exp 17: add short 3-month lake workflow yaml

2026-08-16 14:55:33 +00:00
parent b84edbd2d7
commit 7121155291
1 changed files with 96 additions and 0 deletions
@@ -0,0 +1,96 @@
+# -----------------------------------------------------------------------------
+# exp17 — short 3-month lake workflow (trace id 17)
+# train 2026-05-01..06-30 / valid 07-01..07-15 / test 07-16..08-14
+# 20-ETF universe, 5d forward label, LGBModel mse, TopkDropout topk=3/n_drop=1
+# -----------------------------------------------------------------------------
+{%- 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-short-lake" }
+
+task:
+    model:
+        class: LGBModel
+        module_path: qlib.contrib.model.gbdt
+        kwargs:
+            loss: mse
+            learning_rate: 0.05
+            num_leaves: 15
+            n_estimators: 200
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.01
+            reg_lambda: 0.01
+
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: TACHandler
+                module_path: tac_qlib.contrib.data.handler
+                kwargs:
+                    instruments: SPY,QQQ,IWM,EEM,TLT,GLD,USO,SMH,XLF,XLE,XLY,XLK,XLV,XBI,IBB,KWEB,FXI,EWJ,VNQ,GDX
+                    start_time: 2026-05-01
+                    end_time: 2026-08-14
+                    fit_start_time: 2026-05-01
+                    fit_end_time: 2026-06-30
+                    freq: day
+                    lake_root: "{{ LAKE }}"
+                    market: US
+                    label: "Ref($close,-6)/Ref($close,-1)-1"
+            segments:
+                train: [2026-05-01, 2026-06-30]
+                valid: [2026-07-01, 2026-07-15]
+                test:  [2026-07-16, 2026-08-14]
+
+    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: 3
+                          n_drop: 1
+                          only_tradable: true
+                          risk_degree: 0.95
+                  backtest:
+                      start_time: 2026-07-16
+                      end_time: 2026-08-14
+                      account: 1000000
+                      benchmark: SPY
+                      exchange_kwargs:
+                          codes: SPY,QQQ,IWM,EEM,TLT,GLD,USO,SMH,XLF,XLE,XLY,XLK,XLV,XBI,IBB,KWEB,FXI,EWJ,VNQ,GDX
+                          deal_price: $close
+                          freq: day
+                          open_cost: 0.0005
+                          close_cost: 0.0015
+                          min_cost: 5.0
+              risk_analysis_freq: 1d