107 lines
5.0 KiB
YAML
107 lines
5.0 KiB
YAML
# QUEUE-14 — Out-of-universe validation: compact stochastic set on single-stock names.
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# The 50-ETF panel results (compact feature set, RankIC 0.0663) are panel-specific;
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# book/CLAIMS.md marks "generalizes to other universes" HYPOTHESIS - TODO(evidence-needed).
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# Change vs exp-26 reference: universe -> 30 liquid US single-stock names.
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# PREREQUISITE: backfill lake bars + sp/ta features for these symbols (full range,
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# explicit start/end) — the stock panel currently has only ~180d of data (2025-12-01+).
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# Backfill: get_lake_bars symbols=... start=2000-01-03 then
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# get_lake_sp symbol=<s> start=2000-01-03 end=<today> fit_end=<train-end> persist=true
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# Acceptance: RankIC > 0.03, ICIR > 0.15, net IR > 0 on the stock universe.
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# Run: rd_run_workflow config_path=<repo>/experiments/queue/workflows/q14_out_of_universe.yaml \
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# experiment_name=tac-rd-q14-out-of-universe
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{%- set LAKE = TAC_LAKE_DIR %}
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{%- set UNIVERSE = "AAPL,MSFT,NVDA,AMZN,GOOGL,META,TSLA,AVGO,AMD,JPM,UNH,PG,JNJ,MA,V,WMT,DIS,HD,KO,PEP,BAC,XOM,MCD,ABBV,COST,CRM,NFLX,ORCL,IBM,T" %}
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{%- 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" %}
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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: { lake_root: "{{ LAKE }}", market: US }
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instrument_provider:
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class: tac_qlib.data.providers.LakeInstrumentProvider
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kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
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feature_provider:
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class: tac_qlib.data.providers.LakeFeatureProvider
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kwargs: { lake_root: "{{ LAKE }}", 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: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-q14-out-of-universe" }
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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: 2026-08-10
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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: "{{ FEATURES }}"
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infer_processors:
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- { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
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- { class: ProcessInf, kwargs: {} }
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- { class: CSRankNorm, kwargs: {} }
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- { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
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- { class: Fillna, 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, module_path: qlib.workflow.record_temp, kwargs: {} }
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- { class: SigAnaRecord, module_path: qlib.workflow.record_temp, kwargs: { ana_long_short: true, 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: { signal: "<PRED>", topk: 10, n_drop: 1, only_tradable: true, 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 |