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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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65
qlib/workflow/record_temp.py
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@@ -299,8 +299,8 @@ class PortAnaRecord(RecordTemp):
self,
recorder,
config,
risk_analysis_freq: Union[List, str] = [],
indicator_analysis_freq: Union[List, str] = [],
risk_analysis_freq: Union[List, str] = None,
indicator_analysis_freq: Union[List, str] = None,
indicator_analysis_method=None,
**kwargs,
):
@@ -321,8 +321,23 @@ class PortAnaRecord(RecordTemp):
super().__init__(recorder=recorder, **kwargs)
self.strategy_config = config["strategy"]
self.executor_config = config["executor"]
_default_executor_config = {
"class": "SimulatorExecutor",
"module_path": "qlib.backtest.executor",
"kwargs": {
"time_per_step": "day",
"generate_report": True,
},
}
self.executor_config = config.get("executor", _default_executor_config)
self.backtest_config = config["backtest"]
self.all_freq = self._get_report_freq(self.executor_config)
if risk_analysis_freq is None:
risk_analysis_freq = [self.all_freq[0]]
if indicator_analysis_freq is None:
indicator_analysis_freq = [self.all_freq[0]]
if isinstance(risk_analysis_freq, str):
risk_analysis_freq = [risk_analysis_freq]
if isinstance(indicator_analysis_freq, str):
@@ -335,7 +350,6 @@ class PortAnaRecord(RecordTemp):
"{0}{1}".format(*parse_freq(_analysis_freq)) for _analysis_freq in indicator_analysis_freq
]
self.indicator_analysis_method = indicator_analysis_method
self.all_freq = self._get_report_freq(self.executor_config)
def _get_report_freq(self, executor_config):
ret_freq = []
@@ -399,21 +413,26 @@ class PortAnaRecord(RecordTemp):
pprint(analysis["excess_return_with_cost"])
for _analysis_freq in self.indicator_analysis_freq:
indicators_normal = indicator_dict.get(_analysis_freq)
if self.indicator_analysis_method is None:
analysis_df = indicator_analysis(indicators_normal)
if _analysis_freq not in indicator_dict:
warnings.warn(f"the freq {_analysis_freq} indicator is not found")
else:
analysis_df = indicator_analysis(indicators_normal, method=self.indicator_analysis_method)
# log metrics
analysis_dict = analysis_df["value"].to_dict()
self.recorder.log_metrics(**{f"{_analysis_freq}.{k}": v for k, v in analysis_dict.items()})
# save results
self.recorder.save_objects(
**{f"indicator_analysis_{_analysis_freq}.pkl": analysis_df}, artifact_path=PortAnaRecord.get_path()
)
pprint(f"The following are analysis results of indicators({_analysis_freq}).")
pprint(analysis_df)
indicators_normal = indicator_dict.get(_analysis_freq)
if self.indicator_analysis_method is None:
analysis_df = indicator_analysis(indicators_normal)
else:
analysis_df = indicator_analysis(indicators_normal, method=self.indicator_analysis_method)
# log metrics
analysis_dict = analysis_df["value"].to_dict()
self.recorder.log_metrics(**{f"{_analysis_freq}.{k}": v for k, v in analysis_dict.items()})
# save results
self.recorder.save_objects(
**{f"indicator_analysis_{_analysis_freq}.pkl": analysis_df}, artifact_path=PortAnaRecord.get_path()
)
logger.info(
f"Indicator analysis record 'indicator_analysis_{_analysis_freq}.pkl' has been saved as the artifact of the Experiment {self.recorder.experiment_id}"
)
pprint(f"The following are analysis results of indicators({_analysis_freq}).")
pprint(analysis_df)
def list(self):
list_path = []
@@ -424,10 +443,16 @@ class PortAnaRecord(RecordTemp):
PortAnaRecord.get_path(f"positions_normal_{_freq}.pkl"),
]
)
for _analysis_freq in self.risk_analysis_freq:
if _analysis_freq in self.all_freq:
list_path.append(PortAnaRecord.get_path(f"port_analysis_{_analysis_freq}.pkl"))
else:
warnings.warn(f"{_analysis_freq} is not found")
warnings.warn(f"risk_analysis freq {_analysis_freq} is not found")
for _analysis_freq in self.indicator_analysis_freq:
if _analysis_freq in self.all_freq:
list_path.append(PortAnaRecord.get_path(f"indicator_analysis_{_analysis_freq}.pkl"))
else:
warnings.warn(f"indicator_analysis freq {_analysis_freq} is not found")
return list_path