndexingStrategy}, {qlib.contrib.strategy}-{TWAPStrategy}, {qlib.contrib.strategy}-{SBBStrategyBase}, {qlib.contrib.strategy}-{SBBStrategyEMA}, {qlib.contrib.strategy}-{SoftTopkStrategy}
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The list will be called as "predefined classes" in the following prompts.
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For each component, you first point out whether to use default module in Qlib or implement the new module (Default or Personized). Default module means picking one of the predefined classes to meet the user's requirement. Personized module means new python class implemented and called from config file. The new class should always inherit from one of the class in the predefined classes.
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If choose Default, provide the predefined class after the choice, otherwise, provide the predefined class your code plans to inherit from. the format of predefined class should follow the previous format. Backtest module has no predefined class so you don't need to provide.
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If the user's requirement can be met with Default module, always use default module to avoid code error!!!
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Please use Default module in Record, Strategy and Backtest since it's hard to implement customized these component.
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The user will provide the requirements, you will provide only the output the choice in exact format specified below with no explanation or conversation. You only response 6 components in the order of dataset, handler, model, record, strategy, backtest with no other addition.
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Example input:
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Help me build a low turnover quant investment strategy that focus more on long turn return in China a stock market. I want to use a big LSTM model and add several MLP layer before the head.
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Example output:
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components:
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- Dataset: (Default) {qlib.data.dataset}-{DatasetH}, Because it supports the China A stock market data provided by Qlib.
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- DataHandler: (Default) {qlib.contrib.data.handler}-{Alpha360}, Because it provides a comprehensive set of features for the China A stock market.
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- Model: (Personized) {qlib.contrib.model.pytorch_lstm}-{LSTM}, Because the user wants to use a big LSTM model with additional MLP layers before the head.
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- Record: (Default) {qlib.workflow.record_temp}-{SignalRecord}{qlib.workflow.record_temp}-{SigAnaRecord}, Because it is important for the user to analyze the signals generated by the model.
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- Strategy: (Default) {qlib.contrib.strategy}-{TopkDropoutStrategy}, Because it is a more robust strategy which saves turnover fee and focuses on long-term return.
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- Backtest: (Default) Because it can tell the user a more real performance result of the model we build.
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SLPlanTask_user : |-
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User input: '{{user_prompt}}'
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Please provide the 6 crucial components in Qlib (Dataset, DataHandler, Model, Record, Strategy, Backtest) ensureing the workflow can meet the user's requirements.
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Response only with the output in the exact format specified in the system prompt, with no explanation or conversation.
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AnalysisTask_system : |-
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You are an expert system administrator.
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Your task is to select the best analysis class based on user intent from this list:
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{{ANALYZERS_list}}
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Their description are:
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{{ANALYZERS_DOCS}}
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Response only with the Analyser name provided above with no explanation or conversation. if there are more than
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one analyser, separate them by ","
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AnalysisTask_user : |-
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{{user_prompt}},
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The analyzers you select should separate by ",", such as: "HFAnalyzer", "SignalAnalyzer"
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CMDTask_system : |-
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You are an expert system administrator.
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Your task is to convert the user's intention into a specific runnable command for a particular system.
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Example input:
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- User intention: Copy the folder from a/b/c to d/e/f
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- User OS: Linux
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Example output:
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cp -r a/b/c d/e/f
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CMDTask_user : |-
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Example input:
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- User intention: "{{cmd_intention}}"
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- User OS: "{{user_os}}"
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Example output:
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HyperparameterActionTask_system : |-
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Your task is to determine the hyperparameters to initialize the target class of the target component in Qlib(Dataset, DataHandler, Model, Record, Strategy, Backtest). User will provide possible hyperparameter names, you can choose to use default value(Please provice exactly "Default" in response) or set personized value to better meet user's requirement.
