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book-tac/tac-qlib/workflows/tune_run3_wider_universe.yaml
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# -----------------------------------------------------------------------------
# Run 94736d89 (exp-4 tac-rd-tune2) follow-up -- single lever: WIDER UNIVERSE.
#
# Baseline (run 94736d89): 10 correlated tech/growth names -> weak cross-section
# (IC 0.038 / ICIR 0.10), topk=5 book all-correlated, 295 trades / 152d and
# $58k cost drag (5.8% of $1M) -> excess ann -18.8% vs QQQ.
#
# This run holds EVERYTHING else fixed (windows, 5-day label, LGB hyperparams,
# topk=5/n_drop=2, benchmark QQQ) and only widens the universe 10 -> 17 with the
# full lake set, adding genuinely uncorrelated assets (BIL cash, USO oil, SLV
# silver, VXX vol, KTEC/QQQE/GPIQ factor sleeves) to de-correlate the cross-section,
# stabilize the top-5 ranking and cut the churn/cost drag.
# -----------------------------------------------------------------------------
{%- set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs:
lake_root: "{{ LAKE }}"
market: US
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs:
lake_root: "{{ LAKE }}"
market: US
markets: {}
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs:
lake_root: "{{ LAKE }}"
market: US
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs:
uri: "sqlite:///mlruns.db"
default_exp_name: "tac-rd-tune3"
task:
model:
class: LGBModel
module_path: qlib.contrib.model.gbdt
kwargs:
loss: mse
learning_rate: 0.05
num_leaves: 15
num_boost_round: 1000
early_stopping_rounds: 50
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.01
reg_lambda: 0.01
seed: 2026
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: AAPL,MSFT,TSLA,QQQ,IVV,SMH,TLT,IBIT,MCHI,AIQ,BIL,GPIQ,KTEC,QQQE,SLV,USO,VXX
start_time: 2000-01-03
end_time: 2026-08-01
fit_start_time: 2024-06-03
fit_end_time: 2025-11-28
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($close,-6)/Ref($close,-1)-1"
segments:
train: [2024-06-03, 2025-11-28]
valid: [2025-12-01, 2025-12-31]
test: [2026-01-01, 2026-08-01]
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
- class: SigAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
ana_long_short: true
ann_scaler: 252
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config:
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy
kwargs:
signal: "<PRED>"
topk: 5
n_drop: 2
only_tradable: true
risk_degree: 0.95
backtest:
start_time: 2026-01-01
end_time: 2026-08-01
account: 1000000
benchmark: QQQ
exchange_kwargs:
codes: AAPL,MSFT,TSLA,QQQ,IVV,SMH,TLT,IBIT,MCHI,AIQ,BIL,GPIQ,KTEC,QQQE,SLV,USO,VXX
deal_price: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d