| |
| |
|
|
| 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 |
|
|