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The predefined class in the target Qlib module can be listed in format of {module_path}-{class name}:
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{% if target_module == "Dataset" %}
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Dataset: {qlib.data.dataset}-{DatasetH}, {qlib.contrib.data.dataset}-{MTSDatasetH}
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{% elif target_module == "DataHandler" %}
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DataHandler: {qlib.contrib.data.handler}-{Alpha158}, {qlib.contrib.data.handler}-{Alpha158vwap}, {qlib.contrib.data.handler}-{Alpha360}, {qlib.contrib.data.handler}-{Alpha360vwap}, {qlib.data.dataset.loader}-{QlibDataLoader}
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{% elif target_module == "Model" %}
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Model: {qlib.contrib.model.catboost_model}-{CatBoostModel}, {qlib.contrib.model.double_ensemble}-{DoubleEnsembleModel}, {qlib.contrib.model.gbdt}-{LGBModel}, {qlib.contrib.model.highfreq_gdbt_model}-{HFLGBModel}, {qlib.contrib.model.linear}-{LinearModel}, {qlib.contrib.model.pytorch_adarnn}-{AdaRNNModel}, {qlib.contrib.model.pytorch_add}-{ADD}, {qlib.contrib.model.pytorch_alstm_ts}-{ALSTM}, {qlib.contrib.model.pytorch_alstm}-{ALSTM}, {qlib.contrib.model.pytorch_gats}-{GATs}, {qlib.contrib.model.pytorch_gats_ts}-{GATs}, {qlib.contrib.model.pytorch_gru}-{GRU}, {qlib.contrib.model.pytorch_gru_ts}-{GRU}, {qlib.contrib.model.pytorch_hist}-{HIST}, {qlib.contrib.model.pytorch_igmtf}-{IGMTF}, {qlib.contrib.model.pytorch_localformer}-{LocalformerModel}, {qlib.contrib.model.pytorch_localformer_ts}-{LocalformerModel}, {qlib.contrib.model.pytorch_lstm}-{LSTM}, {qlib.contrib.model.pytorch_lstm_ts}-{LSTM}, {qlib.contrib.model.pytorch_nn}-{DNNModelPytorch}, {qlib.contrib.model.pytorch_sfm}-{SFM}, {qlib.contrib.model.pytorch_tabnet}-{TabnetModel}, {qlib.contrib.model.pytorch_tcn_ts}-{TCN}, {qlib.contrib.model.pytorch_tcn}-{TCN}, {qlib.contrib.model.pytorch_tcts.}-{TCTS}, {qlib.contrib.model.pytorch_tra}-{TRA}, {qlib.contrib.model.pytorch_transformer}-{TransformerModel}, {qlib.contrib.model.pytorch_transformer_ts}-{TransformerModel}, {qlib.contrib.model.xgboost}-{XGBModel}
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{% elif target_module == "Record" %}
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Record: {qlib.workflow.record_temp}-{SignalRecord}, {qlib.workflow.record_temp}-{SigAnaRecord},
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{% elif target_module == "Strategy" %}
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Strategy: {qlib.contrib.strategy}-{TopkDropoutStrategy}, {qlib.contrib.strategy}-{WeightStrategyBase}, {qlib.contrib.strategy}-{EnhancedIndexingStrategy}, {qlib.contrib.strategy}-{TWAPStrategy}, {qlib.contrib.strategy}-{SBBStrategyBase}, {qlib.contrib.strategy}-{SBBStrategyEMA}, {qlib.contrib.strategy}-{SoftTopkStrategy}
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{% elif target_module == "Backtest" %}
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Backtest: Since one backtest class is designed in Qlib, you will use "Default" to be the predefined class.
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{% endif %}
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The list will be called as "predefined classes" in the following prompts.
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{% if target_module != "Backtest" %}
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You have chosen Default backtest module.
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{% elif choice == "Default" %}
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You have chosen several predefined classes from Qlib(more than one classes might be picked, you should provide the each class's hyperparameters):
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{%for module_path, class_name in classes%}{% raw %}{{% endraw %}{{module_path}}{% raw %}}{% endraw %}-{% raw %}{{% endraw %}{{class_name}}{% raw %}}{% endraw %}.{% endfor %}
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{% elif choice == "Personized" %}
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You have chosen to implement a new class inherited from a predefined class from Qlib:
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{%for module_path, class_name in classes%}{% raw %}{{% endraw %}{{module_path}}{% raw %}}{% endraw %}-{% raw %}{{% endraw %}{{class_name}}{% raw %}}{% endraw %}.{% endfor %}, you should also provide the each class's hyperparameters to initialize the class.
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{% endif %}
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Caution: User's hyperparameter list is to hint, you can add more hyperparameters if necessary. Especially, some hyperparameters are set through kwargs, so always consider these hyperparameters and add them if necessary!!!
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The user has provided the requirements, chose the predefined classes and made plan and reason to each component. You should strictly follow user's choice and you should provide the reason of your hyperparameter choices if exist and some suggestion if the user wants to finetune the hyperparameters after the hyperparameter.
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You only need to response the hyperparameters in the exact format in exsample below with no explanation or conversation. "Hyperparameters:", "Reason:", "Improve suggestion:" are key tags so always include them in response.
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{% if target_module == "Dataset" %}
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Caution, if the user chose {qlib.data.dataset}-{DatasetH}, always remember to set hyperparameter: {segments}!
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{% elif target_module == "DataHandler" %}
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Qlib has these processors {processor_name}-{hyperparameter kwargs}:
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{DropnaProcessor}-{['fields_group']},{DropnaLabel}-{['fields_group']},{CSRankNorm}-{['fields_group']},{ProcessInf}-{[]},{Processor}-{[]},{MinMaxNorm}-{['fit_start_time', 'fit_end_time', 'fields_group']},{CSZFillna}-{['fields_group']},{TanhProcess}-{[]},{CSZScoreNorm}-{['fields_group', 'method']},{RobustZScoreNorm}-{['fit_start_time', 'fit_end_time', 'fields_group', 'clip_outlier']},{FilterCol}-{['fields_group', 'col_list']},{HashStockFormat}-{[]},{ZScoreNorm}-{['fit_start_time', 'fit_end_time', 'fields_group']},{DropCol}-{['col_list']},{Fillna}-{['fields_group', 'fill_value']}.
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You can choose some of them to use in {infer_processors} or {learn_processors} if necessary and pick the kwargs of them.
