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@@ -1,5 +1,5 @@
# TradeAC custom-qlib-code snapshot (auto-generated)
# parent repo HEAD : e1781f606b8d0e1df4ce06fd272e97eb9435b975
# parent repo HEAD : f4f6e9291b1bdc69373d06710aa5f9aa396e900c
# tac-qlib/tac_qlib/contrib
# tac-qlib/tac_qlib/data
# per-file hashes (git hash-object):
@@ -15,9 +15,10 @@
74d0da348cbcc3700c96b6f4fe4391488e61efc5 tac-qlib/tac_qlib/contrib/model/__pycache__/rank_gbdt.cpython-312.pyc
d3f051f3a8650c42fedc7b367b966f7c74fb5789 tac-qlib/tac_qlib/contrib/model/rank_ensemble.py
d03e6611338918d4aac5eea4adf26f85a3763652 tac-qlib/tac_qlib/contrib/model/rank_gbdt.py
4afcf9058231111c412925f4c4b84e81d656db87 tac-qlib/tac_qlib/contrib/strategy/__init__.py
b68a974a0bc87a279caed90cf2be4d7e78f9e59f tac-qlib/tac_qlib/contrib/strategy/__init__.py
c29e45e562256bf786c36f91a971b097467276e9 tac-qlib/tac_qlib/contrib/strategy/__pycache__/__init__.cpython-312.pyc
6dd1c568a2961842793674390d5abffd1a0e71b8 tac-qlib/tac_qlib/contrib/strategy/__pycache__/optimal_stop.cpython-312.pyc
519a1f4c05dbe0ac018ab8b779eb33d53b4dd545 tac-qlib/tac_qlib/contrib/strategy/ic_gate.py
79aaad9e39fcc740a773f4f63c512ce1086cfde0 tac-qlib/tac_qlib/contrib/strategy/optimal_stop.py
fe60bacdfedd48617863be31f24b7c7daebfac5a tac-qlib/tac_qlib/contrib/strategy/weekly_rebalance.py
92e6e90eb0cd0a25142034560f27adb6b705b1a8 tac-qlib/tac_qlib/data/__init__.py
@@ -1,3 +1,5 @@
from .ic_gate import ICGateTopkDropoutStrategy # noqa: F401
from .optimal_stop import OptimalStopControl # noqa: F401
from .weekly_rebalance import WeeklyRebalanceDropoutStrategy # noqa: F401
__all__ = ["OptimalStopControl"]
__all__ = ["ICGateTopkDropoutStrategy", "OptimalStopControl", "WeeklyRebalanceDropoutStrategy"]
@@ -0,0 +1,117 @@
"""Realized-IC circuit breaker TopkDropout strategy.
Subclass of ``qlib.contrib.strategy.signal_strategy.TopkDropoutStrategy`` that
holds the book (issues NO orders) while the streaming realized RankIC of the
deployed signal is below threshold — i.e. the model's cross-sectional
predictions are no longer earning against realized forward returns. When the
gate is open it behaves exactly like the reference TopkDropoutStrategy.
The gate is evaluated per trade step on the trailing mean realized RankIC of
the signal over the last ``ic_window`` trading days whose label is fully
realized as of the decision date (no lookahead — a 5d fwd label ``close[t+6]/
close[t+1]-1`` is only known at ``t+6``).
Two wiring modes:
* ``ic_gate``: a precomputed ``pd.Series`` indexed by datetime of booleans
(True = gate open / trade allowed). Computed once by the caller (e.g.
``rd_backtest``) and looked up per step. Missing dates default to open.
* realized-IC self-computation: when ``ic_min_rankic`` is given but no
``ic_gate``, the strategy computes the per-date realized RankIC itself from
``self.signal`` (the pred scores) and the lake 1d bars via
``tac_qlib.risk_limits.realized_rankic_series``, then applies the same
trailing-window comparison. Works when instantiated from a workflow YAML
PortAnaRecord config (``lake_root`` / ``market`` must be provided).
"""
from __future__ import annotations
import pandas as pd
from qlib.backtest.decision import TradeDecisionWO
from qlib.contrib.strategy.signal_strategy import TopkDropoutStrategy
from tac_qlib.risk_limits import ic_circuit_breaker, realized_rankic_series
__all__ = ["ICGateTopkDropoutStrategy"]
class ICGateTopkDropoutStrategy(TopkDropoutStrategy):
"""TopkDropout with a streaming realized-IC circuit breaker.
