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efffb2819a
* Update README.md updated the result of KRNN and Sandwich models based on Alpha360 * Update README.md * Update README.md * Add files via upload * Update README.md * Update README.md * Update README.md * Add files via upload * Delete pytorch_krnn.py * Delete pytorch_sandwich.py * Add files via upload * Update pytorch_sandwich.py * Update pytorch_krnn.py * Update pytorch_sandwich.py * Update pytorch_krnn.py * Update README.md * Update README.md * Update requirements.txt * Update requirements.txt * Update README.md * Update README.md * Update pytorch_sandwich.py * Update link on index --------- Co-authored-by: Young <afe.young@gmail.com>
92 lines
2.5 KiB
YAML
92 lines
2.5 KiB
YAML
qlib_init:
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provider_uri: "~/.qlib/qlib_data/cn_data"
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region: cn
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market: &market csi300
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benchmark: &benchmark SH000300
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data_handler_config: &data_handler_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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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: true
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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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port_analysis_config: &port_analysis_config
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strategy:
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class: TopkDropoutStrategy
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module_path: qlib.contrib.strategy
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kwargs:
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signal:
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- <MODEL>
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- <DATASET>
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topk: 50
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n_drop: 5
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backtest:
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start_time: 2017-01-01
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end_time: 2020-08-01
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account: 100000000
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benchmark: *benchmark
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exchange_kwargs:
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limit_threshold: 0.095
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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
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task:
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model:
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class: KRNN
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module_path: qlib.contrib.model.pytorch_krnn
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kwargs:
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fea_dim: 6
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cnn_dim: 8
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cnn_kernel_size: 3
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rnn_dim: 8
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rnn_dups: 2
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rnn_layers: 2
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n_epochs: 200
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lr: 0.001
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early_stop: 20
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batch_size: 2000
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metric: loss
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GPU: 0
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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: Alpha360
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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: [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:
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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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model: <MODEL>
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dataset: <DATASET>
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- class: SigAnaRecord
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module_path: qlib.workflow.record_temp
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kwargs:
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ana_long_short: False
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ann_scaler: 252
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- class: PortAnaRecord
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module_path: qlib.workflow.record_temp
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kwargs:
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config: *port_analysis_config
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