workflow_config_lightgbm_multi_freq.yaml

qlib_init:
    provider_uri:
        day: "~/.qlib/qlib_data/cn_data"
        1min: "~/.qlib/qlib_data/cn_data_1min"
    region: cn
    dataset_cache: null
    maxtasksperchild: null
market: &market csi300
benchmark: &benchmark SH000300
data_handler_config: &data_handler_config
    start_time: 2008-01-01
    # 1min closing time is 15:00:00
    end_time: "2020-08-01 15:00:00"
    fit_start_time: 2008-01-01
    fit_end_time: 2014-12-31
    instruments: *market
    freq:
        label: day
        feature_15min: 1min
        feature_day: day
    # with label as reference
    inst_processor:
        feature_15min:
            - class: ResampleNProcessor
              module_path: features_resample_N.py
              kwargs:
                  target_frq: 1d

port_analysis_config: &port_analysis_config
    strategy:
        class: TopkDropoutStrategy
        module_path: qlib.contrib.strategy
        kwargs:
            signal:
                - <MODEL> 
                - <DATASET>
            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: Avg15minHandler
                module_path: multi_freq_handler.py
                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