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add default executor config & update bug in indicator

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This commit is contained in:
bxdd
2021-06-24 13:59:10 +00:00
parent ab97e82484
commit 1517a9eb91
8 changed files with 123 additions and 91 deletions
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46
examples/nested_decision_execution/workflow.py
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@@ -64,22 +64,41 @@ class NestedDecisonExecutionWorkflow:
"class": "NestedExecutor",
"module_path": "qlib.backtest.executor",
"kwargs": {
"time_per_step": "week",
"time_per_step": "day",
"inner_executor": {
"class": "SimulatorExecutor",
"class": "NestedExecutor",
"module_path": "qlib.backtest.executor",
"kwargs": {
"time_per_step": "day",
"time_per_step": "30min",
"inner_executor": {
"class": "SimulatorExecutor",
"module_path": "qlib.backtest.executor",
"kwargs": {
"time_per_step": "5min",
"generate_report": True,
"verbose": True,
"indicator_config": {
"show_indicator": True,
},
},
},
"inner_strategy": {
"class": "TWAPStrategy",
"module_path": "qlib.contrib.strategy.rule_strategy",
},
"generate_report": True,
"verbose": True,
"indicator_config": {
"show_indicator": True,
},
},
},
"inner_strategy": {
"class": "TWAPStrategy",
"class": "SBBStrategyEMA",
"module_path": "qlib.contrib.strategy.rule_strategy",
"kwargs": {
"instruments": market,
"freq": "1min",
},
},
"track_data": True,
"generate_report": True,
@@ -92,9 +111,8 @@ class NestedDecisonExecutionWorkflow:
"start_time": "2020-01-01",
"end_time": "2020-12-31",
"account": 100000000,
"benchmark": benchmark,
"exchange_kwargs": {
"freq": "day",
"freq": "1min",
"limit_threshold": 0.095,
"deal_price": "close",
"open_cost": 0.0005,
@@ -106,14 +124,14 @@ class NestedDecisonExecutionWorkflow:
def _init_qlib(self):
"""initialize qlib"""
provider_uri_day = "/data1/v-xiabi/qlib/qlib_data/cn_data" # target_dir
# provider_uri_day = "/data/stock_data/huaxia/qlib"
# provider_uri_1min = "/data2/stock_data/huaxia_1min_qlib"
provider_uri_day = "~/.qlib/qlib_data/cn_data" # target_dir
GetData().qlib_data(target_dir=provider_uri_day, region=REG_CN, version="v2", exists_skip=True)
# provider_uri_1min = HIGH_FREQ_CONFIG.get("provider_uri")
provider_uri_1min = "/data1/v-xiabi/qlib/qlib_data/cn_data_highfreq"
provider_uri_1min = HIGH_FREQ_CONFIG.get("provider_uri")
GetData().qlib_data(
target_dir=provider_uri_1min, interval="1min", region=REG_CN, version="v2", exists_skip=True
)
provider_uri_day = "/data/csdesign/qlib"
provider_uri_map = {"1min": provider_uri_1min, "day": provider_uri_day}
client_config = {
"calendar_provider": {
@@ -139,7 +157,7 @@ class NestedDecisonExecutionWorkflow:
},
},
}
qlib.init(provider_uri=provider_uri_day, **client_config)
qlib.init(provider_uri=provider_uri_day, **client_config, redis_port=-1)
def _train_model(self, model, dataset):
with R.start(experiment_name="train"):
@@ -177,8 +195,8 @@ class NestedDecisonExecutionWorkflow:
par = PortAnaRecord(
recorder,
self.port_analysis_config,
risk_analysis_freq=["week", "day"],
indicator_analysis_freq=["week", "day"],
risk_analysis_freq=["day", "30min", "5min"],
indicator_analysis_freq=["day", "30min", "5min"],
indicator_analysis_method="value_weighted",
)
par.generate()