mirror of
https://github.com/microsoft/qlib.git
synced 2026-06-06 05:51:17 +08:00
be4646b4b7
* Intermediate version * Fix yaml template & Successfully run rolling * Be compatible with benchmark * Get same results with previous linear model * Black formatting * Update black * Update the placeholder mechanism * Update CI * Update CI * Upgrade Black * Fix CI and simplify code * Fix CI * Move the data processing caching mechanism into utils. * Adjusting DDG-DA * Organize import
92 lines
2.5 KiB
YAML
92 lines
2.5 KiB
YAML
qlib_init:
|
|
provider_uri: "~/.qlib/qlib_data/cn_data"
|
|
region: cn
|
|
market: &market csi300
|
|
benchmark: &benchmark SH000300
|
|
data_handler_config: &data_handler_config
|
|
start_time: 2008-01-01
|
|
end_time: 2020-08-01
|
|
fit_start_time: 2008-01-01
|
|
fit_end_time: 2014-12-31
|
|
instruments: *market
|
|
infer_processors:
|
|
- class: RobustZScoreNorm
|
|
kwargs:
|
|
fields_group: feature
|
|
clip_outlier: true
|
|
- class: Fillna
|
|
kwargs:
|
|
fields_group: feature
|
|
learn_processors:
|
|
- class: DropnaLabel
|
|
- class: CSRankNorm
|
|
kwargs:
|
|
fields_group: label
|
|
label: ["Ref($close, -2) / Ref($close, -1) - 1"]
|
|
port_analysis_config: &port_analysis_config
|
|
strategy:
|
|
class: TopkDropoutStrategy
|
|
module_path: qlib.contrib.strategy
|
|
kwargs:
|
|
signal: <PRED>
|
|
topk: 50
|
|
n_drop: 5
|
|
backtest:
|
|
start_time: 2017-01-01
|
|
end_time: 2020-08-01
|
|
account: 100000000
|
|
benchmark: *benchmark
|
|
exchange_kwargs:
|
|
limit_threshold: 0.095
|
|
deal_price: close
|
|
open_cost: 0.0005
|
|
close_cost: 0.0015
|
|
min_cost: 5
|
|
task:
|
|
model:
|
|
class: Sandwich
|
|
module_path: qlib.contrib.model.pytorch_sandwich
|
|
kwargs:
|
|
fea_dim: 6
|
|
cnn_dim_1: 16
|
|
cnn_dim_2: 16
|
|
cnn_kernel_size: 3
|
|
rnn_dim_1: 8
|
|
rnn_dim_2: 8
|
|
rnn_dups: 2
|
|
rnn_layers: 2
|
|
n_epochs: 200
|
|
lr: 0.001
|
|
early_stop: 20
|
|
batch_size: 2000
|
|
metric: loss
|
|
GPU: 0
|
|
dataset:
|
|
class: DatasetH
|
|
module_path: qlib.data.dataset
|
|
kwargs:
|
|
handler:
|
|
class: Alpha360
|
|
module_path: qlib.contrib.data.handler
|
|
kwargs: *data_handler_config
|
|
segments:
|
|
train: [2008-01-01, 2014-12-31]
|
|
valid: [2015-01-01, 2016-12-31]
|
|
test: [2017-01-01, 2020-08-01]
|
|
record:
|
|
- class: SignalRecord
|
|
module_path: qlib.workflow.record_temp
|
|
kwargs:
|
|
model: <MODEL>
|
|
dataset: <DATASET>
|
|
- class: SigAnaRecord
|
|
module_path: qlib.workflow.record_temp
|
|
kwargs:
|
|
ana_long_short: False
|
|
ann_scaler: 252
|
|
- class: PortAnaRecord
|
|
module_path: qlib.workflow.record_temp
|
|
kwargs:
|
|
config: *port_analysis_config
|
|
|