Compare commits
3
Commits
| Author | SHA1 | Date | |
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7cd2d91218 | ||
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e1781f606b | ||
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336fa676b6 |
+1
-1
@@ -1,5 +1,5 @@
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# TradeAC custom-qlib-code snapshot (auto-generated)
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# TradeAC custom-qlib-code snapshot (auto-generated)
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# parent repo HEAD : 875222a85a71eda8f20e4e54a0c0ab68ffbec047
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# parent repo HEAD : e1781f606b8d0e1df4ce06fd272e97eb9435b975
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# tac-qlib/tac_qlib/contrib
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# tac-qlib/tac_qlib/contrib
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# tac-qlib/tac_qlib/data
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# tac-qlib/tac_qlib/data
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# per-file hashes (git hash-object):
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# per-file hashes (git hash-object):
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@@ -0,0 +1,95 @@
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# Walk-forward: A-weekly / test 2024
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||||||
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# 3x3 re-validation (trace exp 52). Strategy WeeklyRebalanceDropoutStrategy n_drop=1, parallel=5.
|
||||||
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{% set LAKE = TAC_LAKE_DIR %}
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||||||
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qlib_init:
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||||||
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provider_uri: "{{ LAKE }}"
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||||||
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region: us
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||||||
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expression_cache: null
|
||||||
|
dataset_cache: null
|
||||||
|
calendar_provider:
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||||||
|
class: tac_qlib.data.providers.LakeCalendarProvider
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||||||
|
kwargs: { lake_root: "{{ LAKE }}", market: US }
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||||||
|
instrument_provider:
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||||||
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class: tac_qlib.data.providers.LakeInstrumentProvider
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||||||
|
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
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||||||
|
feature_provider:
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||||||
|
class: tac_qlib.data.providers.LakeFeatureProvider
|
||||||
|
kwargs: { lake_root: "{{ LAKE }}", market: US }
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||||||
|
exp_manager:
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||||||
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class: MLflowExpManager
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||||||
|
module_path: qlib.workflow.expm
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||||||
|
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-3x3-windows" }
|
||||||
|
|
||||||
|
task:
|
||||||
|
model:
|
||||||
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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:
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||||||
|
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: "2025-01-07"
|
||||||
|
fit_start_time: "2016-01-04"
|
||||||
|
fit_end_time: "2023-08-31"
|
||||||
|
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"
|
||||||
|
infer_processors:
|
||||||
|
- { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2023-08-31" } }
|
||||||
|
- { class: ProcessInf, kwargs: {} }
|
||||||
|
- { class: CSRankNorm, kwargs: {} }
|
||||||
|
- { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2023-08-31" } }
|
||||||
|
- { class: Fillna, kwargs: {} }
|
||||||
|
segments:
|
||||||
|
train: ["2016-01-04", "2023-08-31"]
|
||||||
|
valid: ["2023-09-01", "2023-12-29"]
|
||||||
|
test: ["2024-01-02", "2024-12-31"]
|
||||||
|
|
||||||
|
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: WeeklyRebalanceDropoutStrategy
|
||||||
|
module_path: tac_qlib.contrib.strategy.weekly_rebalance
|
||||||
|
kwargs: { signal: "<PRED>", topk: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 }
|
||||||
|
backtest:
|
||||||
|
start_time: "2024-01-02"
|
||||||
|
end_time: "2024-12-31"
|
||||||
|
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
|
||||||
@@ -0,0 +1,95 @@
|
|||||||
|
