diff --git a/code/MANIFEST.txt b/code/MANIFEST.txt index 52ed9d6..021718b 100644 --- a/code/MANIFEST.txt +++ b/code/MANIFEST.txt @@ -1,5 +1,5 @@ # TradeAC custom-qlib-code snapshot (auto-generated) -# parent repo HEAD : 25b4e59295fda8212184808beff8dff7dc0d7477 +# parent repo HEAD : b2f5c24f4fb2aed90ec29685815ca9369e162afd # tac-qlib/tac_qlib/contrib # tac-qlib/tac_qlib/data # per-file hashes (git hash-object): diff --git a/queue/workflows/q21_label10d_weekly.yaml b/queue/workflows/q21_label10d_weekly.yaml new file mode 100644 index 0000000..84dd057 --- /dev/null +++ b/queue/workflows/q21_label10d_weekly.yaml @@ -0,0 +1,107 @@ +# QUEUE-21 — Long-horizon label (10d) + weekly recompute construction. +# Untested combination from book/CLAIMS.md open questions: Q04 (exp 36) proved the +# 10d label has strong signal (IC 0.093, RankIC 0.096, L/S Sharpe 5.89) but daily +# turnover killed the book (net -9.92%); Q07 (exp 39) proved weekly recompute is +# the cost lever (net +12.51%). Q12 already tested 22d+weekly and failed (net -4.88%), +# so the 22d label's problem is not just turnover. Hypothesis: the 10d label's edge +# survives weekly rebalance because it captures a shorter, more actionable horizon. +# Change vs exp-26 reference: label 5d -> 10d AND strategy -> WeeklyRebalanceDropoutStrategy. +# Acceptance: net_IR > 0.5, net_ann > +5%, cost drag <= 2pp. +# Run: rd_run_workflow config_path=/experiments/queue/workflows/q21_label10d_weekly.yaml \ +# experiment_name=tac-rd-q21-label10d-weekly +{%- 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-q21-label10d-weekly" } + +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($close,-11)/Ref($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: WeeklyRebalanceDropoutStrategy + module_path: tac_qlib.contrib.strategy.weekly_rebalance + kwargs: { signal: "", topk: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 } + 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