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fix bugs & add highfreq backtest example

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This commit is contained in:
bxdd
2021-05-28 22:29:21 +08:00
parent 6a636546c4
commit 029b63c9dd
8 changed files with 168 additions and 42 deletions
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3
qlib/contrib/strategy/model_strategy.py
View File

@@ -93,6 +93,9 @@ class TopkDropoutStrategy(ModelStrategy):
trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
pred_start_time, pred_end_time = self.trade_calendar.get_step_time(trade_step, shift=1)
pred_score = resam_ts_data(self.pred_scores, start_time=pred_start_time, end_time=pred_end_time, method="last")
print(
trade_step, pred_start_time, pred_end_time, trade_start_time, trade_end_time, pred_score, self.pred_scores
)
if pred_score is None:
return []
if self.only_tradable:

56
qlib/contrib/strategy/rule_strategy.py
View File

@@ -53,7 +53,7 @@ class TWAPStrategy(BaseStrategy):
outer_trade_decision : object, optional
"""
super(TWAPStrategy, self).reset(outer_trade_decision=outer_trade_decision, common_infra=common_infra, **kwargs)
super(TWAPStrategy, self).reset(outer_trade_decision=outer_trade_decision, **kwargs)
if outer_trade_decision is not None:
self.trade_amount = {}
for order in outer_trade_decision:
@@ -73,21 +73,24 @@ class TWAPStrategy(BaseStrategy):
trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
order_list = []
for order in self.outer_trade_decision:
# if not tradable, continue
if not self.trade_exchange.is_stock_tradable(
stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time
):
continue
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(order.factor)
_order_amount = None
# consider trade unit
# considering trade unit
if _amount_trade_unit is None:
# divide the order equally
# divide the order into equal parts, and trade one part
_order_amount = self.trade_amount[(order.stock_id, order.direction)] / (trade_len - trade_step + 1)
# without considering trade unit
elif self.trade_amount[(order.stock_id, order.direction)] >= _amount_trade_unit:
# divide the order equally
# floor((trade_unit_cnt + trade_len - trade_step) / (trade_len - trade_step + 1)) == ceil(trade_unit_cnt / (trade_len - trade_step + 1))
# divide the order into equal parts, and trade one part
# calculate the total count of trade units to trade
trade_unit_cnt = int(self.trade_amount[(order.stock_id, order.direction)] // _amount_trade_unit)
# calculate the amount of one part, ceil the amount
# floor((trade_unit_cnt + trade_len - trade_step) / (trade_len - trade_step + 1)) == ceil(trade_unit_cnt / (trade_len - trade_step + 1))
_order_amount = (
(trade_unit_cnt + trade_len - trade_step) // (trade_len - trade_step + 1) * _amount_trade_unit
)
@@ -144,6 +147,14 @@ class SBBStrategyBase(BaseStrategy):
self.trade_exchange = trade_exchange
def reset_common_infra(self, common_infra):
"""
Parameters
----------
common_infra : dict, optional
common infrastructure for backtesting, by default None
- It should include `trade_account`, used to get position
- It should include `trade_exchange`, used to provide market info
"""
super(SBBStrategyBase, self).reset_common_infra(common_infra)
if common_infra is not None:
if "trade_exchange" in common_infra:
@@ -154,10 +165,6 @@ class SBBStrategyBase(BaseStrategy):
Parameters
----------
outer_trade_decision : object, optional
common_infra : None, optional
common infrastructure for backtesting, by default None
- It should include `trade_account`, used to get position
- It should include `trade_exchange`, used to provide market info
"""
super(SBBStrategyBase, self).reset(outer_trade_decision=outer_trade_decision, **kwargs)
if outer_trade_decision is not None:
@@ -186,10 +193,12 @@ class SBBStrategyBase(BaseStrategy):
order_list = []
# for each order in in self.outer_trade_decision
for order in self.outer_trade_decision:
