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optimize_CI (#1314)

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Linlang
2022-10-20 08:38:05 +08:00
committed by GitHub
parent 3c62d131a5
commit 1861c8edaf
11 changed files with 70 additions and 78 deletions
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16
tests/test_dataset.py
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@@ -19,10 +19,10 @@ class TestDataset(TestAutoData):
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": {
"start_time": "2008-01-01",
"start_time": "2017-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"fit_start_time": "2017-01-01",
"fit_end_time": "2017-12-31",
"instruments": "csi300",
"infer_processors": [
{"class": "FilterCol", "kwargs": {"col_list": ["RESI5", "WVMA5", "RSQR5"]}},
@@ -36,9 +36,9 @@ class TestDataset(TestAutoData):
},
},
segments={
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
"train": ("2017-01-01", "2017-12-31"),
"valid": ("2018-01-01", "2018-12-31"),
"test": ("2019-01-01", "2020-08-01"),
},
)
tsds_train = tsdh.prepare("train", data_key=DataHandlerLP.DK_L) # Test the correctness
@@ -63,13 +63,13 @@ class TestDataset(TestAutoData):
tsds[len(tsds) - 1]
# 2) sample by <datetime,instrument> index
data_from_ds = tsds["2016-12-31", "SZ300315"]
data_from_ds = tsds["2017-12-31", "SZ300315"]
# Check the data
# Get data from DataFrame Directly
data_from_df = (
tsdh.handler.fetch(data_key=DataHandlerLP.DK_L)
.loc(axis=0)["2015-01-01":"2016-12-31", "SZ300315"]
.loc(axis=0)["2017-01-01":"2017-12-31", "SZ300315"]
.iloc[-30:]
.values
)