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fix bugs & add highfreq backtest example

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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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qlib/utils/resam.py
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@@ -288,11 +288,13 @@ def resam_ts_data(
from ..data.dataset.utils import get_level_index
feature = lazy_sort_index(ts_feature)
datetime_level = get_level_index(feature, level="datetime") == 0
if datetime_level:
feature = feature.loc[selector_datetime]
else:
feature = feature.loc[(slice(None), selector_datetime)]
if feature.empty:
return None
if isinstance(feature.index, pd.MultiIndex):