liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-11 06:46:56 +08:00
Code Activity

fix comments

Browse Source
This commit is contained in:
bxdd
2021-05-13 00:33:57 +08:00
parent 621cb243c2
commit 07eaada31e
14 changed files with 294 additions and 185 deletions
Download Patch File Download Diff File Expand all files Collapse all files

4
qlib/workflow/record_temp.py
View File

@@ -335,10 +335,10 @@ class PortAnaRecord(RecordTemp):
report_normal, _ = report_dict.get(self.risk_analysis_freq)
analysis = dict()
analysis["excess_return_without_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"], self.risk_analysis_freq
report_normal["return"] - report_normal["bench"], freq=self.risk_analysis_freq
)
analysis["excess_return_with_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"] - report_normal["cost"], self.risk_analysis_freq
report_normal["return"] - report_normal["bench"] - report_normal["cost"], freq=self.risk_analysis_freq
)
analysis_df = pd.concat(analysis) # type: pd.DataFrame
# log metrics