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freq should pick one from {year}/{quarter}/{month}/{week}/{day}.
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{% endif %}
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Example input:
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user requirement: Help me build a low turnover quant investment strategy that focus more on long turn return in China a stock market. I want to use a big LSTM model and add several MLP layer before the head.
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user plan:{% if target_module == "Dataset" %}
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Dataset: (Default) {qlib.data.dataset}-{DatasetH}, Because it supports the China A stock market data provided by Qlib.
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{% elif target_module == "DataHandler" %}
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DataHandler: (Default) {qlib.contrib.data.handler}-{Alpha360}, Because it provides a comprehensive set of features for the China A stock market.
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{% elif target_module == "Model" %}
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Model: (Default) {qlib.contrib.model.gbdt}-{LGBModel}, Because it uses the LightGBM model requested by the user.
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{% elif target_module == "Record" %}
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Record: (Default) {qlib.workflow.record_temp}-{SignalRecord}{qlib.workflow.record_temp}-{SigAnaRecord}, Because it is important for the user to analyze the signals generated by the model.
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{% elif target_module == "Strategy" %}
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Strategy: (Default) {qlib.contrib.strategy}-{TopkDropoutStrategy}, Because it is a more robust strategy which saves turnover fee and focuses on long-term return.
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{% elif target_module == "Backtest" %}
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Backtest: (Default) Because it can tell the user a more real performance result of the model we build.
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{% endif %}
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predefined_classes and possible hyperparameters:{% if target_module == "Dataset" %}
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(You don't need to decide handler because it it decided in DataHandler module)
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{qlib.data.dataset}-{DatasetH}:
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{segments}
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{fetch_kwargs}
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target component: Dataset
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{% elif target_module == "DataHandler" %}
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{qlib.contrib.data.handler}-{Alpha360}:
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{instruments}
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{start_time}
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{end_time}
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{freq}
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{infer_processors}
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{learn_processors}
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{fit_start_time}
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{fit_end_time}
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{filter_pipe}
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{inst_processors}
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{data_loader}
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{label}
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target component: DataHandler
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{% elif target_module == "Model" %}
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{qlib.contrib.model.pytorch_lstm}-{LSTM}
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{d_feat}
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{hidden_size}
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{num_layers}
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{dropout}
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{n_epochs}
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{lr}
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{metric}
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{batch_size}
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{early_stop}
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{loss}
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{optimizer}
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{GPU}
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{seed}
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target component: Model
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{% elif target_module == "Record" %}
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{qlib.workflow.record_temp}-{SignalRecord}:
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{model}
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{dataset}
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{recorder}
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{workspace}
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{qlib.workflow.record_temp}-{SigAnaRecord}:
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{recorder}
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{ana_long_short}
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{ann_scaler}
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{label_col}
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{skip_existing}
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target component: Record
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{% elif target_module == "Strategy" %}
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{qlib.contrib.strategy}-{TopkDropoutStrategy}:
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{topk}
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{n_drop}
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{method_sell}
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{method_buy}
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{hold_thresh}
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{only_tradable}
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{forbid_all_trade_at_limit}
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target component: Strategy
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{% elif target_module == "Backtest" %}
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Default:
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{start_time}
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{end_time}
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{strategy}
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{executor}
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{benchmark}
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{account}
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{exchange_kwargs}
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{pos_type}
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target component: Backtest
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{% endif %}
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Example output:
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Hyperparameters:
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{% if target_module == "Dataset" %}
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{qlib.data.dataset}-{DatasetH}:
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{segments}:{"train":["2008-01-01", "2014-12-31"],"valid": ["2015-01-01", "2016-12-31"],"test": ["2017-01-01", "2020-08-01"]}
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{fetch_kwargs}:Default
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Reason: I chose these hyperparameters to provide a robust long-term investment strategy by dividing the China A stock market data into train, valid, and test segments, while using default settings for fetching data in Qlib's DatasetH.
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Improve suggestion: To further improve the model's performance, you can experiment with different segment lengths for train, valid, and test sets, and explore custom fetch_kwargs options to include additional features or modify data preprocessing steps in Qlib's DatasetH.
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{% elif target_module == "DataHandler" %}
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{qlib.contrib.data.handler}-{Alpha360}:
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{instruments}:csi300
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{start_time}:2008-01-01
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{end_time}:2020-08-01
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{freq}:Default
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{infer_processors}:[{"class":"RobustZScoreNorm","kwargs":{"fields_group":"feature", "clip_outlier":"true"}}, {"class":"Fillna","kwargs":{"fields_group":"feature"}}}]
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{learn_processors}:[{"class":"DropnaLabel"}, {"class":"CSRankNorm","kwargs":{"fields_group":"label"}}}]
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{fit_start_time}:2008-01-01
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{fit_end_time}:2014-12-31
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{filter_pipe}:Default
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{inst_processors}:Default
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{data_loader}:Default
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{label}:["Ref($close, -2) / Ref($close, -1) - 1"]
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Reason: The hyperparameters are chosen to focus on the China A stock market, provide a long-term historical dataset, ensure a robust training period, and align with your longer-term return focus, thus creating a solid starting point for your low turnover quant investment strategy.
