From a4bfb930986d8c86edc547e0b5d50fed680bbd56 Mon Sep 17 00:00:00 2001 From: zhaoli Date: Wed, 19 Aug 2026 22:57:50 +0000 Subject: [PATCH] add q04 label10d workflow --- queue/workflows/q04_label10d.yaml | 141 ++++++++++++++++++++++++++++++ 1 file changed, 141 insertions(+) create mode 100644 queue/workflows/q04_label10d.yaml diff --git a/queue/workflows/q04_label10d.yaml b/queue/workflows/q04_label10d.yaml new file mode 100644 index 0000000..5ac6066 --- /dev/null +++ b/queue/workflows/q04_label10d.yaml @@ -0,0 +1,141 @@ +# ----------------------------------------------------------------------------- +# QUEUE-04 — Non-overlapping 10-day label horizon. +# +# Hypothesis (book ch.01/chat-ideas): the 5d label is the campaign's best IC +# lever but sees short-horizon reversal only; a non-overlapping 10d label +# (`Ref($close,-11)/Ref($close,-1)-1`) tests whether a longer, cleaner horizon +# captures trend/reversal better and survives cost (lower effective turnover). +# +# Change vs exp-26 reference: ONE variable — label 5d -> 10d. Everything else +# identical (features, model, strategy). +# +# Acceptance: net_IR > 0.21 AND net_ann_return > +2.13%; secondary: ICIR and +# L/S Sharpe >= reference. A flat-but-not-worse result still settles the +# horizon-decomposition question (TODO: 5d can't see 1-12m drift). +# Run: rd_run_workflow config_path=/experiments/queue/workflows/q04_label10d.yaml \ +# experiment_name=tac-rd-q04-label10d +# ----------------------------------------------------------------------------- +{%- 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:///{{ LAKE }}/mlruns.db" + default_exp_name: "tac-rd-q04-label10d" + +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: "{{ 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: {} + - class: ProcessInf + kwargs: {} + - class: CSRankNorm + kwargs: {} + - class: ZScoreNorm + kwargs: {} + - 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: TopkDropoutStrategy + module_path: qlib.contrib.strategy + 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 \ No newline at end of file