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Fix recorder related bugs

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Jactus
2020-11-10 00:32:18 +08:00
parent 633af182f4
commit 004e2f557b
6 changed files with 23 additions and 21 deletions
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10
qlib/workflow/record_temp.py
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@@ -76,7 +76,7 @@ class SignalRecord(RecordTemp):
def generate(self, **kwargs):
# generate prediciton
pred = self.model.predict(self.dataset)
self.recorder.save_object(pred, "pred.pkl")
self.recorder.save_objects(data=pred, name="pred.pkl")
def load(self):
# try to load the saved object
@@ -132,9 +132,9 @@ class PortAnaRecord(SignalRecord):
assert super().check(), "Make sure the parent process is completed and store the data properly."
# custom strategy and get backtest
pred_score = super().load()
report_normal, positions_normal = normal_backtest(pred_score, strategy=self.strategy, **self.BACKTEST_CONFIG)
self.recorder.save_object(report_normal, "report_normal.pkl", self.artifact_path)
self.recorder.save_object(positions_normal, "positions_normal.pkl", self.artifact_path)
report_normal, positions_normal = normal_backtest(pred_score, strategy=self.strategy, **self.backtest_config)
self.recorder.save_objects(data=report_normal, name="report_normal.pkl", artifact_path=self.artifact_path)
self.recorder.save_objects(data=positions_normal, name="positions_normal.pkl", artifact_path=self.artifact_path)
# analysis
analysis = dict()
@@ -143,7 +143,7 @@ class PortAnaRecord(SignalRecord):
report_normal["return"] - report_normal["bench"] - report_normal["cost"]
)
analysis_df = pd.concat(analysis) # type: pd.DataFrame
self.recorder.save_object(pred, "port_analysis.pkl", self.artifact_path)
self.recorder.save_objects(data=analysis_df, name="port_analysis.pkl", artifact_path=self.artifact_path)
def load(self):
# try to load the saved object