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config.py
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config.py
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# 使用 Tushare API 下载文件时所需要用到的 tocken
Tushare_Tocken = "c576df5b626df4f37c30bae84520d70c7945a394d7ee274ef2685444"
# 从 Tushare 下载数据的区间
Start_Date = '20090101'
End_Date = '20240101'
# 按照日期拆分数据集
Start_Trade_Date = "2009-01-01"
End_Trade_Date = "2023-01-01"
End_Test_Date = "2024-01-01"
# 技术指标列表
TECHNICAL_INDICATORS_LIST = [
"boll_ub", "boll_lb", "rsi_20", "close_20_sma", "close_60_sma", "close_120_sma", \
"macd", "volume_20_sma", "volume_60_sma", "volume_120_sma"
]
# 强化学习模型列表
MODEL_LIST = ["a2c", "ddpg", "ppo", "sac", "td3"]
# 模型的超参数
A2C_PARAMS = {
"n_steps": 5,
"ent_coef": 0.01,
"learning_rate": 0.0007
}
PPO_PARAMS = {
"n_steps": 256,
"ent_coef": 0.01,
"learning_rate": 0.00005,
"batch_size": 256
}
DDPG_PARAMS = {
"batch_size": 128,
"buffer_size": 50000,
"learning_rate": 0.001
}
TD3_PARAMS = {
"batch_size": 100,
"buffer_size": 1000000,
"learning_rate": 0.001
}
SAC_PARAMS = {
"batch_size": 64,
"buffer_size": 100000,
"learning_rate": 0.0001,
"learning_starts": 2000,
"ent_coef": "auto_0.1"
}
# 环境的超参数
information_cols = TECHNICAL_INDICATORS_LIST + ["close", "day", "amount", "change", "daily_variance"]
ENV_PARAMS = {
"initial_amount": 1e6,
"hmax": 5000,
"currency": '￥',
"buy_cost_pct": 3e-3,
"sell_cost_pct": 3e-3,
"cache_indicator_data": True,
"daily_information_cols": information_cols,
"print_verbosity": 500,
"patient":True,
}
# tensorboard_log 路径
TENSORBOARD_LOG_DIR = f"tensorboard_log"
# 上证 50 指数及其成分股
SSE_50_INDEX = ["000016.SH"]
SSE_50 = [
"600000.SH",
"600009.SH",
"600016.SH",
"600028.SH",
"600030.SH",
"600031.SH",
"600036.SH",
"600048.SH",
"600050.SH",
"600104.SH",
"600196.SH",
"600276.SH",
"600309.SH",
"600519.SH",
"600547.SH",
"600570.SH",
"600585.SH",
"600588.SH",
"600690.SH",
"600703.SH",
"600745.SH",
"600837.SH",
"600887.SH",
"600918.SH",
"601012.SH",
"601066.SH",
"601088.SH",
"601138.SH",
"601166.SH",
"601186.SH",
"601211.SH",
"601236.SH",
"601288.SH",
"601318.SH",
"601319.SH",
"601336.SH",
"601398.SH",
"601601.SH",
"601628.SH",
"601668.SH",
"601688.SH",
"601816.SH",
"601818.SH",
"601857.SH",
"601888.SH",
"603160.SH",
"603259.SH",
"603288.SH",
"603501.SH",
"603986.SH"]
# 沪深 300 成分股
CSI_300 = [
"600000.SH",
"600004.SH",
"600009.SH",
"600010.SH",
"600011.SH",
"600015.SH",
"600016.SH",
"600018.SH",
"600019.SH",
"600025.SH",
"600027.SH",
"600028.SH",
"600029.SH",
"600030.SH",
"600031.SH",
"600036.SH",
"600048.SH",
"600050.SH",
"600061.SH",
"600066.SH",
"600068.SH",
"600085.SH",
"600104.SH",
"600109.SH",
"600111.SH",
"600115.SH",
"600118.SH",
"600150.SH",
"600161.SH",
"600176.SH",
"600177.SH",
"600183.SH",
"600196.SH",
"600208.SH",
"600233.SH",
"600271.SH",
"600276.SH",
"600297.SH",
"600299.SH",
"600309.SH",
"600332.SH",
"600340.SH",
"600346.SH",
"600352.SH",
"600362.SH",
"600369.SH",
"600383.SH",
"600390.SH",
"600406.SH",
"600436.SH",
"600438.SH",
"600482.SH",
"600487.SH",
"600489.SH",
"600498.SH",
"600519.SH",
"600522.SH",
"600547.SH",
"600570.SH",
"600584.SH",
"600585.SH",