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Improve suggestion: To improve DataHandler performance, consider using more recent data, experimenting with different frequencies, customizing learn_processors and infer_processors, exploring feature selection techniques, and trying different labels. Be aware that these suggestions may require additional resources and experimentation to optimize your strategy.
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{% elif target_module == "Model" %}
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{qlib.contrib.model.pytorch_lstm}-{LSTM}
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{d_feat}:6
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{hidden_size}:64
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{num_layers}:2
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{dropout}:0.0
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{n_epochs}:200
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{lr}:0.001
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{metric}:loss
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{batch_size}:800
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{early_stop}:20
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{loss}:mse
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{optimizer}:Default
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{GPU}:Default
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{seed}:Default
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Reason: I chose these hyperparameters based on your requirement of a big LSTM model for a low turnover quant investment strategy focusing on long-term returns in the China A-stock market. The hidden_size is set to 128 to create a larger LSTM model, while the num_layers is set to 2 to add complexity. The dropout is set to 0.0 to avoid any regularization, as you didn't mention any concerns about overfitting. The learning rate (lr) is set to 0.001, which is a standard value for training deep learning models. The number of epochs (n_epochs) is set to 200, and the early stopping (early_stop) is set to 20, which will help in preventing overfitting and save training time. The batch_size is set to 800, which is a reasonable size for training the model. The loss function is set to mean squared error (mse) as it is a common choice for regression tasks. The optimizer, GPU, and seed are set to their default values as no specific requirements were provided.
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Improve suggestion: To further improve the performance of the LSTM model, you can consider tuning the following hyperparameters: hidden_size, num_layers, dropout, learning rate (lr), and batch_size. You can try increasing the hidden_size and num_layers to make the model more expressive, but be cautious of overfitting. Introducing dropout (e.g., 0.1 to 0.5) can help with regularization and reduce overfitting. Adjusting the learning rate (e.g., trying values between 0.0001 and 0.01) can help find the optimal balance between fast convergence and stable training. Lastly, experimenting with different batch sizes (e.g., 256, 512, or 1024) can impact the model's performance and training speed. You can use techniques like grid search or random search to systematically explore these hyperparameter combinations and select the best performing configuration.
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{% elif target_module == "Record" %}
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{qlib.workflow.record_temp}-{SignalRecord}:
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{model}:Default
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{dataset}:Default
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{recorder}:Default
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{workspace}:Default
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{qlib.workflow.record_temp}-{SigAnaRecord}:
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{recorder}:Default
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{ana_long_short}:False
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{ann_scaler}:252
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{label_col}:Default
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{skip_existing}:Default
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Reason: For {qlib.workflow.record_temp}-{SignalRecord}, the default settings should work well with the user's requirements, so no changes are needed. For {qlib.workflow.record_temp}-{SigAnaRecord}, I set {ana_long_short} to False because the user wants to focus more on long-term returns. The {ann_scaler} is set to 252, which is the number of trading days in a year, to analyze the annualized return.
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Improve suggestion: To finetune the hyperparameters, the user can try different values for {ann_scaler} if they want to analyze the return over different time horizons. They can also experiment with different {label_col} settings if they want to analyze different aspects of the strategy's performance.
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{% elif target_module == "Strategy" %}
|
||
{qlib.contrib.strategy}-{TopkDropoutStrategy}:
|
||
{topk}:50
|
||
{n_drop}:5
|
||
{method_sell}:Default
|
||
{method_buy}:Default
|
||
{hold_thresh}:Default
|
||
{only_tradable}:Default
|
||
{forbid_all_trade_at_limit}:Default
|
||
Reason: The user wants a low turnover strategy that focuses on long-term returns. By choosing TopkDropoutStrategy and setting topk to 50, we select the top 50 stocks based on the model predictions. The n_drop parameter is set to 5, which means that we will drop the bottom 5 stocks from the top 50 when rebalancing the portfolio. This will help in reducing the turnover and focusing on long-term returns.
|
||
Improve suggestion: If the user wants to further fine-tune the hyperparameters, they can experiment with different values for topk and n_drop to see how it affects the strategy's performance. They can also try other methods for method_sell and method_buy to see if it improves the results. Additionally, the user can consider adjusting the hold_thresh parameter to control the holding threshold for stocks in the portfolio.
|
||
{% elif target_module == "Backtest" %}
|
||
Default:
|
||
{start_time}:2017-01-01
|
||
{end_time}:2020-08-01
|
||
{strategy}:Default
|
||
{executor}:Default
|
||
{benchmark}:SH000300
|
||
{account}:100000000
|
||
{exchange_kwargs}:{ "limit_threshold": 0.095, "deal_price": "close", "open_cost": 0.0005, "close_cost": 0.0015, "min_cost": 5}
|
||
{pos_type}:Default
|
||
Reason: The start_time and end_time are set to 2017-01-01 and 2020-08-01 to ensure a sufficient time range for the model to learn and test. The benchmark is set to SH000300, which represents the China A-share stock market, to match the user's requirement. The account is set to 100000000 to provide enough initial capital for the investment strategy. The exchange_kwargs are set to control the transaction costs and price limits to simulate a realistic trading environment.
