zhaoli
c0eb65efa7
Mined from book/ on the 'book' branch (HEAD 436692a). 11 queued runs,
each = hypothesis + one-variable change vs the exp-26 reference + acceptance
metric, per the ch.02 isolation/falsification discipline.
- workflows/: 5 runnable config-only YAMLs (Q01 M2 repro, Q02 seed10, Q03 topk20,
Q04 label10d, Q05 label22d) byte-derived from the exp-26 reference
- designs/: 6 design docs needing custom strategy modules or tool-only A/B
(Q06 Kelly, Q07 weekly rebalance, Q08 risk-limit A/B, Q09 long-short,
Q10 HMM overlay, Q11 standalone reversal)
140 lines
5.4 KiB
YAML
140 lines
5.4 KiB
YAML
# -----------------------------------------------------------------------------
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# QUEUE-03 — topk 20 vs 10 diversification on the compact reference.
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#
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# Hypothesis (book ch.05/chat-ideas): the effective independent names in the
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# 50-ETF book is small (~4, chat-derived eigenvalue analysis); raising topk
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# diversifies the book and should cut drawdown / raise net IR without hurting
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# the (weak) rank signal — cost relief by spreading the book wider.
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#
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# Change vs exp-26 reference: ONE variable — strategy topk 10 -> 20 (n_drop 1).
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# Everything else identical.
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#
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# Acceptance: net_IR > 0.21 AND net_max_drawdown < 7.69% AND net_ann_return >=
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# +2.13%; watch total_cost — more names held must not raise turnover/cost.
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# Run: rd_run_workflow config_path=<repo>/experiments/queue/workflows/q03_topk20.yaml \
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# experiment_name=tac-rd-q03-topk20
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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 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:
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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:///{{ LAKE }}/mlruns.db"
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default_exp_name: "tac-rd-q03-topk20"
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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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parallel: 5
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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
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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: 20
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n_drop: 1
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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 |