# Walk-forward: A-weekly / test 2025
|
||||||
|
# 3x3 re-validation (trace exp 52). Strategy WeeklyRebalanceDropoutStrategy 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-3x3-windows" }
|
||||||
|
|
||||||
|
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: "2026-01-07"
|
||||||
|
fit_start_time: "2016-01-04"
|
||||||
|
fit_end_time: "2024-08-30"
|
||||||
|
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"
|
||||||
|
infer_processors:
|
||||||
|
- { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2024-08-30" } }
|
||||||
|
- { class: ProcessInf, kwargs: {} }
|
||||||
|
- { class: CSRankNorm, kwargs: {} }
|
||||||
|
- { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2024-08-30" } }
|
||||||
|
- { class: Fillna, kwargs: {} }
|
||||||
|
segments:
|
||||||
|
train: ["2016-01-04", "2024-08-30"]
|
||||||
|
valid: ["2024-09-03", "2024-12-31"]
|
||||||
|
test: ["2025-01-02", "2025-12-31"]
|
||||||
|
|
||||||
|
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: WeeklyRebalanceDropoutStrategy
|
||||||
|
module_path: tac_qlib.contrib.strategy.weekly_rebalance
|
||||||
|
kwargs: { signal: "<PRED>", topk: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 }
|
||||||
|
backtest:
|
||||||
|
start_time: "2025-01-02"
|
||||||
|
end_time: "2025-12-31"
|
||||||
|
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
|
||||||
@@ -0,0 +1,95 @@
|
|||||||
|
# Walk-forward: A-weekly / test 2026
|
||||||
|
# 3x3 re-validation (trace exp 52). Strategy WeeklyRebalanceDropoutStrategy 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-3x3-windows" }
|
||||||
|
|
||||||
|
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: "2026-08-19"
|
||||||
|
fit_start_time: "2016-01-04"
|
||||||
|
fit_end_time: "2025-09-01"
|
||||||
|
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"
|
||||||
|
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", "2026-08-19"]
|
||||||
|
|
||||||
|
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: "<PRED>", topk: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 }
|
||||||
|
backtest:
|
||||||
|
start_time: "2026-01-04"
|
||||||
|
end_time: "2026-08-19"
|
||||||
|
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
|
||||||
@@ -0,0 +1,95 @@
|
|||||||
|
# Walk-forward: B-moments / test 2024
|
||||||
|
# 3x3 re-validation (trace exp 52). Strategy TopkDropoutStrategy n_drop=1, parallel=default(auto).
|
||||||
|
{% 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-3x3-windows" }
|
||||||
|
|
||||||
|
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: "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: "2025-01-07"
|
||||||
|
fit_start_time: "2016-01-04"
|
||||||
|
fit_end_time: "2023-08-31"
|
||||||
|
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_rskew_5,sp_rskew_22,sp_rkurt_5,sp_rkurt_22,sp_dsv_5,sp_dsv_22"
|
||||||
|
infer_processors:
|
||||||
|
- { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2023-08-31" } }
|
||||||
|
- { class: ProcessInf, kwargs: {} }
|
||||||
|
- { class: CSRankNorm, kwargs: {} }
|
||||||
|
- { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2023-08-31" } }
|
||||||
|
- { class: Fillna, kwargs: {} }
|
||||||
|
segments:
|
||||||
|
train: ["2016-01-04", "2023-08-31"]
|
||||||
|
valid: ["2023-09-01", "2023-12-29"]
|
||||||
|
test: ["2024-01-02", "2024-12-31"]
|
||||||
|
|
||||||
|
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: "<PRED>", topk: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 }
|
||||||
|
backtest:
|
||||||
|
start_time: "2024-01-02"
|
||||||
|
end_time: "2024-12-31"
|
||||||
|
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
|
||||||
@@ -0,0 +1,95 @@
|
|||||||
|
# Walk-forward: B-moments / test 2025
|
||||||
|
# 3x3 re-validation (trace exp 52). Strategy TopkDropoutStrategy n_drop=1, parallel=default(auto).
|
||||||
|
{% 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-3x3-windows" }
|
||||||
|
|
||||||
|
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: "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: "2026-01-07"
|
||||||
|
fit_start_time: "2016-01-04"
|
||||||
|
fit_end_time: "2024-08-30"
|
||||||
|
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_rskew_5,sp_rskew_22,sp_rkurt_5,sp_rkurt_22,sp_dsv_5,sp_dsv_22"
|
||||||
|
infer_processors:
|
||||||
|
- { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2024-08-30" } }
|
||||||
|
- { class: ProcessInf, kwargs: {} }
|
||||||
|
- { class: CSRankNorm, kwargs: {} }
|
||||||
|
- { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2024-08-30" } }
|
||||||
|
- { class: Fillna, kwargs: {} }
|
||||||
|
segments:
|
||||||
|
train: ["2016-01-04", "2024-08-30"]
|
||||||
|
valid: ["2024-09-03", "2024-12-31"]
|
||||||
|
test: ["2025-01-02", "2025-12-31"]
|
||||||
|
|
||||||
|
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: "<PRED>", topk: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 }
|
||||||
|
backtest:
|
||||||
|
start_time: "2025-01-02"
|
||||||
|
end_time: "2025-12-31"
