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

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: 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: 28

            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

            verbosity: -1

    dataset:

        class: DatasetH

        module_path: qlib.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]

    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