|
||
Improve suggestion: Adjust the start_time and end_time according to the available data and the desired testing period, and fine-tune the transaction costs in exchange_kwargs to match the actual trading environment.
|
||
{% endif %}
|
||
|
||
HyperparameterActionTask_user : |-
|
||
user requirement: {{user_requirement}}
|
||
user plan:
|
||
{{target_component_plan}}
|
||
|
||
predefined_classes and possible hyperparameters:{%if target_component == "Dataset"%}
|
||
(You don't need to decide handler because it it decided in DataHandler module){% endif %}{%if target_component == "Backtest"%}Default:
|
||
{% else %}
|
||
{%for module_path, class_name, params in target_component_classes_and_hyperparameters%}
|
||
{% raw %}{{% endraw %}{{module_path}}{% raw %}}{% endraw %}-{% raw %}{{% endraw %}{{class_name}}{% raw %}}{% endraw %}:
|
||
{%for param in params%}{% raw %}{{% endraw %}{{param}}{% raw %}}{% endraw %}
|
||
{% endfor %}{% endfor %}{% endif %}
|
||
target component: {{target_component}}
|
||
|
||
ConfigActionTask_system: |-
|
||
Your task is to write the YAML config in Qlib following user's intention on target component of Qlib(Dataset, DataHandler, Model, Record, Strategy, Backtest).
|
||
|
||
The predefined class in the target Qlib module can be listed in format of {module_path}-{class name}:
|
||
{% if target_module == "Dataset" %}
|
||
Dataset: {qlib.data.dataset}-{DatasetH}, {qlib.contrib.data.dataset}-{MTSDatasetH}
|
||
{% elif target_module == "DataHandler" %}
|
||
DataHandler: {qlib.contrib.data.handler}-{Alpha158}, {qlib.contrib.data.handler}-{Alpha158vwap}, {qlib.contrib.data.handler}-{Alpha360}, {qlib.contrib.data.handler}-{Alpha360vwap}, {qlib.data.dataset.loader}-{QlibDataLoader}
|
||
{% elif target_module == "Model" %}
|
||
Model: {qlib.contrib.model.catboost_model}-{CatBoostModel}, {qlib.contrib.model.double_ensemble}-{DoubleEnsembleModel}, {qlib.contrib.model.gbdt}-{LGBModel}, {qlib.contrib.model.highfreq_gdbt_model}-{HFLGBModel}, {qlib.contrib.model.linear}-{LinearModel}, {qlib.contrib.model.pytorch_adarnn}-{AdaRNNModel}, {qlib.contrib.model.pytorch_add}-{ADD}, {qlib.contrib.model.pytorch_alstm_ts}-{ALSTM}, {qlib.contrib.model.pytorch_alstm}-{ALSTM}, {qlib.contrib.model.pytorch_gats}-{GATs}, {qlib.contrib.model.pytorch_gats_ts}-{GATs}, {qlib.contrib.model.pytorch_gru}-{GRU}, {qlib.contrib.model.pytorch_gru_ts}-{GRU}, {qlib.contrib.model.pytorch_hist}-{HIST}, {qlib.contrib.model.pytorch_igmtf}-{IGMTF}, {qlib.contrib.model.pytorch_localformer}-{LocalformerModel}, {qlib.contrib.model.pytorch_localformer_ts}-{LocalformerModel}, {qlib.contrib.model.pytorch_lstm}-{LSTM}, {qlib.contrib.model.pytorch_lstm_ts}-{LSTM}, {qlib.contrib.model.pytorch_nn}-{DNNModelPytorch}, {qlib.contrib.model.pytorch_sfm}-{SFM}, {qlib.contrib.model.pytorch_tabnet}-{TabnetModel}, {qlib.contrib.model.pytorch_tcn_ts}-{TCN}, {qlib.contrib.model.pytorch_tcn}-{TCN}, {qlib.contrib.model.pytorch_tcts.}-{TCTS}, {qlib.contrib.model.pytorch_tra}-{TRA}, {qlib.contrib.model.pytorch_transformer}-{TransformerModel}, {qlib.contrib.model.pytorch_transformer_ts}-{TransformerModel}, {qlib.contrib.model.xgboost}-{XGBModel}
|
||
{% elif target_module == "Record" %}
|
||
Record: {qlib.workflow.record_temp}-{SignalRecord}, {qlib.workflow.record_temp}-{SigAnaRecord},
|
||
{% elif target_module == "Strategy" %}
|
||
Strategy: {qlib.contrib.strategy}-{TopkDropoutStrategy}, {qlib.contrib.strategy}-{WeightStrategyBase}, {qlib.contrib.strategy}-{EnhancedIndexingStrategy}, {qlib.contrib.strategy}-{TWAPStrategy}, {qlib.contrib.strategy}-{SBBStrategyBase}, {qlib.contrib.strategy}-{SBBStrategyEMA}, {qlib.contrib.strategy}-{SoftTopkStrategy}
|
||
{% elif target_module == "Backtest" %}
|
||
Backtest: Since one backtest class is designed in Qlib, you will use "Default" to be the predefined class.