|
||||||
|
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
|
||||||
@@ -0,0 +1,95 @@
|
|||||||
|
# Walk-forward: B-moments / test 2026
|
||||||
|
# 3x3 re-validation (trace exp 52). Strategy TopkDropoutStrategy n_drop=1, parallel=default(auto).
|
||||||
|
{% 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-3x3-windows" }
|
||||||
|
|
||||||
|
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: "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: "2026-08-19"
|
||||||
|
fit_start_time: "2016-01-04"
|
||||||
|
fit_end_time: "2025-09-01"
|
||||||
|
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_rskew_5,sp_rskew_22,sp_rkurt_5,sp_rkurt_22,sp_dsv_5,sp_dsv_22"
|
||||||
|
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", "2026-08-19"]
|
||||||
|
|
||||||
|
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: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 }
|
||||||
|
backtest:
|
||||||
|
start_time: "2026-01-04"
|
||||||
|
end_time: "2026-08-19"
|
||||||
|
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
|
||||||
@@ -0,0 +1,95 @@
|
|||||||
|
# Walk-forward: C-ndrop2 / test 2024
|
||||||
|
# 3x3 re-validation (trace exp 52). Strategy TopkDropoutStrategy n_drop=2, 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-3x3-windows" }
|
||||||
|
|
||||||
|
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: "2025-01-07"
|
||||||
|
fit_start_time: "2016-01-04"
|
||||||
|
fit_end_time: "2023-08-31"
|
||||||
|
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"
|
||||||
|
infer_processors:
|
||||||
|
- { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2023-08-31" } }
|
||||||
|
- { class: ProcessInf, kwargs: {} }
|
||||||
|
- { class: CSRankNorm, kwargs: {} }
|
||||||
|
- { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2023-08-31" } }
|
||||||
|
- { class: Fillna, kwargs: {} }
|
||||||
|
segments:
|
||||||
|
train: ["2016-01-04", "2023-08-31"]
|
||||||
|
valid: ["2023-09-01", "2023-12-29"]
|
||||||
|
test: ["2024-01-02", "2024-12-31"]
|
||||||
|
|
||||||
|
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: "<PRED>", topk: 10, n_drop: 2, only_tradable: true, risk_degree: 0.95 }
|
||||||
|
backtest:
|
||||||
|
start_time: "2024-01-02"
|
||||||
|
end_time: "2024-12-31"
|
||||||
|
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
|
||||||
@@ -0,0 +1,95 @@
|
|||||||
|
# Walk-forward: C-ndrop2 / test 2025
|
||||||
|
# 3x3 re-validation (trace exp 52). Strategy TopkDropoutStrategy n_drop=2, 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-3x3-windows" }
|
||||||
|
|
||||||
|
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: "2026-01-07"
|
||||||
|
fit_start_time: "2016-01-04"
|
||||||
|
fit_end_time: "2024-08-30"
|
||||||
|
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"
|
||||||
|
infer_processors:
|
||||||
|
- { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2024-08-30" } }
|
||||||
|
- { class: ProcessInf, kwargs: {} }
|
||||||
|
- { class: CSRankNorm, kwargs: {} }
|
||||||
|
- { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2024-08-30" } }
|
||||||
|
- { class: Fillna, kwargs: {} }
|
||||||
|
segments:
|
||||||
|
train: ["2016-01-04", "2024-08-30"]
|
||||||
|
valid: ["2024-09-03", "2024-12-31"]
|
||||||
|
test: ["2025-01-02", "2025-12-31"]
|
||||||
|
|
||||||
|
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: "<PRED>", topk: 10, n_drop: 2, only_tradable: true, risk_degree: 0.95 }
|
||||||
|
backtest:
|
||||||
|
start_time: "2025-01-02"
|
||||||
|
end_time: "2025-12-31"
|
||||||
|
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
|
||||||
@@ -0,0 +1,95 @@
|
|||||||
|
# Walk-forward: C-ndrop2 / test 2026
|
||||||
|
# 3x3 re-validation (trace exp 52). Strategy TopkDropoutStrategy n_drop=2, 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-3x3-windows" }
|
||||||
|
|
||||||
|
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: "2026-08-19"
|
||||||
|
fit_start_time: "2016-01-04"
|
||||||
|
fit_end_time: "2025-09-01"
|
||||||
|
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"
|
||||||
|
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", "2026-08-19"]
|
||||||
|
|
||||||
|
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: 10, n_drop: 2, only_tradable: true, risk_degree: 0.95 }
|
||||||
|
backtest:
|
||||||
|
start_time: "2026-01-04"
|
||||||
|
end_time: "2026-08-19"
|
||||||
|
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
|
||||||
Reference in New Issue
Block a user