Merge pull request #591 from evanzd/fix_tra

Fix TRA

examples/benchmarks/README.md

@@ -25,7 +25,7 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
 | TCTS (Xueqing Wu, et al.)| Alpha360 | 0.0485±0.00 | 0.3689±0.04| 0.0586±0.00 | 0.4669±0.02 | 0.0816±0.02 | 1.1572±0.30| -0.0689±0.02 |
 | Transformer (Ashish Vaswani, et al.)| Alpha360 | 0.0141±0.00 | 0.0917±0.02| 0.0331±0.00 | 0.2357±0.03 | -0.0259±0.03 | -0.3323±0.43| -0.1763±0.07 |
 | Localformer (Juyong Jiang, et al.)| Alpha360 | 0.0408±0.00 | 0.2988±0.03| 0.0538±0.00 | 0.4105±0.02 | 0.0275±0.03 | 0.3464±0.37| -0.1182±0.03 |
-| TRA (Hengxu Lin, et al.)| Alpha360 | 0.0500±0.00 |  0.3966±0.04 |  0.0594±0.00 |  0.4856±0.03 | 0.1000±0.02 |  1.3425±0.31 |  -0.0845±0.02 |
+| TRA (Hengxu Lin, et al.)| Alpha360 | 0.0491±0.01 | 0.3868±0.06 | 0.0589±0.00 | 0.4802±0.04 | 0.0898±0.02 | 1.2490±0.32 | -0.0778±0.02 |
 
 ## Alpha158 dataset
 | Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |
@@ -44,8 +44,8 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
 | TabNet (Sercan O. Arik, et al.)| Alpha158 | 0.0383±0.00 | 0.3414±0.00| 0.0388±0.00 | 0.3460±0.00 | 0.0226±0.00 | 0.2652±0.00| -0.1072±0.00 |
 | Transformer (Ashish Vaswani, et al.)| Alpha158 | 0.0274±0.00 | 0.2166±0.04| 0.0409±0.00 | 0.3342±0.04 | 0.0204±0.03 | 0.2888±0.40| -0.1216±0.04 |
 | Localformer (Juyong Jiang, et al.)| Alpha158 | 0.0355±0.00 | 0.2747±0.04| 0.0466±0.00 | 0.3762±0.03 | 0.0506±0.02 | 0.7447±0.34| -0.0875±0.02 |
-| TRA (Hengxu Lin, et al.)| Alpha158 (with selected 20 features) | 0.0440±0.00 | 0.3592±0.03 | 0.0500±0.00 | 0.4256±0.02 | 0.0747±0.03 | 1.1281±0.49 | -0.0813±0.03 |
-| TRA (Hengxu Lin, et al.)| Alpha158 | 0.0474±0.00 | 0.3653±0.03 | 0.0573±0.00 | 0.4494±0.02 | 0.0770±0.02 | 1.1342±0.38 | -0.0852±0.03 |
+| TRA (Hengxu Lin, et al.)| Alpha158 (with selected 20 features)| 0.0409±0.00 | 0.3253±0.04 | 0.0488±0.00 | 0.4045±0.02 | 0.0673±0.02 | 1.0389±0.39 | -0.0830±0.02 |
+| TRA (Hengxu Lin, et al.)| Alpha158 | 0.0442±0.00 | 0.3426±0.03 | 0.0555±0.00 | 0.4395±0.03 | 0.0833±0.03 | 1.2064±0.36 | -0.0849±0.02 |
 
 - The selected 20 features are based on the feature importance of a lightgbm-based model.
 - The base model of DoubleEnsemble is LGBM.

examples/benchmarks/TRA/workflow_config_tra_Alpha158.yaml

@@ -6,38 +6,41 @@ 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
-    infer_processors:
-      - class: FilterCol
-        kwargs:
-          fields_group: feature
-          col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10",
-                            "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5",
-                            "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"]
-      - class: RobustZScoreNorm
-        kwargs:
-          fields_group: feature
-          clip_outlier: true
-      - class: Fillna
-        kwargs:
-          fields_group: feature
-    learn_processors:
-        - class: CSRankNorm
-          kwargs:
-              fields_group: label
-    label: ["Ref($close, -2) / Ref($close, -1) - 1"]
+  start_time: 2008-01-01
+  end_time: 2020-08-01
+  fit_start_time: 2008-01-01
+  fit_end_time: 2014-12-31
+  instruments: *market
+  infer_processors:
+    - class: FilterCol
+      kwargs:
+        fields_group: feature
+        col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10",
+                   "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5",
+                   "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"]
+    - class: RobustZScoreNorm
+      kwargs:
+        fields_group: feature
+        clip_outlier: true
+    - class: Fillna
+      kwargs:
+        fields_group: feature
+  learn_processors:
+    - class: CSRankNorm
+      kwargs:
+        fields_group: label
+  label: ["Ref($close, -2) / Ref($close, -1) - 1"]
 
 num_states: &num_states 3
 
 memory_mode: &memory_mode sample
 
 tra_config: &tra_config
   num_states: *num_states
-  hidden_size: 16
+  rnn_arch: LSTM
+  hidden_size: 32
+  num_layers: 1
+  dropout: 0.0
   tau: 1.0
   src_info: LR_TPE
 
