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Add catboost config and notebook
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Derek-Wds committed Nov 19, 2020
1 parent df406d5 commit c916982
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53 changes: 53 additions & 0 deletions examples/benchmarks/CatBoost/workflow_config_catboost.yaml
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provider_uri: "~/.qlib/qlib_data/cn_data"
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.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: CatBoostModel
module_path: qlib.contrib.model.catboost_model
kwargs:
loss: RMSE
iterations: 5
learning_rate: 0.03
dataset:
class: DatasetH
module_path: qlib.data.dataset
kwargs:
handler:
class: ALPHA360_Denoise
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: {}
- class: PortAnaRecord
module_path: qlib.workflow.record_temp
kwargs:
config: *port_analysis_config
64 changes: 0 additions & 64 deletions examples/benchmarks/XGBoost/xgboost.py

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