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52 lines
1.5 KiB
YAML
52 lines
1.5 KiB
YAML
PROVIDER_URI: "~/.qlib/qlib_data/cn_data"
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MARKET: &market csi300
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BENCHMARK: &benchmark SH000300
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DATA_HANDLER_CONFIG: &data_handerler_config
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start_time: 2008-01-01
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end_time: 2020-08-01
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fit_start_time: 2008-01-01
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fit_end_time: 2014-12-31
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instruments: *market
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TASK:
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model:
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class: LGBModel
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module_path: qlib.contrib.model.gbdt
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kwargs:
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loss: mse
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colsample_bytree: 0.8879
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learning_rate: 0.0421
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subsample: 0.8789
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lambda_l1: 205.6999
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lambda_l2: 580.9768
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max_depth: 8
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num_leaves: 210
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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_handerler_config
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segments:
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train: [2008-01-01, 2014-12-31]
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valid: [2015-01-01, 2016-12-31]
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test: [2017-01-01, 2020-08-01]
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record: [SignalRecord, PortAnaRecord]
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PORT_ANALYSIS_CONFIG:
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strategy:
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class: TopkDropoutStrategy
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module_path: qlib.contrib.strategy.strategy
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kwargs:
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topk: 50
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n_drop: 5
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backtest:
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verbose: False
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limit_threshold: 0.095
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account: 100000000
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benchmark: *benchmark
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deal_price: close
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open_cost: 0.0005
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close_cost: 0.0015
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min_cost: 5 |