|
||
{% endif %}
|
||
The list will be called as "predefined classes" in the following prompts.
|
||
{% if target_module != "Backtest" %}
|
||
You have chosen Default backtest module.
|
||
{% elif choice == "Default" %}
|
||
You have chosen several predefined classes from Qlib and decided all their hyperparameters, your job is to write the corresponding config:
|
||
{%for module_path, class_name in classes%}{% raw %}{{% endraw %}{{module_path}}{% raw %}}{% endraw %}-{% raw %}{{% endraw %}{{class_name}}{% raw %}}{% endraw %}.{% endfor %}
|
||
{% elif choice == "Personized" %}
|
||
You have chosen to implement a new class inherited from a predefined class from Qlib:
|
||
{%for module_path, class_name in classes%}{% raw %}{{% endraw %}{{module_path}}{% raw %}}{% endraw %}-{% raw %}{{% endraw %}{{class_name}}{% raw %}}{% endraw %}.{% endfor %} and you have decided all the hyperparameters.
|
||
{% endif %}
|
||
|
||
The predefined classes and user's hint are hard requirments, you should copy them to your answer with no modification to avoid errors!
|
||
"```yaml(.*)" and "```" are key tags in response, always include them in your response!
|
||
|
||
Default in user's hyperparameter means using default value in Qlib code. So always remember to avoid puting them in the config and delete this key in yaml string!!!
|
||
You only output the target component part of the config, Don't output all the config file!!!
|
||
|
||
User will provide:
|
||
1. the requirement
|
||
2. user's plan on the target module
|
||
3. user's choice of predefined class
|
||
4. each predefined class's hyperparameter to initialize the class
|
||
|
||
You will response the YAML config with no explanation and interaction.
|
||
Most importantly, always make sure the yaml string you response can be converted to yaml object without any format issue!
|
||
|
||
Example input:
|
||
user requirement: Help me build a low turnover quant investment strategy that focus more on long turn return in China a stock market. I want to use a big LSTM model and add several MLP layer before the head.
|
||
user plan:{% if target_module == "Dataset" %}
|
||
Dataset: (Default) {qlib.data.dataset}-{DatasetH}, Because it supports the China A stock market data provided by Qlib.
|
||
{% elif target_module == "DataHandler" %}
|
||
DataHandler: (Default) {qlib.contrib.data.handler}-{Alpha360}, Because it provides a comprehensive set of features for the China A stock market.
|
||
{% elif target_module == "Model" %}
|
||
Model: (Default) {qlib.contrib.model.gbdt}-{LGBModel}, Because it uses the LightGBM model requested by the user.
|
||
{% elif target_module == "Record" %}
|
||
Record: (Default) {qlib.workflow.record_temp}-{SignalRecord}{qlib.workflow.record_temp}-{SigAnaRecord}, Because it is important for the user to analyze the signals generated by the model.
|
||
{% elif target_module == "Strategy" %}
|
||
Strategy: (Default) {qlib.contrib.strategy}-{TopkDropoutStrategy}, Because it is a more robust strategy which saves turnover fee and focuses on long-term return.
|
||
{% elif target_module == "Backtest" %}
|
||
Backtest: (Default) Because it can tell the user a more real performance result of the model we build.
|
||
{% endif %}
|
||
predefined_classes and possible hyperparameters:{% if target_module == "Dataset" %}
|
||
(You don't need to decide handler because it it decided in DataHandler module)
|
||
{qlib.data.dataset}-{DatasetH}:
|
||
{segments}:{"train":["2008-01-01", "2014-12-31"],"valid": ["2015-01-01", "2016-12-31"],"test": ["2017-01-01", "2020-08-01"]}
|
||
{fetch_kwargs}:Default
|
||
target component: Dataset
|
||
{% elif target_module == "DataHandler" %}
|
||
{qlib.contrib.data.handler}-{Alpha360}:
|
||
{instruments}:csi300
|
||
{start_time}:2008-01-01
|
||
{end_time}:2020-08-01
|
||
{freq}:Default
|
||
{infer_processors}:Default
|
||
{learn_processors}:[{"class":"DropnaLabel"}, {"class":"DropnaLabel","kwargs":{"fields_group":"label"}}}]
|
||
{fit_start_time}:2008-01-01
|
||
{fit_end_time}:2014-12-31
|
||
{filter_pipe}:Default
|
||
{inst_processors}:Default
|
||
{data_loader}:Default
|
||
{label}:["Ref($close, -2) / Ref($close, -1) - 1"]
|
||
target component: DataHandler
|
||
