qlib/examples/highfreq/workflow_config_High_Freq_Tree_Alpha158.yaml at 941c980d06371b83cf54eef8e84b0614104eb5d4 · javaThonc/qlib · GitHub

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qlib_init:
    provider_uri: "~/.qlib/qlib_data/cn_data_1min"
    region: cn
market: &market 'csi300'
start_time: &start_time "2020-09-15 00:00:00"
end_time: &end_time "2021-01-18 16:00:00"
train_end_time: &train_end_time "2020-11-15 16:00:00"
valid_start_time: &valid_start_time "2020-11-16 00:00:00"
valid_end_time: &valid_end_time "2020-11-30 16:00:00"
test_start_time: &test_start_time "2020-12-01 00:00:00"
data_handler_config: &data_handler_config
    start_time: *start_time
    end_time: *end_time
    fit_start_time: *start_time
    fit_end_time: *train_end_time
    instruments: *market
    freq: '1min'
    infer_processors:
        - class: 'RobustZScoreNorm'
          kwargs:
              fields_group: 'feature'
              clip_outlier: false
        - class: "Fillna"
          kwargs:
              fields_group: 'feature'
    learn_processors:
        - class: 'DropnaLabel'
        - class: 'CSRankNorm'
          kwargs:
              fields_group: 'label'
    label: ["Ref($close, -2) / Ref($close, -1) - 1"]

task:
    model:
        class: "HFLGBModel"
        module_path: "qlib.contrib.model.highfreq_gdbt_model"
        kwargs:
            objective: 'binary'
            metric: ['binary_logloss','auc']
            verbosity: -1
            learning_rate: 0.01
            max_depth: 8
            num_leaves: 150
            lambda_l1: 1.5
            lambda_l2: 1
            num_threads: 20
    dataset:
        class: "DatasetH"
        module_path: "qlib.data.dataset"
        kwargs:
            handler:
                class: "Alpha158"
                module_path: "qlib.contrib.data.handler"
                kwargs: *data_handler_config
            segments:
                train: [*start_time, *train_end_time]
                valid: [*train_end_time, *valid_end_time]
                test: [*test_start_time, *end_time]
    record:
        - class: "SignalRecord"
          module_path: "qlib.workflow.record_temp"
          kwargs: {}
        - class: "HFSignalRecord"
          module_path: "qlib.workflow.record_temp"
          kwargs: {}