# Exp 7 (baseline) — LightGBM on the 60-ETF lake, typical algo-trading hyperparams.
# Universe: all 60 lake ETFs. Features: OHLCV + 28 ta-lib (auto-discovered).
# train 2022-01-01..2025-06-30 / valid 2025-07-01..2025-12-31 / test 2026-01-01..2026-08-12
{%- 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-lake-lgb-baseline"

task:
    model:
        class: LGBModel
        module_path: qlib.contrib.model.gbdt
        kwargs:
            loss: mse
            learning_rate: 0.05
            num_leaves: 64
            n_estimators: 200
            colsample_bytree: 0.8
            subsample: 0.8
            subsample_freq: 1
            reg_alpha: 0.01
            reg_lambda: 0.01

    dataset:
        class: DatasetH
        module_path: qlib.data.dataset
        kwargs:
            handler:
                class: TACHandler
                module_path: tac_qlib.contrib.data.handler
                kwargs:
                    instruments: all
                    start_time: 2021-10-01
                    end_time: 2026-08-12
                    fit_start_time: 2022-01-01
                    fit_end_time: 2025-06-30
                    freq: day
                    lake_root: "{{ LAKE }}"
                    market: US
            segments:
                train: [2022-01-01, 2025-06-30]
                valid: [2025-07-01, 2025-12-31]
                test: [2026-01-01, 2026-08-12]

    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: 2
                          n_drop: 1
                          only_tradable: true
                          risk_degree: 0.95
                  backtest:
                      start_time: 2026-01-01
                      end_time: 2026-08-12
                      account: 1000000
                      benchmark: SPY
                      exchange_kwargs:
                          codes: all
                          deal_price: $close
                          freq: day
                          open_cost: 0.0005
                          close_cost: 0.0015
                          min_cost: 5.0
              risk_analysis_freq: 1d