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refactor TRA #531

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merged 8 commits into from
Jul 30, 2021
Merged

refactor TRA #531

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94eb945
refactor TRA
Jul 21, 2021
740b83e
format by black
Jul 21, 2021
210d1ec
fix horizon
Jul 22, 2021
c2437a2
fix TRA when use single head
Jul 22, 2021
5fc909e
clean up
Jul 22, 2021
1320b4d
improve pretrain
Jul 28, 2021
08471a1
Merge remote-tracking branch 'origin/main' into tra
Jul 28, 2021
f41445c
update README
Jul 28, 2021
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125 changes: 125 additions & 0 deletions examples/benchmarks/TRA/workflow_config_tra_Alpha158.yaml
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Original file line number Diff line number Diff line change
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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
infer_processors:
- class: FilterCol
kwargs:
fields_group: feature
col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10",
"ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5",
"RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"]
- class: RobustZScoreNorm
kwargs:
fields_group: feature
clip_outlier: true
- class: Fillna
kwargs:
fields_group: feature
learn_processors:
- class: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1"]

num_states: &num_states 3

memory_mode: &memory_mode sample

tra_config: &tra_config
num_states: *num_states
hidden_size: 16
tau: 1.0
src_info: LR_TPE

model_config: &model_config
input_size: 20
hidden_size: 64
num_layers: 2
rnn_arch: LSTM
use_attn: True
dropout: 0.0

port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
kwargs:
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5

task:
model:
class: TRAModel
module_path: qlib.contrib.model.pytorch_tra
kwargs:
tra_config: *tra_config
model_config: *model_config
lr: 1e-3
n_epochs: 100
max_steps_per_epoch: 100
early_stop: 10
smooth_steps: 5
seed: 0
logdir: output/Alpha158/router
lamb: 1.0
rho: 1.0
transport_method: router
memory_mode: *memory_mode
eval_train: False
eval_test: True
pretrain: False
init_state:
freeze_model: False
freeze_predictors: False
dataset:
class: MTSDatasetH
module_path: qlib.contrib.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]
seq_len: 60
horizon: 2
input_size:
num_states: *num_states
batch_size: 1024
n_samples:
memory_mode: *memory_mode
drop_last: True
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
- 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
118 changes: 118 additions & 0 deletions examples/benchmarks/TRA/workflow_config_tra_Alpha158_full.yaml
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Original file line number Diff line number Diff line change
@@ -0,0 +1,118 @@
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: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1"]

num_states: &num_states 3

memory_mode: &memory_mode sample

tra_config: &tra_config
num_states: *num_states
hidden_size: 16
tau: 1.0
src_info: TPE

model_config: &model_config
input_size: 158
hidden_size: 256
num_layers: 2
use_attn: True
dropout: 0.2

port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
kwargs:
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5

task:
model:
class: TRAModel
module_path: qlib.contrib.model.pytorch_tra
kwargs:
tra_config: *tra_config
model_config: *model_config
lr: 1e-3
n_epochs: 100
max_steps_per_epoch: 100
early_stop: 10
smooth_steps: 5
seed: 0
logdir: output/Alpha158_full/router
lamb: 1.0
rho: 1.0
transport_method: router
memory_mode: *memory_mode
eval_train: False
eval_test: True
pretrain: False
init_state:
freeze_model: False
freeze_predictors: False
dataset:
class: MTSDatasetH
module_path: qlib.contrib.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]
seq_len: 60
horizon: 2
input_size:
num_states: *num_states
batch_size: 1024
n_samples:
memory_mode: *memory_mode
drop_last: True
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
- 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
119 changes: 119 additions & 0 deletions examples/benchmarks/TRA/workflow_config_tra_Alpha360.yaml
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -0,0 +1,119 @@
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: CSRankNorm
kwargs:
fields_group: label
label: ["Ref($close, -2) / Ref($close, -1) - 1"]

num_states: &num_states 3

memory_mode: &memory_mode sample

tra_config: &tra_config
num_states: *num_states
hidden_size: 16
tau: 1.0
src_info: LR_TPE

model_config: &model_config
input_size: 6
hidden_size: 64
num_layers: 2
rnn_arch: LSTM
use_attn: True
dropout: 0.0

port_analysis_config: &port_analysis_config
strategy:
class: TopkDropoutStrategy
module_path: qlib.contrib.strategy.strategy
kwargs:
topk: 50
n_drop: 5
backtest:
verbose: False
limit_threshold: 0.095
account: 100000000
benchmark: *benchmark
deal_price: close
open_cost: 0.0005
close_cost: 0.0015
min_cost: 5

task:
model:
class: TRAModel
module_path: qlib.contrib.model.pytorch_tra
kwargs:
tra_config: *tra_config
model_config: *model_config
lr: 1e-3
n_epochs: 100
max_steps_per_epoch: 100
early_stop: 10
smooth_steps: 5
logdir: output/Alpha360/router
seed: 0
lamb: 1.0
rho: 1.0
transport_method: router
memory_mode: *memory_mode
eval_train: False
eval_test: True
pretrain: False
init_state:
freeze_model: False
freeze_predictors: False
dataset:
class: MTSDatasetH
module_path: qlib.contrib.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]
seq_len: 60
horizon: 2
input_size: 6
num_states: *num_states
batch_size: 1024
n_samples:
memory_mode: *memory_mode
drop_last: True
record:
- class: SignalRecord
module_path: qlib.workflow.record_temp
kwargs: {}
- 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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