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.
51 lines
1.0 KiB
51 lines
1.0 KiB
# CTA 1-Day Return Prediction - Experiment Configuration
|
|
|
|
# Data Configuration
|
|
data:
|
|
dt_range: ['2020-01-01', '2023-12-31']
|
|
feature_sets:
|
|
- alpha158
|
|
- hffactor
|
|
normalization: dual
|
|
blend_weights: equal # Options: equal, zscore_heavy, rolling_heavy, cs_heavy, short_term, long_term
|
|
|
|
# Data Segments (train/valid/test split)
|
|
segments:
|
|
train: ['2020-01-01', '2022-06-30']
|
|
valid: ['2022-07-01', '2022-12-31']
|
|
test: ['2023-01-01', '2023-12-31']
|
|
|
|
# Model Configuration
|
|
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 Configuration
|
|
training:
|
|
return_type: o2c_twap1min
|
|
weight_factors:
|
|
positive: 1.0
|
|
negative: 2.0
|
|
|
|
# Backtest Configuration
|
|
backtest:
|
|
num_trades: 4
|
|
signal_dist: normal
|
|
pos_weight: true
|
|
|
|
# Output Configuration
|
|
output:
|
|
base_dir: results/cta_1d
|
|
save_model: true
|
|
save_predictions: true
|
|
save_importance: true
|