qlib_init:
    provider_uri: "~/.qlib/qlib_data/cn_data"
    region: cn
market: &market all
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: DropnaLabel
        - class: CSRankNorm
          kwargs:
              fields_group: label
    label: ["Ref($close, -2) / Ref($close, -1) - 1"]
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: QuantTransformer
        module_path: trade_models.quant_transformer
        kwargs:
            net_config:
                name: basic
                d_feat: 6
                embed_dim: 32
                num_heads: [4, 4, 4, 4, 4]
                mlp_hidden_multipliers: [4, 4, 4, 4, 4]
                qkv_bias: True
                pos_drop: 0.1
                other_drop: 0
            opt_config:
            loss: mse
            GPU: 0
    dataset:
        class: DatasetH
        module_path: qlib.data.dataset
        kwargs:
            handler:
                class: Alpha360
                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: SignalMseRecord
          module_path: qlib.contrib.workflow.record_temp
          kwargs: {}
        - 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
