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update backtest

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This commit is contained in:
bxdd
2021-01-18 21:25:04 +09:00
committed by you-n-g
parent 917261dbf6
commit 0e0970f06e
5 changed files with 97 additions and 269 deletions
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7
qlib/workflow/record_temp.py
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@@ -241,9 +241,14 @@ class PortAnaRecord(SignalRecord):
# custom strategy and get backtest
pred_score = super().load()
report_normal, positions_normal = normal_backtest(pred_score, strategy=self.strategy, **self.backtest_config)
report_dict = normal_backtest(pred_score, strategy=self.strategy, **self.backtest_config)
report_normal = report_dict.get("report_df")
positions_normal = report_dict.get("positions")
self.recorder.save_objects(**{"report_normal.pkl": report_normal}, artifact_path=PortAnaRecord.get_path())
self.recorder.save_objects(**{"positions_normal.pkl": positions_normal}, artifact_path=PortAnaRecord.get_path())
order_normal = report_dict.get("order_list")
if order_normal:
self.recorder.save_objects(**{"order_normal.pkl": order_normal}, artifact_path=PortAnaRecord.get_path())
# analysis
analysis = dict()