From 7b77e2311257aba36138f4e4229d7d0511be8c60 Mon Sep 17 00:00:00 2001 From: zhaoli Date: Thu, 20 Aug 2026 10:19:52 +0000 Subject: [PATCH] exp 54: snapshot custom qlib code --- code/MANIFEST.txt | 2 +- .../m2-sharpe22_2021.yaml | 96 +++++++++++++++++++ .../m2-sharpe22_2023.yaml | 96 +++++++++++++++++++ 3 files changed, 193 insertions(+), 1 deletion(-) create mode 100644 workflows/bt-m2-sharpe22-2021-2023/m2-sharpe22_2021.yaml create mode 100644 workflows/bt-m2-sharpe22-2021-2023/m2-sharpe22_2023.yaml diff --git a/code/MANIFEST.txt b/code/MANIFEST.txt index 8999848..21d9d2d 100644 --- a/code/MANIFEST.txt +++ b/code/MANIFEST.txt @@ -1,5 +1,5 @@ # TradeAC custom-qlib-code snapshot (auto-generated) -# parent repo HEAD : 46a9aa7b6143fc583b80e9535918b8823af3443c +# parent repo HEAD : c6f1e1462ba34ace4fa979364d0124649aa44744 # tac-qlib/tac_qlib/contrib # tac-qlib/tac_qlib/data # per-file hashes (git hash-object): diff --git a/workflows/bt-m2-sharpe22-2021-2023/m2-sharpe22_2021.yaml b/workflows/bt-m2-sharpe22-2021-2023/m2-sharpe22_2021.yaml new file mode 100644 index 0000000..131a83b --- /dev/null +++ b/workflows/bt-m2-sharpe22-2021-2023/m2-sharpe22_2021.yaml @@ -0,0 +1,96 @@ +# Walk-forward transfer test: m2-sharpe22 / test 2021 (trace exp 54) +# Label-regime match to 2026 (psi 0.039). Strategy TopkDropoutStrategy n_drop=1, parallel=5. +{% 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-bt-m2-sharpe22-2021-2023" } + +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" + parallel: 5 + + dataset: + class: DatasetH + module_path: qlib.data.dataset + kwargs: + handler: + class: TACHandler + module_path: tac_qlib.contrib.data.handler + kwargs: + instruments: "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" + start_time: "2015-01-03" + end_time: "2022-01-07" + fit_start_time: "2016-01-04" + fit_end_time: "2020-08-31" + freq: day + lake_root: "{{ LAKE }}" + market: US + label: "Ref($close,-6)/Ref($close,-1)-1" + feature_fields: "$open,$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,sp_sharpe_22" + infer_processors: + - { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2020-08-31" } } + - { class: ProcessInf, kwargs: {} } + - { class: CSRankNorm, kwargs: {} } + - { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2020-08-31" } } + - { class: Fillna, kwargs: {} } + segments: + train: ["2016-01-04", "2020-08-31"] + valid: ["2020-09-01", "2020-12-31"] + test: ["2021-01-04", "2021-12-31"] + + 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: "", topk: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 } + backtest: + start_time: "2021-01-04" + end_time: "2021-12-31" + account: 1000000 + benchmark: SPY + exchange_kwargs: + codes: "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" + deal_price: $close + freq: day + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5.0 + risk_analysis_freq: 1d \ No newline at end of file diff --git a/workflows/bt-m2-sharpe22-2021-2023/m2-sharpe22_2023.yaml b/workflows/bt-m2-sharpe22-2021-2023/m2-sharpe22_2023.yaml new file mode 100644 index 0000000..ddd3ac1 --- /dev/null +++ b/workflows/bt-m2-sharpe22-2021-2023/m2-sharpe22_2023.yaml @@ -0,0 +1,96 @@ +# Walk-forward transfer test: m2-sharpe22 / test 2023 (trace exp 54) +# Best label-regime match to 2026 (psi 0.028). Strategy TopkDropoutStrategy n_drop=1, parallel=5. +{% 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-bt-m2-sharpe22-2021-2023" } + +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" + parallel: 5 + + dataset: + class: DatasetH + module_path: qlib.data.dataset + kwargs: + handler: + class: TACHandler + module_path: tac_qlib.contrib.data.handler + kwargs: + instruments: "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" + start_time: "2015-01-03" + end_time: "2024-01-07" + fit_start_time: "2016-01-04" + fit_end_time: "2022-08-31" + freq: day + lake_root: "{{ LAKE }}" + market: US + label: "Ref($close,-6)/Ref($close,-1)-1" + feature_fields: "$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,sp_sharpe_22" + infer_processors: + - { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2022-08-31" } } + - { class: ProcessInf, kwargs: {} } + - { class: CSRankNorm, kwargs: {} } + - { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2022-08-31" } } + - { class: Fillna, kwargs: {} } + segments: + train: ["2016-01-04", "2022-08-31"] + valid: ["2022-09-01", "2022-12-30"] + test: ["2023-01-03", "2023-12-29"] + + 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: "", topk: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 } + backtest: + start_time: "2023-01-03" + end_time: "2023-12-29" + account: 1000000 + benchmark: SPY + exchange_kwargs: + codes: "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" + deal_price: $close + freq: day + open_cost: 0.0005 + close_cost: 0.0015 + min_cost: 5.0 + risk_analysis_freq: 1d \ No newline at end of file