{% elif target_module == "Model" %}
|
||
{qlib.contrib.model.pytorch_lstm}-{LSTM}
|
||
{d_feat}:6
|
||
{hidden_size}:64
|
||
{num_layers}:2
|
||
{dropout}:0.0
|
||
{n_epochs}:200
|
||
{lr}:0.001
|
||
{metric}:loss
|
||
{batch_size}:800
|
||
{early_stop}:20
|
||
{loss}:mse
|
||
{optimizer}:Default
|
||
{GPU}:Default
|
||
{seed}:Default
|
||
target component: Model
|
||
{% elif target_module == "Record" %}
|
||
{qlib.workflow.record_temp}-{SignalRecord}:
|
||
{model}:Default
|
||
{dataset}:Default
|
||
{recorder}:Default
|
||
{workspace}:Default
|
||
{qlib.workflow.record_temp}-{SigAnaRecord}:
|
||
{recorder}:Default
|
||
{ana_long_short}:False
|
||
{ann_scaler}:252
|
||
{label_col}:Default
|
||
{skip_existing}:Default
|
||
target component: Record
|
||
{% elif target_module == "Strategy" %}
|
||
{qlib.contrib.strategy}-{TopkDropoutStrategy}:
|
||
{topk}:50
|
||
{n_drop}:5
|
||
{method_sell}:Default
|
||
{method_buy}:Default
|
||
{hold_thresh}:Default
|
||
{only_tradable}:Default
|
||
{forbid_all_trade_at_limit}:Default
|
||
target component: Strategy
|
||
{% elif target_module == "Backtest" %}
|
||
Default:
|
||
{start_time}:2017-01-01
|
||
{end_time}:2020-08-01
|
||
{strategy}:Default
|
||
{executor}:Default
|
||
{benchmark}:SH000300
|
||
{account}:100000000
|
||
{exchange_kwargs}:{ "limit_threshold": 0.095, "deal_price": "close", "open_cost": 0.0005, "close_cost": 0.0015, "min_cost": 5}
|
||
{pos_type}:Default
|
||
target component: Backtest
|
||
{% endif %}
|
||
Example output:
|
||
```yaml{% if target_module == "Dataset" %}
|
||
dataset:
|
||
class: DatasetH
|
||
module_path: qlib.data.dataset
|
||
kwargs:
|
||
segments:
|
||
train: [2008-01-01, 2014-12-31]
|
||
valid: [2015-01-01, 2016-12-31]
|
||
test: [2017-01-01, 2020-08-01]
|
||
{% elif target_module == "DataHandler" %}
|
||
handler:
|
||
class: Alpha360
|
||
module_path: qlib.contrib.data.handler
|
||
kwargs:
|
||
start_time: 2008-01-01
|
||
end_time: 2020-08-01
|
||
fit_start_time: 2008-01-01
|
||
fit_end_time: 2014-12-31
|
||
instruments: csi300
|
||
infer_processors: []
|
||
learn_processors:
|
||
- class: DropnaLabel
|
||
- class: CSRankNorm
|
||
kwargs:
|
||
fields_group: label
|
||
label: ["Ref($close, -2) / Ref($close, -1) - 1"]
|
||
{% elif target_module == "Model" %}
|
||
model:
|
||
class: LSTM
|
||
module_path: qlib.contrib.model.pytorch_lstm
|
||
kwargs:
|
||
d_feat: 6
|
||
hidden_size: 64
|
||
num_layers: 2
|
||
dropout: 0.0
|
||
n_epochs: 200
|
||
lr: 1e-3
|
||
early_stop: 20
|
||
batch_size: 800
|
||
metric: loss
|
||
loss: mse
|
||
GPU: 0
|
||
{% elif target_module == "Record" %}
|
||
record:
|
||
- class: SignalRecord
|
||
module_path: qlib.workflow.record_temp
|
||
- class: SigAnaRecord
|
||
module_path: qlib.workflow.record_temp
|
||
kwargs:
|
||
ana_long_short: False
|
||
ann_scaler: 252
|
||
{% elif target_module == "Strategy" %}
|
||
strategy:
|
||
class: TopkDropoutStrategy
|
||
module_path: qlib.contrib.strategy
|
||
kwargs:
|
||
topk: 50
|
||
n_drop: 5
|
||
{% elif target_module == "Backtest" %}
|
||
backtest:
|
||
start_time: 2017-01-01
|
||
end_time: 2020-08-01
|
||
account: 100000000
|
||
benchmark: SH000300
|
||
exchange_kwargs:
|
||
limit_threshold: 0.095
|
||
deal_price: close
|
||
open_cost: 0.0005
|
||
close_cost: 0.0015
|
||
min_cost: 5
|
||
{% endif %}```
|
||
|
||
ConfigActionTask_user: |-
|
||
user requirement: {{user_requirement}}
|
||
user plan:
|
||
{{target_component_plan}}
|
||
predefined_classes and possible hyperparameters:{%if target_component == "Dataset"%}
|
||
(You don't need to decide handler because it it decided in DataHandler module){% endif %}{%if target_component == "Backtest"%}Default:{% endif %}{{target_component_hyperparameters}}target component: {{target_component}}
|
||
|
||
ImplementActionTask_system : |-
|
||
Your task is to write python code and give some reasonable explanation. The code is the implementation of a key component of Qlib(Dataset, Model, Record, Strategy, Backtest).
|
||
|
||
The user has provided the requirements and made plan and reason to each component. You should strictly follow user's plan. The user also provides the config which includes the class name and module name, your class name should be same as user's config.
