From 1fcb8458e187a7d0ed66c3ee81e603deb8835fb6 Mon Sep 17 00:00:00 2001 From: Juanxi Tian <103416111+tianshijing@users.noreply.github.com> Date: Sat, 6 Jan 2024 16:43:19 +0800 Subject: [PATCH] Create workflow_config_mtmd_Alpha360.yaml --- .../MTMD/workflow_config_mtmd_Alpha360.yaml | 91 +++++++++++++++++++ 1 file changed, 91 insertions(+) create mode 100644 examples/benchmarks/MTMD/workflow_config_mtmd_Alpha360.yaml diff --git a/examples/benchmarks/MTMD/workflow_config_mtmd_Alpha360.yaml b/examples/benchmarks/MTMD/workflow_config_mtmd_Alpha360.yaml new file mode 100644 index 0000000000..f290f9bb65 --- /dev/null +++ b/examples/benchmarks/MTMD/workflow_config_mtmd_Alpha360.yaml @@ -0,0 +1,91 @@ +qlib_init: + provider_uri: "~/.qlib/qlib_data/cn_data" + region: cn +market: &market csi300 +benchmark: &benchmark SH000300 +data_handler_config: &data_handler_config + start_time: 2008-01-01 + end_time: 2020-08-01 + fit_start_time: 2008-01-01 + fit_end_time: 2014-12-31 + instruments: *market + infer_processors: + - class: RobustZScoreNorm + kwargs: + fields_group: feature + clip_outlier: true + - class: Fillna + kwargs: + fields_group: feature + learn_processors: + - class: DropnaLabel + - class: CSRankNorm + kwargs: + fields_group: label + label: ["Ref($close, -2) / Ref($close, -1) - 1"] +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: 2017-01-01 + end_time: 2020-08-01 + 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: MTMD + module_path:qlib.contrib.model.pytorch_mtmd + kwargs: + d_feat: 6 + hidden_size: 64 + num_layers: 2 + dropout: 0 + n_epochs: 200 + lr: 1e-4 + early_stop: 20 + metric: ic + loss: mse + base_model: LSTM + K: 3 + model_path: "benchmarks/LSTM/model_lstm_csi300.pkl" + stock2concept: "benchmarks/MTMD/qlib_csi300_stock2concept.npy" + stock_index: "benchmarks/MTMD/qlib_csi300_stock_index.npy" + GPU: 0 + dataset: + class: DatasetH + module_path: qlib.data.dataset + kwargs: + handler: + class: Alpha360 + module_path: qlib.contrib.data.handler + kwargs: *data_handler_config + segments: + train: [2008-01-01, 2014-12-31] + valid: [2015-01-01, 2016-12-31] + test: [2017-01-01, 2020-08-01] + 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