liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-15 16:56:54 +08:00
Code Activity

move the pa sign from last step to first

Browse Source
This commit is contained in:
Young
2021-07-09 10:33:41 +00:00
parent ece7b662e2
commit 155019ba35
1 changed files with 13 additions and 3 deletions
Download Patch File Download Diff File Expand all files Collapse all files

16
qlib/backtest/report.py
View File

@@ -466,7 +466,10 @@ class Indicator:
def _agg_order_price_advantage(self): def _agg_order_price_advantage(self):
if not self.order_indicator["trade_price"].empty: if not self.order_indicator["trade_price"].empty:
self.order_indicator["pa"] = self.order_indicator["trade_price"] / self.order_indicator["base_price"] - 1 sign = 1 - self.order_indicator["trade_dir"] * 2
self.order_indicator["pa"] = sign * (
self.order_indicator["trade_price"] / self.order_indicator["base_price"] - 1
)
else: else:
self.order_indicator["pa"] = pd.Series() self.order_indicator["pa"] = pd.Series()
@@ -498,7 +501,11 @@ class Indicator:
raise ValueError(f"method {method} is not supported!") raise ValueError(f"method {method} is not supported!")
def _cal_trade_price_advantage(self, method="mean"): def _cal_trade_price_advantage(self, method="mean"):
pa_order = self.order_indicator["pa"] * (1 - self.order_indicator["trade_dir"] * 2) pa_order = self.order_indicator["pa"]
if isinstance(pa_order, (int, float)):
# pa from atomic executor
return pa_order
if method == "mean": if method == "mean":
return pa_order.mean() return pa_order.mean()
elif method == "amount_weighted": elif method == "amount_weighted":
@@ -511,7 +518,10 @@ class Indicator:
raise ValueError(f"method {method} is not supported!") raise ValueError(f"method {method} is not supported!")
def _cal_trade_positive_rate(self): def _cal_trade_positive_rate(self):
pa_order = self.order_indicator["pa"] * (2 * (self.order_indicator["amount"] < 0).astype(int) - 1) pa_order = self.order_indicator["pa"]
if isinstance(pa_order, (int, float)):
# pa from atomic executor
return pa_order
return (pa_order > 0).astype(int).sum() / pa_order.count() return (pa_order > 0).astype(int).sum() / pa_order.count()
def _cal_trade_amount(self): def _cal_trade_amount(self):