Fix bugs

.latent-data/qlib

@@ -1 +1 @@
-Subproject commit e626264d5aebfb28295abd00d44827621bec33a5
+Subproject commit db59713d362f6c3091914fb1d0ebbe484899573b

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]

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)

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