"600588.SH",
"600600.SH",
"600606.SH",
"600637.SH",
"600655.SH",
"600660.SH",
"600690.SH",
"600703.SH",
"600705.SH",
"600741.SH",
"600745.SH",
"600760.SH",
"600763.SH",
"600795.SH",
"600809.SH",
"600837.SH",
"600845.SH",
"600848.SH",
"600872.SH",
"600886.SH",
"600887.SH",
"600893.SH",
"600900.SH",
"600918.SH",
"600919.SH",
"600926.SH",
"600958.SH",
"600989.SH",
"600998.SH",
"600999.SH",
"601006.SH",
"601009.SH",
"601012.SH",
"601021.SH",
"601066.SH",
"601077.SH",
"601088.SH",
"601100.SH",
"601108.SH",
"601111.SH",
"601117.SH",
"601138.SH",
"601155.SH",
"601162.SH",
"601166.SH",
"601169.SH",
"601186.SH",
"601198.SH",
"601211.SH",
"601216.SH",
"601225.SH",
"601229.SH",
"601231.SH",
"601236.SH",
"601238.SH",
"601288.SH",
"601318.SH",
"601319.SH",
"601328.SH",
"601336.SH",
"601360.SH",
"601377.SH",
"601390.SH",
"601398.SH",
"601555.SH",
"601577.SH",
"601600.SH",
"601601.SH",
"601607.SH",
"601618.SH",
"601628.SH",
"601633.SH",
"601658.SH",
"601668.SH",
"601669.SH",
"601688.SH",
"601696.SH",
"601698.SH",
"601727.SH",
"601766.SH",
"601788.SH",
"601800.SH",
"601808.SH",
"601816.SH",
"601818.SH",
"601838.SH",
"601857.SH",
"601872.SH",
"601877.SH",
"601878.SH",
"601881.SH",
"601888.SH",
"601899.SH",
"601901.SH",
"601916.SH",
"601919.SH",
"601933.SH",
"601939.SH",
"601985.SH",
"601988.SH",
"601989.SH",
"601990.SH",
"601998.SH",
"603019.SH",
"603087.SH",
"603156.SH",
"603160.SH",
"603195.SH",
"603259.SH",
"603288.SH",
"603369.SH",
"603392.SH",
"603501.SH",
"603658.SH",
"603799.SH",
"603833.SH",
"603899.SH",
"603986.SH",
"603993.SH",
"688008.SH",
"688009.SH",
"688012.SH",
"688036.SH",
"000001.SZ",
"000002.SZ",
"000063.SZ",
"000066.SZ",
"000069.SZ",
"000100.SZ",
"000157.SZ",
"000166.SZ",
"000333.SZ",
"000338.SZ",
"000425.SZ",
"000538.SZ",
"000568.SZ",
"000596.SZ",
"000625.SZ",
"000627.SZ",
"000651.SZ",
"000656.SZ",
"000661.SZ",
"000671.SZ",
"000703.SZ",
"000708.SZ",
"000723.SZ",
"000725.SZ",
"000728.SZ",
"000768.SZ",
"000776.SZ",
"000783.SZ",
"000786.SZ",
"000858.SZ",
"000860.SZ",
"000876.SZ",
"000895.SZ",
"000938.SZ",
"000961.SZ",
"000963.SZ",
"000977.SZ",
"001979.SZ",
"002001.SZ",
"002007.SZ",
"002008.SZ",
"002024.SZ",
"002027.SZ",
"002032.SZ",
"002044.SZ",
"002049.SZ",
"002050.SZ",
"002120.SZ",
"002129.SZ",
"002142.SZ",
"002146.SZ",
"002153.SZ",
"002157.SZ",
"002179.SZ",
"002202.SZ",
"002230.SZ",
"002236.SZ",
"002241.SZ",
"002252.SZ",
"002271.SZ",
"002304.SZ",
"002311.SZ",
"002352.SZ",
"002371.SZ",
"002384.SZ",
"002410.SZ",
"002414.SZ",
"002415.SZ",
"002422.SZ",
"002456.SZ",
"002460.SZ",
"002463.SZ",
"002475.SZ",
"002493.SZ",
"002508.SZ",
"002555.SZ",
"002558.SZ",
"002594.SZ",
"002600.SZ",
"002601.SZ",
"002602.SZ",
"002607.SZ",
"002624.SZ",
"002673.SZ",
"002714.SZ",
"002736.SZ",
"002739.SZ",
"002773.SZ",
"002812.SZ",
"002821.SZ",
"002841.SZ",
"002916.SZ",
"002938.SZ",
"002939.SZ",
"002945.SZ",
"002958.SZ",
"003816.SZ",
"300003.SZ",
"300014.SZ",
"300015.SZ",
"300033.SZ",
"300059.SZ",
"300122.SZ",
"300124.SZ",
"300136.SZ",
"300142.SZ",
"300144.SZ",
"300347.SZ",
"300408.SZ",
"300413.SZ",
"300433.SZ",
"300498.SZ",
"300529.SZ",
"300601.SZ",
"300628.SZ",
"300676.SZ"]