| 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 | |