You can not select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
42 lines
944 B
42 lines
944 B
# CTA 1D Configuration for Parquet Loading
|
|
# Use this instead of config.yaml when using CTA1DLoaderParquet
|
|
|
|
data:
|
|
dt_range: ['2020-01-01', '2023-12-31']
|
|
|
|
# Parquet paths (populated by data_ops_research)
|
|
feature_path: /data/parquet/dataset/cta_alpha158_1d
|
|
hffactor_path: /data/parquet/dataset/cta_hffactor_1d
|
|
dom_path: /data/parquet/dataset/cta_dom_1d
|
|
label_path: /data/parquet/dataset/cta_labels_1d
|
|
|
|
feature_sets:
|
|
- alpha158
|
|
- hffactor
|
|
normalization: dual
|
|
blend_weights: equal
|
|
|
|
segments:
|
|
train: ['2020-01-01', '2022-06-30']
|
|
valid: ['2022-07-01', '2022-12-31']
|
|
test: ['2023-01-01', '2023-12-31']
|
|
|
|
model:
|
|
type: xgb
|
|
params:
|
|
objective: reg:squarederror
|
|
eval_metric: rmse
|
|
eta: 0.05
|
|
max_depth: 6
|
|
subsample: 0.8
|
|
colsample_bytree: 0.8
|
|
seed: 42
|
|
num_boost_round: 500
|
|
early_stopping_rounds: 50
|
|
|
|
training:
|
|
return_type: o2c_twap1min
|
|
weight_factors:
|
|
positive: 1.0
|
|
negative: 2.0
|