Compare commits
| Author | SHA1 | Date | |
|---|---|---|---|
 zhaoli
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875222a85a | ||
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zhaoli
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32477c7bb8 |
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# -----------------------------------------------------------------------------
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# ISOLATION: multi-seed RankIC ensemble, ablate-B generic-only feature set.
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#
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# Isolates the ensemble effect on the SP-5d rank signal. Same panel, segments,
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# history (full backfilled 2016+) and feature set as the exp-9 ablate-B winner
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# (generic-only sp_* families: jump,har,trend,hurst,signature), but replaces the
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# single RankICLGBModel with a 5-seed RankICEnsembleLGBModel (42,7,2026,99,123)
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# that averages per-day predictions.
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#
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# Differs from exp-15 (tac-rd-rank-ensemble, mlflow exp 15) ONLY by dropping the
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# TA subset (rsi_14,roc_10,macd_hist,willr_14,atr_14) and the inter-asset xr_*
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# features, so any change vs exp-15 is attributable to the feature set alone,
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# and any change vs exp-9 is attributable to the ensemble + full history alone.
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#
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# Run:
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# rd_run_workflow config_path=experiments/workflows/exp12_isolation_ensemble.yaml \
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# experiment_name=tac-rd-rank-ensemble-isolated
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# -----------------------------------------------------------------------------
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{%- set LAKE = TAC_LAKE_DIR %}
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{%- 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" %}
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{%- set SP_FIELDS = "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" %}
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qlib_init:
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provider_uri: "{{ LAKE }}"
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region: us
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expression_cache: null
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dataset_cache: null
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calendar_provider:
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class: tac_qlib.data.providers.LakeCalendarProvider
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kwargs:
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lake_root: "{{ LAKE }}"
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market: US
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instrument_provider:
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class: tac_qlib.data.providers.LakeInstrumentProvider
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kwargs:
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lake_root: "{{ LAKE }}"
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market: US
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markets: {}
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feature_provider:
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class: tac_qlib.data.providers.LakeFeatureProvider
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kwargs:
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lake_root: "{{ LAKE }}"
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market: US
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exp_manager:
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class: MLflowExpManager
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module_path: qlib.workflow.expm
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kwargs:
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uri: "sqlite:///mlruns.db"
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default_exp_name: "tac-rd-rank-ensemble-isolated"
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task:
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model:
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class: RankICEnsembleLGBModel
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module_path: tac_qlib.contrib.model.rank_ensemble
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kwargs:
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loss: mse
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learning_rate: 0.02
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num_leaves: 31
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n_estimators: 3000
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num_boost_round: 3000
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early_stopping_rounds: 200
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min_data_in_leaf: 20
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lambda_l2: 0.5
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colsample_bytree: 0.8
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subsample: 0.8
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subsample_freq: 1
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reg_alpha: 0.1
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reg_lambda: 1.0
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seeds: "42,7,2026,99,123"
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dataset:
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class: DatasetH
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module_path: qlib.data.dataset
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kwargs:
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handler:
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class: TACHandler
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module_path: tac_qlib.contrib.data.handler
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kwargs:
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instruments: "{{ UNIVERSE }}"
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start_time: 2015-01-03
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end_time: 2026-08-14
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fit_start_time: 2016-01-04
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fit_end_time: 2025-09-01
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freq: day
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lake_root: "{{ LAKE }}"
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market: US
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label: "Ref($close,-6)/Ref($close,-1)-1"
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feature_fields: "$open,$high,$low,$close,$vwap,$volume,{{ SP_FIELDS }}"
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infer_processors:
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- class: DropAllNaN
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kwargs: {}
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- class: ProcessInf
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kwargs: {}
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- class: CSRankNorm
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kwargs: {}
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- class: ZScoreNorm
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kwargs: {}
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- class: Fillna
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kwargs: {}
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segments:
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train: [2016-01-04, 2025-09-01]
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valid: [2025-09-03, 2026-01-03]
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test: [2026-01-04, 2026-08-10]
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record:
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- class: SignalRecord
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module_path: qlib.workflow.record_temp
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kwargs: {}
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- class: SigAnaRecord
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module_path: qlib.workflow.record_temp
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kwargs:
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ana_long_short: true
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ann_scaler: 252
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- class: PortAnaRecord
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module_path: qlib.workflow.record_temp
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kwargs:
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config:
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strategy:
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class: TopkDropoutStrategy
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module_path: qlib.contrib.strategy
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kwargs:
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signal: "<PRED>"
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topk: 10
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n_drop: 2
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only_tradable: true
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risk_degree: 0.95
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backtest:
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start_time: 2026-01-04
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end_time: 2026-08-10
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account: 1000000
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benchmark: SPY
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exchange_kwargs:
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codes: "{{ UNIVERSE }}"
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deal_price: $close
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freq: day
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open_cost: 0.0005
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close_cost: 0.0015
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min_cost: 5.0
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risk_analysis_freq: 1d
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@@ -0,0 +1,136 @@
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# -----------------------------------------------------------------------------
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# EXP 14 - Strategy A (baseline): reference model + TopkDropout.
