finish experiment 45 (exp/45-q13-weekly-rebalance-construction-q07s-1)

2026-08-20 04:18:44 +00:00
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+# QUEUE-18 — OptimalStopControl clean re-test vs TopkDropout (exp 13/14 claim).
+# CLAIMS.md HYPOTHESIS: "TopkDropout beats stochastic-control OptimalStopControl on
+# the ensemble signal" — exp 13/14 were pre-clean-lake; never re-tested post-reset.
+# Same compact signal as the exp-26 reference; ONLY the strategy changes to
+# OptimalStopControl with exp-13 params (entry 0.85 / exit 0.7 / hold 10 / sl -0.08).
+# PREREQUISITE: tac_qlib/contrib/strategy/optimal_stop.py must be synced to the venv
+# site-packages snapshot before running (see /app/AGENTS.md).
+# Acceptance: TopkDropout net_IR >= stop-control net_IR; document cost drag of both.
+# Run: rd_run_workflow config_path=<repo>/experiments/queue/workflows/q18_optstop.yaml \
+#        experiment_name=tac-rd-q18-optstop
+{%- 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 FEATURES = "$open,$high,$low,$close,$vwap,$volume,sp_ret,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" %}
+
+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-q18-optstop" }
+
+task:
+    model:
+        class: RankICEnsembleLGBModel
+        module_path: tac_qlib.contrib.model.rank_ensemble
+        kwargs:
+            loss: mse
+            learning_rate: 0.02
+            num_leaves: 31
+            n_estimators: 3000
+            num_boost_round: 3000
+            early_stopping_rounds: 200
+            min_data_in_leaf: 20
+            lambda_l2: 0.5
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.1
+            reg_lambda: 1.0
+            seeds: "42,7,2026,99,123"
+
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: TACHandler
+                module_path: tac_qlib.contrib.data.handler
+                kwargs:
+                    instruments: "{{ UNIVERSE }}"
+                    start_time: 2015-01-03
+                    end_time: 2026-08-10
+                    fit_start_time: 2016-01-04
+                    fit_end_time: 2025-09-01
+                    freq: day
+                    lake_root: "{{ LAKE }}"
+                    market: US
+                    label: "Ref($close,-6)/Ref($close,-1)-1"
+                    feature_fields: "{{ FEATURES }}"
+                    infer_processors:
+                        - { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: ProcessInf, kwargs: {} }
+                        - { class: CSRankNorm, kwargs: {} }
+                        - { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: Fillna, kwargs: {} }
+            segments:
+                train: [2016-01-04, 2025-09-01]
+                valid: [2025-09-03, 2026-01-03]
+                test: [2026-01-04, 2026-08-10]
+
+    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: OptimalStopControl
+                      module_path: tac_qlib.contrib.strategy.optimal_stop
+                      kwargs: { signal: "<PRED>", topk: 10, entry_pct: 0.85, exit_pct: 0.7, max_hold_days: 10, min_hold_days: 2, sl: -0.08 }
+                  backtest:
+                      start_time: 2026-01-04
+                      end_time: 2026-08-10
+                      account: 1000000
+                      benchmark: SPY
+                      exchange_kwargs:
+                          codes: "{{ UNIVERSE }}"
+                          deal_price: $close
+                          freq: day
+                          open_cost: 0.0005
+                          close_cost: 0.0015
+                          min_cost: 5.0
+              risk_analysis_freq: 1d