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Merge pull request #280 from yongzhengqi/main

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Implement Enhanced Indexing as a Portfolio Optimizer
This commit is contained in:
you-n-g
2021-03-17 12:07:39 +08:00
committed by GitHub
parent 9be6866972 53cf89d7c2
commit 023c1fedfe
14 changed files with 624 additions and 224 deletions
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7
qlib/contrib/strategy/strategy.py
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@@ -7,7 +7,6 @@ import numpy as np
import pandas as pd
from ..backtest.order import Order
from ...utils import get_pre_trading_date
from .order_generator import OrderGenWInteract
@@ -390,11 +389,11 @@ class TopkDropoutStrategy(BaseStrategy, ListAdjustTimer):
current_stock_list = current_temp.get_stock_list()
value = cash * self.risk_degree / len(buy) if len(buy) > 0 else 0
# open_cost should be considered in the real trading environment, while the backtest in evaluate.py does not consider it
# as the aim of demo is to accomplish same strategy as evaluate.py, so comment out this line
# open_cost should be considered in the real trading environment, while the backtest in evaluate.py does not
# consider it as the aim of demo is to accomplish same strategy as evaluate.py, so comment out this line
# value = value / (1+trade_exchange.open_cost) # set open_cost limit
for code in buy:
# check is stock supended
# check is stock suspended
if not trade_exchange.is_stock_tradable(stock_id=code, trade_date=trade_date):
continue
# buy order