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fix comments

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This commit is contained in:
bxdd
2021-05-25 02:38:34 +08:00
parent eaa719df17
commit 0c6e505455
24 changed files with 855 additions and 978 deletions
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11
qlib/contrib/evaluate.py
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@@ -3,6 +3,7 @@
from __future__ import division
from __future__ import print_function
from logging import warn
import numpy as np
import pandas as pd
@@ -10,7 +11,7 @@ import warnings
from ..log import get_module_logger
from .backtest import get_exchange, backtest as backtest_func
from ..utils import get_date_range
from ..utils.sample import parse_freq
from ..utils.resam import parse_freq
from ..data import D
from ..config import C
@@ -20,7 +21,7 @@ from ..data.dataset.utils import get_level_index
logger = get_module_logger("Evaluate")
def risk_analysis(r, N: int = None, freq: str = None):
def risk_analysis(r, N: int = None, freq: str = "day"):
"""Risk Analysis
Parameters
@@ -36,8 +37,8 @@ def risk_analysis(r, N: int = None, freq: str = None):
def cal_risk_analysis_scaler(freq):
_count, _freq = parse_freq(freq)
_freq_scaler = {
"minute": 240 * 250,
"day": 250,
"minute": 240 * 252,
"day": 252,
"week": 50,
"month": 12,
}
@@ -45,6 +46,8 @@ def risk_analysis(r, N: int = None, freq: str = None):
if N is None and freq is None:
raise ValueError("at least one of `N` and `freq` should exist")
if N is not None and freq is not None:
warnings.warn("risk_analysis freq will be ignored")
if N is None:
N = cal_risk_analysis_scaler(freq)