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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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10
qlib/contrib/strategy/rule_strategy.py
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@@ -414,12 +414,12 @@ class SBBStrategyEMA(SBBStrategyBase):
# if EMA signal > 0, return long trend
elif _sample_signal.iloc[0] > 0:
return self.TREND_LONG
# if EMA signal > 0, return short trend
# if EMA signal < 0, return short trend
else:
return self.TREND_SHORT
class VAStrategy(BaseStrategy):
class ACStrategy(BaseStrategy):
def __init__(
self,
lamb: float = 1e-6,
@@ -451,7 +451,7 @@ class VAStrategy(BaseStrategy):
if isinstance(instruments, str):
self.instruments = D.instruments(instruments)
self.freq = freq
super(VAStrategy, self).__init__(outer_trade_decision, level_infra, common_infra, **kwargs)
super(ACStrategy, self).__init__(outer_trade_decision, level_infra, common_infra, **kwargs)
if trade_exchange is not None:
self.trade_exchange = trade_exchange
@@ -483,7 +483,7 @@ class VAStrategy(BaseStrategy):
- It should include `trade_account`, used to get position
- It should include `trade_exchange`, used to provide market info
"""
super(VAStrategy, self).reset_common_infra(common_infra)
super(ACStrategy, self).reset_common_infra(common_infra)
if common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
@@ -508,7 +508,7 @@ class VAStrategy(BaseStrategy):
----------
outer_trade_decision : List[Order], optional
"""
super(VAStrategy, self).reset(outer_trade_decision=outer_trade_decision, **kwargs)
super(ACStrategy, self).reset(outer_trade_decision=outer_trade_decision, **kwargs)
if outer_trade_decision is not None:
self.trade_amount = {}
# init the trade amount of order and predicted trade trend