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tac-exp-dev/queue/workflows/q06_kelly.yaml
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# QUEUE-ly
# Fractional-Kelly sizing (Q06): same selection, sizing ∝ score magnitude, capped at 0.5× equal-weight notional.
# Acceptance: net_IR > 0.21 AND net_ann > +2.13% with total_cost not higher than reference.
{%- 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 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" %}
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-q06-kelly"
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: "{{ UNIVERSE }}"
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: "{{ FEATURES }}"
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: FractionalKellyDropoutStrategy
module_path: tac_qlib.contrib.strategy.kelly_dropout
kwargs:
signal: "<PRED>"
topk: 10
n_drop: 1
only_tradable: true
risk_degree: 0.95
cap_frac: 0.5
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