Parameters
----------
topk, n_drop, method_sell, method_buy, hold_thresh, only_tradable,
forbid_all_trade_at_limit : same as ``TopkDropoutStrategy``.
ic_min_rankic : float — pause new trading while trailing realized RankIC is
below this threshold (0 disables the gate).
ic_window : int — trailing window for the realized RankIC mean (default 22).
ic_label_horizon : int — label horizon in trading days (default 6).
ic_min_obs : int — min realized labels before the gate arms (default 10).
ic_gate : pd.Series, optional — precomputed per-date gate (bool indexed by
datetime). When provided, it overrides self-computation.
lake_root, market : str — lake location for self-computed realized IC.
"""
def __init__(
self,
*,
topk,
n_drop,
ic_min_rankic: float = 0.0,
ic_window: int = 22,
ic_label_horizon: int = 6,
ic_min_obs: int = 10,
ic_gate=None,
lake_root: str = "",
market: str = "US",
**kwargs,
):
super().__init__(topk=topk, n_drop=n_drop, **kwargs)
self.ic_min_rankic = float(ic_min_rankic or 0.0)
self.ic_window = int(ic_window or 22)
self.ic_label_horizon = int(ic_label_horizon or 6)
self.ic_min_obs = int(ic_min_obs or 10)
self._ic_gate = ic_gate
self._realized_ic = None
self.lake_root = lake_root or ""
self.market = market or "US"
def _load_realized_ic(self):
if self._realized_ic is None:
pred_start_time, pred_end_time = self.trade_calendar.get_step_time(
self.trade_calendar.get_trade_step(), shift=-self.ic_label_horizon
)
pred = self.signal.get_signal(start_time=pred_start_time, end_time=pred_end_time)
if isinstance(pred, pd.DataFrame):
pred = pred.iloc[:, 0]
self._realized_ic = realized_rankic_series(
pred, self.lake_root, self.market, label_horizon=self.ic_label_horizon
)
return self._realized_ic
def _gate_open(self, trade_start_time) -> bool:
ts = pd.Timestamp(trade_start_time)
if self._ic_gate is not None:
# precomputed gate series: look up the latest known decision date <= ts
known = self._ic_gate[self._ic_gate.index <= ts]
if len(known):
return bool(known.iloc[-1])
return True
if self.ic_min_rankic <= 0:
return True
realized = self._load_realized_ic()
limits = {
"ic_min_rankic": self.ic_min_rankic,
"ic_window": self.ic_window,
"ic_min_obs": self.ic_min_obs,
}
tripped, _reason, _trail = ic_circuit_breaker(realized, ts, limits)
return not tripped
def generate_trade_decision(self, execute_result=None):
trade_step = self.trade_calendar.get_trade_step()
trade_start_time, _ = self.trade_calendar.get_step_time(trade_step)
if not self._gate_open(trade_start_time):
return TradeDecisionWO([], self)
return super().generate_trade_decision(execute_result)
@@ -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: "<PRED>", 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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Walk-forward transfer test: m2-sharpe22 / test 2023 (trace exp 54)
# Best label-regime match to 2026 (psi 0.028). Strategy TopkDropoutStrategy n_drop=1, parallel=5.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-2021-2023" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2024-01-07"
fit_start_time: "2016-01-04"
fit_end_time: "2022-08-31"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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: "<PRED>", 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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Walk-forward: m2-sharpe22 / test 2024 (trace exp 53, ref exp32 c7c12228 on cleaned lake)
# Strategy TopkDropoutStrategy n_drop=1, parallel=5.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-3windows" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2025-01-07"
fit_start_time: "2016-01-04"
fit_end_time: "2023-08-31"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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,sp_sharpe_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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Walk-forward: m2-sharpe22 / test 2025 (trace exp 53, ref exp32 c7c12228 on cleaned lake)
# Strategy TopkDropoutStrategy n_drop=1, parallel=5.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-3windows" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2026-01-07"
fit_start_time: "2016-01-04"
fit_end_time: "2024-08-30"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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,sp_sharpe_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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Walk-forward: m2-sharpe22 / test 2026 (trace exp 53, ref exp32 c7c12228 on cleaned lake)
# Strategy TopkDropoutStrategy n_drop=1, parallel=5. Window matches reference exp32 exactly.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-3windows" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2026-08-10"
fit_start_time: "2016-01-04"
fit_end_time: "2025-09-01"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($close,-6)/Ref($close,-1)-1"
feature_fields: "$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: "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: "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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Adaptive short-window retrain: m2-sharpe22 / test 2021 (trace exp 55) — 1y training window
