workflow_config_sandwich_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:
        - class: RobustZScoreNorm
          kwargs:
              fields_group: feature
              clip_outlier: true
        - class: Fillna
          kwargs:
              fields_group: feature
    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: <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: Sandwich
        module_path: qlib.contrib.model.pytorch_sandwich
        kwargs:
            fea_dim: 6
            cnn_dim_1: 16
            cnn_dim_2: 16
            cnn_kernel_size: 3
            rnn_dim_1: 8
            rnn_dim_2: 8
            rnn_dups: 2
            rnn_layers: 2
            n_epochs: 200
            lr: 0.001
            early_stop: 20
            batch_size: 2000
            metric: loss
            GPU: 0
    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