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#
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# Model = RankICEnsembleLGBModel (5-seed RankIC-early-stopped LGB), the class
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# wired by the tac-rd-rank-ensemble-isolated reference (run 0cea66d9...).
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# Strategy = TopkDropout topk=10 n_drop=2 risk_degree=0.95 (the reference's own
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# recorded backtest strategy), so this run reproduces the reference baseline on
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# the same 50-ETF SP-5d panel.
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#
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# Run:
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# rd_run_workflow config_path=experiments/workflows/exp14-optstop-v2/a_topk_baseline.yaml \
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# experiment_name=tac-rd-optstop-v2
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# -----------------------------------------------------------------------------
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{%- set LAKE = TAC_LAKE_DIR %}
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{%- 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" %}
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{%- set SP_FIELDS = "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" %}
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|
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qlib_init:
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provider_uri: "{{ LAKE }}"
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||||||
|
region: us
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||||||
|
expression_cache: null
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||||||
|
dataset_cache: null
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||||||
|
|
||||||
|
calendar_provider:
|
||||||
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class: tac_qlib.data.providers.LakeCalendarProvider
|
||||||
|
kwargs:
|
||||||
|
lake_root: "{{ LAKE }}"
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||||||
|
market: US
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||||||
|
instrument_provider:
|
||||||
|
class: tac_qlib.data.providers.LakeInstrumentProvider
|
||||||
|
kwargs:
|
||||||
|
lake_root: "{{ LAKE }}"
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||||||
|
market: US
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||||||
|
markets: {}
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||||||
|
feature_provider:
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||||||
|
class: tac_qlib.data.providers.LakeFeatureProvider
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||||||
|
kwargs:
|
||||||
|
lake_root: "{{ LAKE }}"
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||||||
|
market: US
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||||||
|
|
||||||
|
exp_manager:
|
||||||
|
class: MLflowExpManager
|
||||||
|
module_path: qlib.workflow.expm
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||||||
|
kwargs:
|
||||||
|
uri: "sqlite:///{{ LAKE }}/mlruns.db"
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||||||
|
default_exp_name: "tac-rd-optstop-v2"
|
||||||
|
|
||||||
|
task:
|
||||||
|
model:
|
||||||
|
class: RankICEnsembleLGBModel
|
||||||
|
module_path: tac_qlib.contrib.model.rank_ensemble
|
||||||
|
kwargs:
|
||||||
|
loss: mse
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||||||
|
learning_rate: 0.02
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||||||
|
num_leaves: 31
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||||||
|
n_estimators: 3000
|
||||||
|
num_boost_round: 3000
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||||||
|
early_stopping_rounds: 200
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||||||
|
min_data_in_leaf: 20
|
||||||
|
lambda_l2: 0.5
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||||||
|
colsample_bytree: 0.8
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||||||
|
subsample: 0.8
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||||||
|
subsample_freq: 1
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||||||
|
reg_alpha: 0.1
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||||||
|
reg_lambda: 1.0
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||||||
|
seeds: "42,7,2026,99,123"
