diff --git a/.latent-data/qlib b/.latent-data/qlib index e626264..db59713 160000 --- a/.latent-data/qlib +++ b/.latent-data/qlib @@ -1 +1 @@ -Subproject commit e626264d5aebfb28295abd00d44827621bec33a5 +Subproject commit db59713d362f6c3091914fb1d0ebbe484899573b diff --git a/configs/qlib/workflow_config_TabNet_Alpha360.yaml b/configs/qlib/workflow_config_TabNet_Alpha360.yaml index c3c9082..b36b239 100644 --- a/configs/qlib/workflow_config_TabNet_Alpha360.yaml +++ b/configs/qlib/workflow_config_TabNet_Alpha360.yaml @@ -55,7 +55,7 @@ task: kwargs: *data_handler_config segments: pretrain: [2008-01-01, 2014-12-31] - pretrain_validation: [2015-01-01, 2020-08-01] + pretrain_validation: [2015-01-01, 2016-12-31] train: [2008-01-01, 2014-12-31] valid: [2015-01-01, 2016-12-31] test: [2017-01-01, 2020-08-01] diff --git a/exps/trading/baselines.py b/exps/trading/baselines.py index 8646bf9..a368f17 100644 --- a/exps/trading/baselines.py +++ b/exps/trading/baselines.py @@ -10,6 +10,7 @@ # python exps/trading/baselines.py --alg XGBoost # # python exps/trading/baselines.py --alg LightGBM # # python exps/trading/baselines.py --alg DoubleE # +# python exps/trading/baselines.py --alg TabNet # ##################################################### import sys import argparse @@ -66,6 +67,7 @@ def retrieve_configs(): def main(xargs, exp_yaml): assert Path(exp_yaml).exists(), "{:} does not exist.".format(exp_yaml) + pprint('Run {:}'.format(xargs.alg)) with open(exp_yaml) as fp: config = yaml.safe_load(fp) config = update_market(config, xargs.market) diff --git a/scripts/trade/baseline.sh b/scripts/trade/baseline.sh index 31565e1..8479b70 100644 --- a/scripts/trade/baseline.sh +++ b/scripts/trade/baseline.sh @@ -1,5 +1,6 @@ #!/bin/bash # bash scripts/trade/baseline.sh 0 csi300 +# bash scripts/trade/baseline.sh 1 csi100 set -e echo script name: $0 echo $# arguments @@ -12,7 +13,8 @@ fi gpu=$1 market=$2 -algorithms="MLP GRU LSTM ALSTM XGBoost LightGBM" +# algorithms="MLP GRU LSTM ALSTM XGBoost LightGBM SFM" +algorithms="SFM" for alg in ${algorithms} do