# Hypothesis: a short recent training window adapts to the target year's regime and transfers the edge.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-adaptive-1y" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2022-01-07"
fit_start_time: "2019-08-30"
fit_end_time: "2020-08-31"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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: "2019-08-30", fit_end_time: "2020-08-31" } }
- { class: ProcessInf, kwargs: {} }
- { class: CSRankNorm, kwargs: {} }
- { class: ZScoreNorm, kwargs: { fit_start_time: "2019-08-30", fit_end_time: "2020-08-31" } }
- { class: Fillna, kwargs: {} }
segments:
train: ["2019-08-30", "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: "<PRED>", 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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Adaptive short-window retrain: m2-sharpe22 / test 2023 (trace exp 55) — 1y training window
# Hypothesis: a short recent training window adapts to the target year's regime and transfers the edge.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-adaptive-1y" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2024-01-07"
fit_start_time: "2021-08-31"
fit_end_time: "2022-08-31"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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: "2021-08-31", fit_end_time: "2022-08-31" } }
- { class: ProcessInf, kwargs: {} }
- { class: CSRankNorm, kwargs: {} }
- { class: ZScoreNorm, kwargs: { fit_start_time: "2021-08-31", fit_end_time: "2022-08-31" } }
- { class: Fillna, kwargs: {} }
segments:
train: ["2021-08-31", "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: "<PRED>", 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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Adaptive short-window retrain: m2-sharpe22 / test 2024 (trace exp 55) — 1y training window
# Hypothesis: a short recent training window adapts to the target year's regime and transfers the edge.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-adaptive-1y" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2025-01-07"
fit_start_time: "2022-08-31"
fit_end_time: "2023-08-31"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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_sharpe_22"
infer_processors:
- { class: DropAllNaN, kwargs: { fit_start_time: "2022-08-31", fit_end_time: "2023-08-31" } }
- { class: ProcessInf, kwargs: {} }
- { class: CSRankNorm, kwargs: {} }
- { class: ZScoreNorm, kwargs: { fit_start_time: "2022-08-31", fit_end_time: "2023-08-31" } }
- { class: Fillna, kwargs: {} }
segments:
train: ["2022-08-31", "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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Adaptive short-window retrain: m2-sharpe22 / test 2025 (trace exp 55) — 1y training window
# Hypothesis: a short recent training window adapts to the target year's regime and transfers the edge.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-adaptive-1y" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2026-01-07"
fit_start_time: "2023-08-31"
fit_end_time: "2024-08-30"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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_sharpe_22"
infer_processors:
- { class: DropAllNaN, kwargs: { fit_start_time: "2023-08-31", fit_end_time: "2024-08-30" } }
- { class: ProcessInf, kwargs: {} }
- { class: CSRankNorm, kwargs: {} }
- { class: ZScoreNorm, kwargs: { fit_start_time: "2023-08-31", fit_end_time: "2024-08-30" } }
- { class: Fillna, kwargs: {} }
segments:
train: ["2023-08-31", "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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Adaptive short-window retrain: m2-sharpe22 / test 2026 (trace exp 55) — 1y training window
# Hypothesis: a short recent training window adapts to the target year's regime and transfers the edge.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-adaptive-1y" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2026-08-10"
fit_start_time: "2024-09-03"
fit_end_time: "2025-09-01"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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_sharpe_22"
infer_processors:
- { class: DropAllNaN, kwargs: { fit_start_time: "2024-09-03", fit_end_time: "2025-09-01" } }
- { class: ProcessInf, kwargs: {} }
- { class: CSRankNorm, kwargs: {} }
- { class: ZScoreNorm, kwargs: { fit_start_time: "2024-09-03", fit_end_time: "2025-09-01" } }
- { class: Fillna, kwargs: {} }
segments:
train: ["2024-09-03", "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: "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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Adaptive short-window retrain: m2-sharpe22 / test 2021 (trace exp 55) — 2y training window
# Hypothesis: a short recent training window adapts to the target year's regime and transfers the edge.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-adaptive-2y" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2022-01-07"
fit_start_time: "2018-08-31"
fit_end_time: "2020-08-31"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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: "2018-08-31", fit_end_time: "2020-08-31" } }
- { class: ProcessInf, kwargs: {} }
- { class: CSRankNorm, kwargs: {} }