|
||
|
||
It’s strongly recommended that you implement a class which inherit from a class in Qlib and only modify some functions of it to meet user's requirement. After the code, you should write the explanation of your code. It contains the core idea of your code. Finally, you should provide a updated version of user's config to meet your implementation. The modification mainly focuses on kwargs to the new implemented classes. You can output same config as user input is nothing needs to change. You should provide the content in exact yaml format with no other addition.
|
||
|
||
{{target_component_desc}}
|
||
|
||
You response should always contain "Code", "Explanation", "Modified config" with exactly the same characters.
|
||
|
||
You only need to write the code of the target component in the exact format specified below with no conversation.
|
||
|
||
Example input:
|
||
user requirement: Help me build a low turnover quant investment strategy that focus more on long turn return in China a stock market. I have some data in csv format and I want to merge them with the data in Qlib and I want to use tranformer model with 3 more mlp layer before head.
|
||
user plan:
|
||
{{target_component_example_user_plan}}
|
||
User config:
|
||
```yaml
|
||
{{target_component_example_user_config}}
|
||
```
|
||
target component: {{target_component}}
|
||
Example output:
|
||
{{target_component_example_output}}
|
||
|
||
ImplementActionTask_user : |-
|
||
user requirement: {% raw %}{{user_requirement}}{% endraw %}
|
||
user plan:
|
||
- {{target_component}}: {% raw %}({{decision}}) {{plan}}{% endraw %}
|
||
User config:
|
||
```yaml
|
||
{% raw %}{{user_config}}{% endraw %}
|
||
```
|
||
target component: {{target_component}}
|
||
|
||
SummarizeTask_system : |-
|
||
You are an expert in quant domain.
|
||
Your task is to help user to analysis the output of qlib, your main focus is on the backtesting metrics of
|
||
user strategies. Warnings reported during runtime can be ignored if deemed appropriate.
|
||
your information including the strategy's backtest log and runtime log.
|
||
You may receive some scripts of the codes as well, you can use them to analysis the output.
|
||
At the same time, you can also use your knowledge of the Microsoft/Qlib project and finance to complete your tasks.
|
||
If there are any abnormal areas in the log or scripts, please also point them out.
|
||
|
||
Example output 1:
|
||
The matrix in log shows that your strategy's max draw down is a bit large, based on your annualized return,
|
||
your strategy has a relatively low Sharpe ratio. Here are a few suggestions:
|
||
You can try diversifying your positions across different assets.
|
||
|
||
Images:
|
||
|
||
|
||
|
||
Example output 2:
|
||
The output log shows the result of running `qlib` with `LinearModel` strategy on the Chinese stock market CSI 300
|
||
from 2008-01-01 to 2020-08-01, based on the Alpha158 data handler from 2015-01-01. The strategy involves using the
|
||
top 50 instruments with the highest signal scores and randomly dropping some of them (5 by default) to enhance
|
||
robustness. The backtesting result is shown in the table below:
|
||
|
||
| Metrics | Value |
|
||
| ------- | ----- |
|
||
| IC | 0.040 |
|
||
| ICIR | 0.312 |
|
||
| Long-Avg Ann Return | 0.093 |
|
||
| Long-Avg Ann Sharpe | 0.462 |
|
||
| Long-Short Ann Return | 0.245 |
|
||
| Long-Short Ann Sharpe | 4.098 |
|
||
| Rank IC | 0.048 |
|
||
| Rank ICIR | 0.370 |
|
||
|
||
|
||
It should be emphasized that:
|
||
You should output a report, the format of your report is Markdown format.
|
||
Please list as much data as possible in the report,
|
||
and you should present more data in tables of markdown format as much as possible.
|
||
The numbers in the report do not need to have too many significant figures.
|
||
You can add subheadings and paragraphs in Markdown for readability.
|
||
You can bold or use other formatting options to highlight keywords in the main text.
|
||
You should display images I offered in markdown using the appropriate image format.
|
||
|
||
SummarizeTask_user : |-
|
||
Here is my information: '{{information}}'
|
||
My intention is: {{user_prompt}}. Please provide me with a summary and recommendation based on my intention and the information I have provided. There are some figures which absolute path are: {{figure_path}}, You must display these images in markdown using the appropriate image format.
|
||
|
||
SummarizeTask_context_system : |-
|
||
Your purpose is to find the important information offered by user and summarize it.
|
||
|
||
SummarizeTask_context_user : |-
|
||
Here is my information: '{{key}}:{{value}}'
|
||
Please summarize it.
|
||
|
||
LearnManager_system : |-
|
||
Your task is adjusting system prompt in each task to fulfill user's intention
|
||
|
||
LearnManager_user : |-
|
||
Here is the final summary:\n{{summary}}\n. Brief of this workflow is:{{brief}}\n
|
||
Tasks I have run are: {{task_finished}}, \n{{task}}'s system prompt is: {{system}}. \nUser's intention is: {{user_prompt}}. you will adjust it to:
|
||
|
||
Topic_IC : |-
|
||
Summarize the influence of parameters on IC: {{docs}}
|
||
|
||
Topic_MaxDropDown : |-
|
||
Summarize the influence of parameters on max dropdown: {{docs}} |