# predict the price trend
# get the price trend
if trade_step % 2 == 0:
# in the first of two adjacent bars, predict the price trend
_pred_trend = self._pred_price_trend(order.stock_id, pred_start_time, pred_end_time)
else:
# in the second of two adjacent bars, use the trend predicted in the first one
_pred_trend = self.trade_trend[(order.stock_id, order.direction)]
# if not tradable, continue
if not self.trade_exchange.is_stock_tradable(
@@ -204,13 +213,14 @@ class SBBStrategyBase(BaseStrategy):
_order_amount = None
# considering trade unit
if _amount_trade_unit is None:
# divide the order equally
# divide the order into equal parts, and trade one part
_order_amount = self.trade_amount[(order.stock_id, order.direction)] / (trade_len - trade_step)
# without considering trade unit
elif self.trade_amount[(order.stock_id, order.direction)] >= _amount_trade_unit:
# cal how many trade unit
# divide the order into equal parts, and trade one part
# calculate the total count of trade units to trade
trade_unit_cnt = int(self.trade_amount[(order.stock_id, order.direction)] // _amount_trade_unit)
# divide the order equally
# calculate the amount of one part, ceil the amount
# floor((trade_unit_cnt + trade_len - trade_step - 1) / (trade_len - trade_step)) == ceil(trade_unit_cnt / (trade_len - trade_step))
_order_amount = (
(trade_unit_cnt + trade_len - trade_step - 1) // (trade_len - trade_step) * _amount_trade_unit
@@ -262,9 +272,9 @@ class SBBStrategyBase(BaseStrategy):
if _order_amount:
_order_amount = min(_order_amount, self.trade_amount[(order.stock_id, order.direction)])
if trade_step % 2 == 0:
# in the first of two adjacent bar
# in the first one of two adjacent bars
# if look short on the price, sell the stock more
# if look long on the price, sell the stock more
# if look long on the price, buy the stock more
if (
_pred_trend == self.TREND_SHORT
and order.direction == order.SELL
@@ -281,7 +291,7 @@ class SBBStrategyBase(BaseStrategy):
)
order_list.append(_order)
else:
# in the second of two adjacent bar
# in the second one of two adjacent bars
# if look short on the price, buy the stock more
# if look long on the price, sell the stock more
if (
@@ -301,6 +311,7 @@ class SBBStrategyBase(BaseStrategy):
order_list.append(_order)
if trade_step % 2 == 0:
# in the first one of two adjacent bars, store the trend for the second one to use
self.trade_trend[(order.stock_id, order.direction)] = _pred_trend
return order_list
@@ -328,7 +339,7 @@ class SBBStrategyEMA(SBBStrategyBase):
instruments of EMA signal, by default "csi300"
freq : str, optional
freq of EMA signal, by default "day"
Note: `freq` may be different from `steb_bar`
Note: `freq` may be different from `time_per_step`
"""
if instruments is None:
warnings.warn("`instruments` is not set, will load all stocks")
@@ -349,8 +360,10 @@ class SBBStrategyEMA(SBBStrategyBase):
signal_df = convert_index_format(signal_df)
signal_df.columns = ["signal"]
self.signal = {}
for stock_id, stock_val in signal_df.groupby(level="instrument"):
self.signal[stock_id] = stock_val
if not signal_df.empty:
for stock_id, stock_val in signal_df.groupby(level="instrument"):
self.signal[stock_id] = stock_val
def reset_level_infra(self, level_infra):
"""
@@ -367,16 +380,19 @@ class SBBStrategyEMA(SBBStrategyBase):
self._reset_signal()
def _pred_price_trend(self, stock_id, pred_start_time=None, pred_end_time=None):
# if no signal, return mid trend
if stock_id not in self.signal:
return self.TREND_MID
else:
_sample_signal = resam_ts_data(
self.signal[stock_id]["signal"], pred_start_time, pred_end_time, method="last"
)
# if EMA signal == 0 or None, return mid trend
if _sample_signal is None or _sample_signal.iloc[0] == 0:
return self.TREND_MID
# if EMA signal > 0, return long trend
elif _sample_signal.iloc[0] > 0:
return self.TREND_LONG
# if EMA signal > 0, return short trend
else:
return self.TREND_SHORT