- { class: ZScoreNorm, kwargs: { fit_start_time: "2018-08-31", fit_end_time: "2020-08-31" } }
- { class: Fillna, kwargs: {} }
segments:
train: ["2018-08-31", "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: "<PRED>", 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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Adaptive short-window retrain: m2-sharpe22 / test 2023 (trace exp 55) — 2y training window
# Hypothesis: a short recent training window adapts to the target year's regime and transfers the edge.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-adaptive-2y" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2024-01-07"
fit_start_time: "2020-08-31"
fit_end_time: "2022-08-31"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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: "2020-08-31", fit_end_time: "2022-08-31" } }
- { class: ProcessInf, kwargs: {} }
- { class: CSRankNorm, kwargs: {} }
- { class: ZScoreNorm, kwargs: { fit_start_time: "2020-08-31", fit_end_time: "2022-08-31" } }
- { class: Fillna, kwargs: {} }
segments:
train: ["2020-08-31", "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: "<PRED>", 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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Adaptive short-window retrain: m2-sharpe22 / test 2024 (trace exp 55) — 2y training window
# Hypothesis: a short recent training window adapts to the target year's regime and transfers the edge.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-adaptive-2y" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2025-01-07"
fit_start_time: "2021-08-31"
fit_end_time: "2023-08-31"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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_sharpe_22"
infer_processors:
- { class: DropAllNaN, kwargs: { fit_start_time: "2021-08-31", fit_end_time: "2023-08-31" } }
- { class: ProcessInf, kwargs: {} }
- { class: CSRankNorm, kwargs: {} }
- { class: ZScoreNorm, kwargs: { fit_start_time: "2021-08-31", fit_end_time: "2023-08-31" } }
- { class: Fillna, kwargs: {} }
segments:
train: ["2021-08-31", "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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Adaptive short-window retrain: m2-sharpe22 / test 2025 (trace exp 55) — 2y training window
# Hypothesis: a short recent training window adapts to the target year's regime and transfers the edge.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-adaptive-2y" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2026-01-07"
fit_start_time: "2022-08-31"
fit_end_time: "2024-08-30"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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_sharpe_22"
infer_processors:
- { class: DropAllNaN, kwargs: { fit_start_time: "2022-08-31", fit_end_time: "2024-08-30" } }
- { class: ProcessInf, kwargs: {} }
- { class: CSRankNorm, kwargs: {} }
- { class: ZScoreNorm, kwargs: { fit_start_time: "2022-08-31", fit_end_time: "2024-08-30" } }
- { class: Fillna, kwargs: {} }
segments:
train: ["2022-08-31", "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: $close
freq: day
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5.0
risk_analysis_freq: 1d
@@ -0,0 +1,96 @@
# Adaptive short-window retrain: m2-sharpe22 / test 2026 (trace exp 55) — 2y training window
# Hypothesis: a short recent training window adapts to the target year's regime and transfers the edge.
{% set LAKE = TAC_LAKE_DIR %}
qlib_init:
provider_uri: "{{ LAKE }}"
region: us
expression_cache: null
dataset_cache: null
calendar_provider:
class: tac_qlib.data.providers.LakeCalendarProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
instrument_provider:
class: tac_qlib.data.providers.LakeInstrumentProvider
kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
feature_provider:
class: tac_qlib.data.providers.LakeFeatureProvider
kwargs: { lake_root: "{{ LAKE }}", market: US }
exp_manager:
class: MLflowExpManager
module_path: qlib.workflow.expm
kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-bt-m2-sharpe22-adaptive-2y" }
task:
model:
class: RankICEnsembleLGBModel
module_path: tac_qlib.contrib.model.rank_ensemble
kwargs:
loss: mse
learning_rate: 0.02
num_leaves: 31
n_estimators: 3000
num_boost_round: 3000
early_stopping_rounds: 200
min_data_in_leaf: 20
lambda_l2: 0.5
colsample_bytree: 0.8
subsample: 0.8
subsample_freq: 1
reg_alpha: 0.1
reg_lambda: 1.0
seeds: "42,7,2026,99,123"
parallel: 5
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: TACHandler
module_path: tac_qlib.contrib.data.handler
kwargs:
instruments: "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM"
start_time: "2015-01-03"
end_time: "2026-08-10"
fit_start_time: "2023-09-01"
fit_end_time: "2025-09-01"
freq: day
lake_root: "{{ LAKE }}"
market: US
label: "Ref($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_sharpe_22"
infer_processors:
- { class: DropAllNaN, kwargs: { fit_start_time: "2023-09-01", fit_end_time: "2025-09-01" } }
- { class: ProcessInf, kwargs: {} }
- { class: CSRankNorm, kwargs: {} }
- { class: ZScoreNorm, kwargs: { fit_start_time: "2023-09-01", fit_end_time: "2025-09-01" } }
- { class: Fillna, kwargs: {} }
segments:
train: ["2023-09-01", "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: "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