book: scaffold + ch00 (execution trail as spine) — evidence exp 8-31, round 3

2026-08-18 22:35:23 +00:00
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+# -----------------------------------------------------------------------------
+# Tune run 1: wider, longer-horizon, de-duplicated universe.
+#
+# Baseline (exp 1 / run f29f5446): IC 0.071 / ICIR 0.17, Rank IC ~0.014;
+# strategy +4.9% ann (raw) vs benchmark ~+89% ann; excess return w/ cost
+# -0.94 ann, IR -2.23, excess max drawdown -18.9%. topk=2 with 24 trades over
+# 27 days on a universe of correlated ETFs + leveraged hedges (VXX/USO/SLV)
+# produced high turnover and a portfolio that trailed AAPL badly.
+#
+# Changes:
+#   - universe: drop leveraged/noisy names (VXX, USO, SLV, BIL) and near-
+#     duplicate index baskets (GPIQ, QQQE, KTEC); keep 10 liquid core names.
+#   - label: 5-day forward return (Ref($close,-6)/Ref($close,-1)-1) to cut
+#     single-day noise and match the intended holding horizon.
+#   - topk 2 -> 5, n_drop 1: more diversification, lower turnover per name.
+#   - benchmark AAPL -> QQQ (a real index ETF the universe tracks).
+#   - model: learning_rate 0.03, 300 estimators (slower, deeper fit).
+#
+# Trigger:
+#   rd_run_workflow config_path=tac-qlib/workflows/tune_run1_wider_5d.yaml \
+#       experiment_name=tac-rd-tune
+# -----------------------------------------------------------------------------
+{%- 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-tune"
+
+task:
+    model:
+        class: LGBModel
+        module_path: qlib.contrib.model.gbdt
+        kwargs:
+            loss: mse
+            learning_rate: 0.03
+            num_leaves: 15
+            n_estimators: 300
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.01
+            reg_lambda: 0.01
+            seed: 2026
+
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: TACHandler
+                module_path: tac_qlib.contrib.data.handler
+                kwargs:
+                    instruments: AAPL,MSFT,TSLA,QQQ,IVV,SMH,TLT,IBIT,MCHI,AIQ
+                    start_time: 2000-01-03
+                    end_time: 2026-08-06
+                    fit_start_time: 2026-03-01
+                    fit_end_time: 2026-05-31
+                    freq: day
+                    lake_root: "{{ LAKE }}"
+                    market: US
+                    label: "Ref($close,-6)/Ref($close,-1)-1"
+            segments:
+                train: [2026-03-01, 2026-05-31]
+                valid: [2026-06-01, 2026-06-30]
+                test: [2026-07-01, 2026-08-06]
+
+    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: 5
+                          n_drop: 1
+                          only_tradable: true
+                          risk_degree: 0.95
+                  backtest:
+                      start_time: 2026-07-01
+                      end_time: 2026-08-06
+                      account: 1000000
+                      benchmark: QQQ
+                      exchange_kwargs:
+                          codes: AAPL,MSFT,TSLA,QQQ,IVV,SMH,TLT,IBIT,MCHI,AIQ
+                          deal_price: $close
+                          freq: day
+                          open_cost: 0.0005
+                          close_cost: 0.0015
+                          min_cost: 5.0
+              risk_analysis_freq: 1d