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- qlib_init:
- provider_uri: "~/.qlib/qlib_data/cn_data"
- region: cn
- market: &market csi300
- benchmark: &benchmark SH000300
- data_handler_config: &data_handler_config
- start_time: 2008-01-01
- end_time: 2020-08-01
- fit_start_time: 2008-01-01
- fit_end_time: 2014-12-31
- instruments: *market
- port_analysis_config: &port_analysis_config
- strategy:
- class: TopkDropoutStrategy
- module_path: qlib.contrib.strategy
- kwargs:
- signal: <PRED>
- topk: 50
- n_drop: 5
- backtest:
- start_time: 2017-01-01
- end_time: 2020-08-01
- account: 100000000
- benchmark: *benchmark
- exchange_kwargs:
- limit_threshold: 0.095
- deal_price: close
- open_cost: 0.0005
- close_cost: 0.0015
- min_cost: 5
- task:
- model:
- class: DEnsembleModel
- module_path: qlib.contrib.model.double_ensemble
- kwargs:
- base_model: "gbm"
- loss: mse
- num_models: 3
- enable_sr: True
- enable_fs: True
- alpha1: 1
- alpha2: 1
- bins_sr: 10
- bins_fs: 5
- decay: 0.5
- sample_ratios:
- - 0.8
- - 0.7
- - 0.6
- - 0.5
- - 0.4
- sub_weights:
- - 1
- - 1
- - 1
- epochs: 28
- colsample_bytree: 0.8879
- learning_rate: 0.2
- subsample: 0.8789
- lambda_l1: 205.6999
- lambda_l2: 580.9768
- max_depth: 8
- num_leaves: 210
- num_threads: 20
- verbosity: -1
- dataset:
- class: DatasetH
- module_path: qlib.data.dataset
- kwargs:
- handler:
- class: Alpha158
- module_path: qlib.contrib.data.handler
- kwargs: *data_handler_config
- segments:
- train: [2008-01-01, 2014-12-31]
- valid: [2015-01-01, 2016-12-31]
- test: [2017-01-01, 2020-08-01]
- record:
- - class: SignalRecord
- module_path: qlib.workflow.record_temp
- kwargs:
- model: <MODEL>
- dataset: <DATASET>
- - class: SigAnaRecord
- module_path: qlib.workflow.record_temp
- kwargs:
- ana_long_short: False
- ann_scaler: 252
- - class: PortAnaRecord
- module_path: qlib.workflow.record_temp
- kwargs:
- config: *port_analysis_config
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发表于 2025-11-2 20:19:02
