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# TradeAC custom-qlib-code snapshot (auto-generated)
# parent repo HEAD : 39d330a36a3225c242626cf791748a9fb99791fc
# parent repo HEAD : 83dc916e0bd29192e5659b6da9bd1bee714e138e
# tac-qlib/tac_qlib/contrib
# tac-qlib/tac_qlib/data
# per-file hashes (git hash-object):
-140
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# -----------------------------------------------------------------------------
# QUEUE-01 — M2 reproduction: risk-adjusted 22d Sharpe drift (sp_sharpe_22).
#
# Hypothesis (book ch.01/ch.07, EVIDENCE#018 -> exp 30): adding the
# risk-adjusted 22d Sharpe drift feature (sp_sharpe_22) to the compact
# stochastic reference IMPROVES net portfolio performance (exp 30: net +6.53%
# IR 0.62 vs reference +2.13% IR 0.21) while rank metrics dip (RankIC 0.0576 vs
# 0.0663). exp 30 is a SINGLE clean-lake run, unreproduced -> HYPOTHESIS.
#
# Change vs exp-26 reference (EVIDENCE#015, run 21afc6af...): ONE feature added,
# feature_fields = compact set + sp_sharpe_22. Everything else byte-identical.
#
# Acceptance: net_ann_return > +2.13% AND net_IR > 0.21 (else HYPOTHESIS -> REFUTED).
# Run: rd_run_workflow config_path=<repo>/experiments/queue/workflows/q01_m2_sharpe22_repro.yaml \
# experiment_name=tac-rd-q01-m2-sharpe22-repro
# -----------------------------------------------------------------------------
{%- 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,sp_sharpe_22" %}
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-q01-m2-sharpe22-repro"
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($close,-6)/Ref($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: "<PRED>"
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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -1,18 +1,18 @@
# -----------------------------------------------------------------------------
# QUEUE-05 — Non-overlapping 22-day label horizon.
# QUEUE-02 — Seed-count 10 vs 5 on the compact reference.
#
# Hypothesis (book ch.01/chat-ideas): a 22d (~monthly) non-overlapping label
# tests true trend-following — the 5d label can't distinguish a 1-12m drift
# (submartingale) from short-horizon reversal. Long-horizon labels also cut
# the rebalance-implied turnover, attacking the cost constraint directly.
# Hypothesis (book ch.05, EVIDENCE#016 -> exp 28): seed count is load-bearing
# (2 seeds lose to 5). Extending the same direction, does 10 seeds further
# raise ICIR and net performance? Tests whether averaging benefit saturates.
#
# Change vs exp-26 reference: ONE variable — label 5d -> 22d
# (`Ref($close,-23)/Ref($close,-1)-1`). Everything else identical.
# Change vs exp-26 reference: ONE variable — seeds "42,7,2026,99,123" ->
# "42,7,2026,99,123,17,3,2020,88,55" (parallel: 10). Everything else identical.
#
# Acceptance: net_IR > 0.21 AND net_ann_return > +2.13%; secondary: does the
# long-horizon signal survive cost with LOWER total_cost than the 5d book?
# Run: rd_run_workflow config_path=<repo>/experiments/queue/workflows/q05_label22d.yaml \
# experiment_name=tac-rd-q05-label22d
# Acceptance: net_IR >= 0.21 AND ICIR/RankICIR >= reference (0.235 / 0.243);
# if seed count saturates, expect flat ICIR — that result also settles the
# mechanism question (variance reduction, not family diversification).
# Run: rd_run_workflow config_path=<repo>/experiments/queue/workflows/q02_seed10.yaml \
# experiment_name=tac-rd-q02-seed10
# -----------------------------------------------------------------------------
{%- set LAKE = TAC_LAKE_DIR %}
{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
@@ -46,7 +46,7 @@ qlib_init:
module_path: qlib.workflow.expm
kwargs:
uri: "sqlite:///{{ LAKE }}/mlruns.db"
default_exp_name: "tac-rd-q05-label22d"
default_exp_name: "tac-rd-q02-seed10"
task:
model:
@@ -66,8 +66,8 @@ task:
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
seeds: "42,7,2026,99,123,17,3,2020,88,55"
parallel: 10
dataset:
class: DatasetH
@@ -85,7 +85,7 @@ task:
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($close,-23)/Ref($close,-1)-1"
label: "Ref($close,-6)/Ref($close,-1)-1"
feature_fields: "{{ FEATURES }}"
infer_processors:
- class: DropAllNaN
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@@ -1,141 +0,0 @@
# -----------------------------------------------------------------------------
# QUEUE-04 — Non-overlapping 10-day label horizon.
#
# Hypothesis (book ch.01/chat-ideas): the 5d label is the campaign's best IC
# lever but sees short-horizon reversal only; a non-overlapping 10d label
# (`Ref($close,-11)/Ref($close,-1)-1`) tests whether a longer, cleaner horizon
# captures trend/reversal better and survives cost (lower effective turnover).
#
# Change vs exp-26 reference: ONE variable — label 5d -> 10d. Everything else
# identical (features, model, strategy).
#
# Acceptance: net_IR > 0.21 AND net_ann_return > +2.13%; secondary: ICIR and
# L/S Sharpe >= reference. A flat-but-not-worse result still settles the
# horizon-decomposition question (TODO: 5d can't see 1-12m drift).
# Run: rd_run_workflow config_path=<repo>/experiments/queue/workflows/q04_label10d.yaml \
# experiment_name=tac-rd-q04-label10d
# -----------------------------------------------------------------------------
{%- set LAKE = TAC_LAKE_DIR %}
{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
{%- set FEATURES = "$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: "<PRED>"
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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -1,9 +1,9 @@
# M2 isolation run: base compact set + risk-adjusted drift sp_sharpe_22.
# 2-seed RankICEnsemble comparison on the compact stochastic set, n_drop=1.
# Exact copy of exp26 (reference: expId=25 run=21afc6afdb674a399b59dd76c97628ce)
# except feature_fields. 5-seed ensemble.
# except seeds=42,7 and parallel=2. Test whether 5 seeds are needed vs 2.
{%- set LAKE = TAC_LAKE_DIR %}
{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
{%- set FEATURES = "$open,$high,$low,$close,$vwap,$volume,sp_ret,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead,sp_sharpe_22" %}
{%- set FEATURES = "$open,$high,$low,$close,$vwap,$volume,sp_ret,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead" %}
qlib_init:
provider_uri: "{{ LAKE }}"
@@ -22,7 +22,7 @@ qlib_init:
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-exp30-m2-sharpe" }
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-exp28-2seed" }
task:
model:
@@ -42,7 +42,8 @@ task:
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
seeds: "42,7"
parallel: 2
dataset:
class: DatasetH
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@@ -1,99 +0,0 @@
# M3 isolation run: base compact set + GARCH(1,1) vol-regime trio.
# Exact copy of exp26 (reference: expId=25 run=21afc6afdb674a399b59dd76c97628ce)
# except feature_fields. 5-seed ensemble.
{%- set LAKE = TAC_LAKE_DIR %}
{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
{%- set FEATURES = "$open,$high,$low,$close,$vwap,$volume,sp_ret,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead,sp_garch_cond_var,sp_garch_persistence,sp_garch_std_resid" %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-exp31-m3-garch" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "{{ UNIVERSE }}"
start_time: 2015-01-03
end_time: 2026-08-10
fit_start_time: 2016-01-04
fit_end_time: 2025-09-01
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($close,-6)/Ref($close,-1)-1"
feature_fields: "{{ FEATURES }}"
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, 2026-08-10]
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: "<PRED>", 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