89 lines
2.5 KiB
YAML
89 lines
2.5 KiB
YAML
qlib_init:
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provider_uri: "~/.qlib/qlib_data/cn_data"
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region: cn
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market: &market all
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benchmark: &benchmark SH000300
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data_handler_config: &data_handler_config
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start_time: 2008-01-01
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end_time: 2020-08-01
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fit_start_time: 2008-01-01
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fit_end_time: 2014-12-31
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instruments: *market
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infer_processors:
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- class: RobustZScoreNorm
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kwargs:
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fields_group: feature
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clip_outlier: true
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- class: Fillna
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kwargs:
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fields_group: feature
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learn_processors:
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- class: DropnaLabel
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- class: CSRankNorm
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kwargs:
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fields_group: label
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label: ["Ref($close, -2) / Ref($close, -1) - 1"]
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port_analysis_config: &port_analysis_config
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strategy:
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class: TopkDropoutStrategy
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module_path: qlib.contrib.strategy.strategy
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kwargs:
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topk: 50
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n_drop: 5
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backtest:
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verbose: False
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limit_threshold: 0.095
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account: 100000000
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benchmark: *benchmark
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deal_price: close
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open_cost: 0.0005
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close_cost: 0.0015
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min_cost: 5
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task:
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model:
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class: SFM
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module_path: qlib.contrib.model.pytorch_sfm
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kwargs:
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d_feat: 6
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hidden_size: 64
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output_dim: 32
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freq_dim: 25
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dropout_W: 0.5
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dropout_U: 0.5
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n_epochs: 20
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lr: 1e-3
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batch_size: 1600
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early_stop: 20
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eval_steps: 5
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loss: mse
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optimizer: adam
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GPU: 0
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dataset:
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class: DatasetH
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module_path: qlib.data.dataset
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kwargs:
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handler:
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class: Alpha360
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module_path: qlib.contrib.data.handler
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kwargs: *data_handler_config
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segments:
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train: [2008-01-01, 2014-12-31]
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valid: [2015-01-01, 2016-12-31]
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test: [2017-01-01, 2020-08-01]
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record:
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- class: SignalRecord
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module_path: qlib.workflow.record_temp
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kwargs: {}
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- class: SignalMseRecord
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module_path: qlib.contrib.workflow.record_temp
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kwargs: {}
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- class: SigAnaRecord
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module_path: qlib.workflow.record_temp
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kwargs:
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ana_long_short: False
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ann_scaler: 252
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- class: PortAnaRecord
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module_path: qlib.workflow.record_temp
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kwargs:
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config: *port_analysis_config
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