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start experiment 59 (exp/59-signal-quality-gate-walk-forward-test-wi)

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zhaoli
2026-08-20 23:52:20 +00:00
parent e952feed0a
commit 002117c33e
8 changed files with 136 additions and 17 deletions
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book/workflows/sq_gate/sq_gate_2021.yaml
+7 -2
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@@ -2,7 +2,7 @@
{%- set LAKE = TAC_LAKE_DIR %}
{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
{%- set SP_FIELDS = "sp_ret,sp_ou_zscore,sp_ou_half_life,sp_ou_revert,sp_hmm_p_regime1,sp_hmm_state,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead" %}
{%- set GATE_PATH = "/app/experiments/book/data/signal_quality_gate/sq_gate_2021.pkl" %}
{# Gate computed on-the-fly from signal + lake close prices #}
qlib_init:
provider_uri: "{{ LAKE }}"
@@ -90,7 +90,12 @@ task:
module_path: tac_qlib.contrib.strategy.signal_quality_gate
kwargs:
signal: "<PRED>"
signal_quality_gate_path: "{{ GATE_PATH }}"
lake_root: "{{ LAKE }}"
gate_topk: 10
gate_lookback: 5
gate_threshold: 0.5
gate_start: "2015-01-03"
gate_end: "2021-12-31"
topk: 10
n_drop: 1
only_tradable: true
book/workflows/sq_gate/sq_gate_2023.yaml
+7 -2
View File
@@ -2,7 +2,7 @@
{%- set LAKE = TAC_LAKE_DIR %}
{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
{%- set SP_FIELDS = "sp_ret,sp_ou_zscore,sp_ou_half_life,sp_ou_revert,sp_hmm_p_regime1,sp_hmm_state,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead" %}
{%- set GATE_PATH = "/app/experiments/book/data/signal_quality_gate/sq_gate_2023.pkl" %}
{# Gate computed on-the-fly from signal + lake close prices #}
qlib_init:
provider_uri: "{{ LAKE }}"
@@ -90,7 +90,12 @@ task:
module_path: tac_qlib.contrib.strategy.signal_quality_gate
kwargs:
signal: "<PRED>"
signal_quality_gate_path: "{{ GATE_PATH }}"
lake_root: "{{ LAKE }}"
gate_topk: 10
gate_lookback: 5
gate_threshold: 0.5
gate_start: "2015-01-03"
gate_end: "2023-12-29"
topk: 10
n_drop: 1
only_tradable: true
book/workflows/sq_gate/sq_gate_2024.yaml
+7 -2
View File
@@ -2,7 +2,7 @@
{%- set LAKE = TAC_LAKE_DIR %}
{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
{%- set SP_FIELDS = "sp_ret,sp_ou_zscore,sp_ou_half_life,sp_ou_revert,sp_hmm_p_regime1,sp_hmm_state,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead" %}
{%- set GATE_PATH = "/app/experiments/book/data/signal_quality_gate/sq_gate_2024.pkl" %}
{# Gate computed on-the-fly from signal + lake close prices #}
qlib_init:
provider_uri: "{{ LAKE }}"
@@ -90,7 +90,12 @@ task:
module_path: tac_qlib.contrib.strategy.signal_quality_gate
kwargs:
signal: "<PRED>"
signal_quality_gate_path: "{{ GATE_PATH }}"
lake_root: "{{ LAKE }}"
gate_topk: 10
gate_lookback: 5
gate_threshold: 0.5
gate_start: "2015-01-03"
gate_end: "2024-12-31"
topk: 10
n_drop: 1
only_tradable: true
book/workflows/sq_gate/sq_gate_2025.yaml
+7 -2
View File
@@ -2,7 +2,7 @@
{%- set LAKE = TAC_LAKE_DIR %}
{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
{%- set SP_FIELDS = "sp_ret,sp_ou_zscore,sp_ou_half_life,sp_ou_revert,sp_hmm_p_regime1,sp_hmm_state,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead" %}
{%- set GATE_PATH = "/app/experiments/book/data/signal_quality_gate/sq_gate_2025.pkl" %}
{# Gate computed on-the-fly from signal + lake close prices #}
qlib_init:
provider_uri: "{{ LAKE }}"
@@ -90,7 +90,12 @@ task:
module_path: tac_qlib.contrib.strategy.signal_quality_gate
kwargs:
signal: "<PRED>"
signal_quality_gate_path: "{{ GATE_PATH }}"
lake_root: "{{ LAKE }}"
gate_topk: 10
gate_lookback: 5
gate_threshold: 0.5
gate_start: "2015-01-03"
gate_end: "2025-12-31"
topk: 10
n_drop: 1
only_tradable: true
book/workflows/sq_gate/sq_gate_2026.yaml
+7 -2
View File
@@ -2,7 +2,7 @@
{%- set LAKE = TAC_LAKE_DIR %}
{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
{%- set SP_FIELDS = "sp_ret,sp_ou_zscore,sp_ou_half_life,sp_ou_revert,sp_hmm_p_regime1,sp_hmm_state,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead" %}
{%- set GATE_PATH = "/app/experiments/book/data/signal_quality_gate/sq_gate_2026.pkl" %}
{# Gate computed on-the-fly from signal + lake close prices #}
qlib_init:
provider_uri: "{{ LAKE }}"
@@ -90,7 +90,12 @@ task:
module_path: tac_qlib.contrib.strategy.signal_quality_gate
kwargs:
signal: "<PRED>"
signal_quality_gate_path: "{{ GATE_PATH }}"
lake_root: "{{ LAKE }}"
gate_topk: 10
gate_lookback: 5
gate_threshold: 0.5
gate_start: "2015-01-03"
gate_end: "2026-08-19"
topk: 10
n_drop: 1
only_tradable: true