workflow_config_lightgbm_configurable_dataset.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
    instruments: *market
    data_loader:
        class: QlibDataLoader
        kwargs:
            config:
                feature:
                    - ["Resi($close, 15)/$close", "Std(Abs($close/Ref($close, 1)-1)*$volume, 5)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 5)+1e-12)", "Rsquare($close, 5)", "($high-$low)/$open", "Rsquare($close, 10)", "Corr($close, Log($volume+1), 5)", "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 5)", "Corr($close, Log($volume+1), 10)", "Rsquare($close, 20)", "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 60)", "Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 10)", "Corr($close, Log($volume+1), 20)", "(Less($open, $close)-$low)/$open"]
                    - ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"]
                label:
                    - ["Ref($close, -2)/Ref($close, -1) - 1"]
                    - ["LABEL0"]
            freq: day

    learn_processors:
        - class: DropnaLabel
        - class: CSZScoreNorm
          kwargs:
            fields_group: label
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: LGBModel
        module_path: qlib.contrib.model.gbdt
        kwargs:
            loss: mse
            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
    dataset:
        class: DatasetH
        module_path: qlib.data.dataset
        kwargs:
            handler:
                class: DataHandlerLP
                module_path: qlib.data.dataset.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