workflow_config_doubleensemble_Alpha360.yaml

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
    infer_processors: []
    learn_processors:
        - class: DropnaLabel
        - class: CSRankNorm
          kwargs:
              fields_group: label
    label: ["Ref($close, -2) / Ref($close, -1) - 1"]
port_analysis_config: &port_analysis_config
    strategy:
        class: TopkDropoutStrategy
        module_path: qlib.contrib.strategy
        kwargs:
            signal:
                - <MODEL> 
                - <DATASET>
            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: 136
            colsample_bytree: 0.8879
            learning_rate: 0.0421
            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: Alpha360
                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