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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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24
qlib/workflow/record_temp.py
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@@ -15,7 +15,7 @@ from ..data.dataset.handler import DataHandlerLP
from ..utils import init_instance_by_config, get_module_by_module_path
from ..log import get_module_logger
from ..utils import flatten_dict
from ..utils.sample import parse_freq
from ..utils.resam import parse_freq
from ..strategy.base import BaseStrategy
from ..contrib.eva.alpha import calc_ic, calc_long_short_return
@@ -291,8 +291,8 @@ class PortAnaRecord(RecordTemp):
"""
config["strategy"] : dict
define the strategy class as well as the kwargs.
config["env"] : dict
define the env class as well as the kwargs.
config["executor"] : dict
define the executor class as well as the kwargs.
config["backtest"] : dict
define the backtest kwargs.
risk_analysis_freq : int
@@ -301,24 +301,26 @@ class PortAnaRecord(RecordTemp):
super().__init__(recorder=recorder, **kwargs)
self.strategy_config = config["strategy"]
self.env_config = config["env"]
self.executor_config = config["executor"]
self.backtest_config = config["backtest"]
_count, _freq = parse_freq(risk_analysis_freq)
self.risk_analysis_freq = f"{_count}{_freq}"
self.report_freq = self._get_report_freq(self.env_config)
self.report_freq = self._get_report_freq(self.executor_config)
def _get_report_freq(self, env_config):
def _get_report_freq(self, executor_config):
ret_freq = []
if env_config["kwargs"].get("generate_report", False):
_count, _freq = parse_freq(env_config["kwargs"]["step_bar"])
if executor_config["kwargs"].get("generate_report", False):
_count, _freq = parse_freq(executor_config["kwargs"]["step_bar"])
ret_freq.append(f"{_count}{_freq}")
if "sub_env" in env_config["kwargs"]:
ret_freq.extend(self._get_report_freq(env_config["kwargs"]["sub_env"]))
if "sub_env" in executor_config["kwargs"]:
ret_freq.extend(self._get_report_freq(executor_config["kwargs"]["sub_env"]))
return ret_freq
def generate(self, **kwargs):
# custom strategy and get backtest
report_dict = normal_backtest(env=self.env_config, strategy=self.strategy_config, **self.backtest_config)
report_dict = normal_backtest(
executor=self.executor_config, strategy=self.strategy_config, **self.backtest_config
)
for report_freq, (report_normal, positions_normal) in report_dict.items():
self.recorder.save_objects(
**{f"report_normal_{report_freq}.pkl": report_normal}, artifact_path=PortAnaRecord.get_path()