@@ -50,21 +53,21 @@ model_config: &model_config
   dropout: 0.0
 
 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
+  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:
@@ -76,13 +79,13 @@ task:
       model_type: RNN
       lr: 1e-3
       n_epochs: 100
-      max_steps_per_epoch: 100
-      early_stop: 10
-      smooth_steps: 5
+      max_steps_per_epoch:
+      early_stop: 20
+      logdir: output/Alpha158
       seed: 0
-      logdir:
       lamb: 1.0
-      rho: 1.0
+      rho: 0.99
+      alpha: 0.5
       transport_method: router
       memory_mode: *memory_mode
       eval_train: False

examples/benchmarks/TRA/workflow_config_tra_Alpha158_full.yaml

@@ -6,32 +6,35 @@ 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
-    infer_processors:
-      - class: RobustZScoreNorm
-        kwargs:
-          fields_group: feature
-          clip_outlier: true
-      - class: Fillna
-        kwargs:
-          fields_group: feature
-    learn_processors:
-        - class: CSRankNorm
-          kwargs:
-              fields_group: label
-    label: ["Ref($close, -2) / Ref($close, -1) - 1"]
+  start_time: 2008-01-01
+  end_time: 2020-08-01
+  fit_start_time: 2008-01-01
+  fit_end_time: 2014-12-31
+  instruments: *market
+  infer_processors:
+    - class: RobustZScoreNorm
+      kwargs:
+        fields_group: feature
+        clip_outlier: true
+    - class: Fillna
+      kwargs:
+        fields_group: feature
+  learn_processors:
+    - class: CSRankNorm
+      kwargs:
+        fields_group: label
+  label: ["Ref($close, -2) / Ref($close, -1) - 1"]
 
 num_states: &num_states 3
 
 memory_mode: &memory_mode sample
 
 tra_config: &tra_config
   num_states: *num_states
-  hidden_size: 16
+  rnn_arch: LSTM
+  hidden_size: 32
+  num_layers: 1
+  dropout: 0.0
   tau: 1.0
   src_info: LR_TPE
 
@@ -44,21 +47,21 @@ model_config: &model_config
   dropout: 0.2
 
 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
+  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:
@@ -70,13 +73,13 @@ task:
       model_type: RNN
       lr: 1e-3
       n_epochs: 100
-      max_steps_per_epoch: 100
-      early_stop: 10
-      smooth_steps: 5
+      max_steps_per_epoch:
+      early_stop: 20
+      logdir: output/Alpha158_full
       seed: 0
-      logdir:
       lamb: 1.0
-      rho: 1.0
+      rho: 0.99
+      alpha: 0.5
       transport_method: router
       memory_mode: *memory_mode
       eval_train: False

examples/benchmarks/TRA/workflow_config_tra_Alpha360.yaml

@@ -6,32 +6,35 @@ 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
-    infer_processors:
-      - class: RobustZScoreNorm
-        kwargs:
-          fields_group: feature
-          clip_outlier: true
-      - class: Fillna
-        kwargs:
-          fields_group: feature
-    learn_processors:
-        - class: CSRankNorm
-          kwargs:
-              fields_group: label
-    label: ["Ref($close, -2) / Ref($close, -1) - 1"]
+  start_time: 2008-01-01
+  end_time: 2020-08-01
+  fit_start_time: 2008-01-01
+  fit_end_time: 2014-12-31
+  instruments: *market
+  infer_processors:
+    - class: RobustZScoreNorm
+      kwargs:
+        fields_group: feature
+        clip_outlier: true
+    - class: Fillna
+      kwargs:
+        fields_group: feature
+  learn_processors:
+    - class: CSRankNorm
+      kwargs:
+        fields_group: label
+  label: ["Ref($close, -2) / Ref($close, -1) - 1"]
 
 num_states: &num_states 3
 
 memory_mode: &memory_mode sample
 
 tra_config: &tra_config
   num_states: *num_states
-  hidden_size: 16
+  rnn_arch: LSTM
+  hidden_size: 32
+  num_layers: 1
+  dropout: 0.0
   tau: 1.0
   src_info: LR_TPE
 
@@ -44,21 +47,21 @@ model_config: &model_config
   dropout: 0.0
 
 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
+  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:
@@ -70,13 +73,13 @@ task:
       model_type: RNN
       lr: 1e-3
       n_epochs: 100
-      max_steps_per_epoch: 100
-      early_stop: 10
-      smooth_steps: 5
-      logdir:
+      max_steps_per_epoch:
+      early_stop: 20
+      logdir: output/Alpha360
       seed: 0
       lamb: 1.0
-      rho: 1.0
+      rho: 0.99
+      alpha: 0.5
       transport_method: router
       memory_mode: *memory_mode
       eval_train: False