Update configs

2021-03-16 23:48:01 +00:00 · 2021-03-16 23:48:01 +00:00 · f6cbac706f
commit f6cbac706f
parent 49606a84a9
3 changed files with 17 additions and 3 deletions
--- a/configs/qlib/workflow_config_lightgbm_Alpha360.yaml
+++ b/configs/qlib/workflow_config_lightgbm_Alpha360.yaml
@ -9,7 +9,14 @@ data_handler_config: &data_handler_config
    fit_start_time: 2008-01-01
    fit_end_time: 2014-12-31
    instruments: *market
-    infer_processors: []
+    infer_processors:
+	- class: RobustZScoreNorm
+          kwargs:
+              fields_group: feature
+              clip_outlier: true
+        - class: Fillna
+          kwargs:
+              fields_group: feature
    learn_processors:
        - class: DropnaLabel
        - class: CSRankNorm
--- a/configs/qlib/workflow_config_xgboost_Alpha360.yaml
+++ b/configs/qlib/workflow_config_xgboost_Alpha360.yaml
@ -9,7 +9,14 @@ data_handler_config: &data_handler_config
    fit_start_time: 2008-01-01
    fit_end_time: 2014-12-31
    instruments: *market
-    infer_processors: []
+    infer_processors:
+	- class: RobustZScoreNorm
+          kwargs:
+              fields_group: feature
+              clip_outlier: true
+        - class: Fillna
+          kwargs:
+              fields_group: feature
    learn_processors:
        - class: DropnaLabel
        - class: CSRankNorm
--- a/scripts/trade/baseline.sh
+++ b/scripts/trade/baseline.sh
@ -16,7 +16,7 @@ fi
 gpu=$1
 market=$2

-algorithms="MLP GRU LSTM ALSTM XGBoost LightGBM SFM TabNet DoubleE NAIVE"
+algorithms="NAIVE MLP GRU LSTM ALSTM XGBoost LightGBM SFM TabNet DoubleE"

 for alg in ${algorithms}
 do