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quant_test
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qlib:
  # 数据路径
  provider_uri: /Users/jiewen/PyCharmMiscProject/ML-Alpha-Research-System/qlib_data_30min_868_hfq_bin
  region: cn
  market: all

data:
  freq: 30min
  start_time: "2000-01-01"
  end_time: "2026-06-30"
  fields:
    - $open
    - $close
    - $high
    - $low
    - $volume
    - $vwap
  # qlib 标准 label 表达式（与 Alpha158 一致，T+1 open -> T+2 close）
  label_expr: "Ref($close, -2)/Ref($close, -1) - 1"

splits:
  train:
    start: "2000-01-01"
    end: "2021-12-31"
  valid:
    start: "2022-01-01"
    end: "2023-12-31"
  test:
    start: "2024-01-01"
    end: "2025-06-01"
  holdout:
    start: "2025-06-02"
    end: "2026-06-30"

label:
  forward_days: 5
  gp_forward_steps: 5

dump:
  # 原始 CSV/Parquet → qlib .bin 转换配置
  raw_data_dir: data/raw/csv_by_symbol
  qlib_dir: data/qlib_data/cn_data
  include_fields: open,close,high,low,volume,factor
  date_field: date
  symbol_field: symbol
  file_suffix: .csv
  freq: day
  max_workers: 8
  # 列名映射（适配你的 parquet 中文列名）
  column_aliases:
    时间: date
    datetime: date
    date: date
    代码: symbol
    symbol: symbol
    code: symbol
    开盘价: open
    open: open
    收盘价: close
    close: close
    最高价: high
    high: high
    最低价: low
    low: low
    成交量: volume
    volume: volume
    成交额: amount
    amount: amount
    factor: factor

experiment:
  experiment_name: ml_alpha_research
  recorder_prefix: gp_lgb
  mlruns_uri: mlruns

backtest:
  benchmark: null   # 30min 数据无指数日线；有日线数据时可改 SH000300
  freq: null        # null = 使用 data.freq（当前 30min）
  topk: 50
  n_drop: 5
  account: 100000000
  open_cost: 0.0005
  close_cost: 0.0015
  min_cost: 5
  limit_threshold: 0.095
  deal_price: close

output:
  root: outputs
  reports_dir: outputs/reports