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||||||
|
|
||||||
|
dataset:
|
||||||
|
class: DatasetH
|
||||||
|
module_path: qlib.data.dataset
|
||||||
|
kwargs:
|
||||||
|
handler:
|
||||||
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class: TACHandler
|
||||||
|
module_path: tac_qlib.contrib.data.handler
|
||||||
|
kwargs:
|
||||||
|
instruments: "{{ UNIVERSE }}"
|
||||||
|
start_time: 2015-01-03
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||||||
|
end_time: 2026-08-14
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||||||
|
fit_start_time: 2016-01-04
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||||||
|
fit_end_time: 2025-09-01
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||||||
|
freq: day
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||||||
|
lake_root: "{{ LAKE }}"
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||||||
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market: US
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||||||
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label: "Ref($close,-6)/Ref($close,-1)-1"
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||||||
|
feature_fields: "$open,$high,$low,$close,$vwap,$volume,{{ SP_FIELDS }}"
|
||||||
|
infer_processors:
|
||||||
|
- class: DropAllNaN
|
||||||
|
kwargs: {}
|
||||||
|
- class: ProcessInf
|
||||||
|
kwargs: {}
|
||||||
|
- class: CSRankNorm
|
||||||
|
kwargs: {}
|
||||||
|
- class: ZScoreNorm
|
||||||
|
kwargs: {}
|
||||||
|
- class: Fillna
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||||||
|
kwargs: {}
|
||||||
|
segments:
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|
train: [2016-01-04, 2025-09-01]
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valid: [2025-09-03, 2026-01-03]
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|
test: [2026-01-04, 2026-08-10]
|
||||||
|
|
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|
record:
|
||||||
|
- class: SignalRecord
|
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|
module_path: qlib.workflow.record_temp
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|
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: 2026-08-10
|
||||||
|
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
|
||||||
@@ -0,0 +1,149 @@
|
|||||||
|
# -----------------------------------------------------------------------------
|
||||||
|
# EXP 14 - Strategy B (enhanced): reference model + OptimalStopControlV2.
|
||||||
|
#
|
||||||
|
# Model = RankICEnsembleLGBModel (5-seed RankIC-early-stopped LGB), identical to
|
||||||
|
# Strategy A. Strategy = OptimalStopControlV2 (tac_qlib.contrib.strategy.
|
||||||
|
# optimal_stop_v2) with the controls that address OptimalStopControl's documented
|
||||||
|
# weaknesses:
|
||||||
|
# - turnover / cost control: rebalance_band=0.05 (skip small rebalances),
|
||||||
|
# cooldown_days=3 (no whipsaw re-entries), max_turnover=0.30 (cap daily
|
||||||
|
# traded notional, priority exits > opens > rebalances)
|
||||||
|
# - robust thresholds (no valid-window overfit): entry 0.85 / exit 0.70 /
|
||||||
|
# max_hold 10 / min_hold 2 / sl -0.08
|
||||||
|
# Sizing = equal-weight control (risk_degree fraction of total value split
|
||||||
|
# across targets) - the "proper allocation" that replaces cash-heuristic sizing.
|
||||||
|
#
|
||||||
|
# Run:
|
||||||
|
# rd_run_workflow config_path=experiments/workflows/exp14-optstop-v2/b_optstop_v2.yaml \
|
||||||
|
# experiment_name=tac-rd-optstop-v2
|
||||||
|
# -----------------------------------------------------------------------------
|
||||||
|
{%- 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 SP_FIELDS = "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-optstop-v2"
|
||||||
|
|
||||||
|
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: 2026-08-14
|
||||||
|
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_FIELDS }}"
|
||||||
|
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: OptimalStopControlV2
|
||||||
|
module_path: tac_qlib.contrib.strategy.optimal_stop_v2
|
||||||
|
kwargs:
|
||||||
|
signal: "<PRED>"
|
||||||
|
topk: 10
|
||||||
|
entry_pct: 0.85
|
||||||
|
exit_pct: 0.70
|
||||||
|
max_hold_days: 10
|
||||||
|
min_hold_days: 2
|
||||||
|
sl: -0.08
|
||||||
|
risk_degree: 0.95
|
||||||
|
notional: 20000
|
||||||
|
rebalance_band: 0.05
|
||||||
|
cooldown_days: 3
|
||||||
|
max_turnover: 0.30
|
||||||
|
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
|
||||||
Reference in New Issue
Block a user