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quant_test
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# Qlib 官方风格 baseline：Alpha158 + LightGBM + Signal/SigAna/PortAna
# 运行: python scripts/run_qrun.py --config config/workflows/workflow_alpha158_baseline.yaml

experiment_name: ml_alpha_baseline

qlib_init:
  provider_uri: data/qlib_data/cn_data
  region: cn
  exp_manager:
    class: MLflowExpManager
    module_path: qlib.workflow.expm
    kwargs:
      uri: mlruns
      default_exp_name: ml_alpha_baseline

market: &market csi300
benchmark: &benchmark SH000300

data_handler_config: &data_handler_config
  start_time: 2010-01-01
  end_time: 2020-09-25
  fit_start_time: 2010-01-01
  fit_end_time: 2017-12-31
  instruments: *market

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: 2019-04-01
    end_time: 2020-09-24
    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: LGBModel
    module_path: qlib.contrib.model.gbdt
    kwargs:
      loss: mse
      learning_rate: 0.05
      max_depth: 8
      num_leaves: 128
      colsample_bytree: 0.8
      subsample: 0.8
      num_threads: 8

  dataset:
    class: DatasetH
    module_path: qlib.data.dataset
    kwargs:
      handler:
        class: Alpha158
        module_path: qlib.contrib.data.handler
        kwargs: *data_handler_config
      segments:
        train: [2010-01-01, 2017-12-31]
        valid: [2018-01-01, 2019-03-31]
        test: [2019-04-01, 2020-09-25]

  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