liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-10 14:26:56 +08:00
Code Activity

refine docs

Browse Source
This commit is contained in:
Young
2020-11-30 04:21:33 +00:00
committed by you-n-g
parent 4caddb24ad
commit 1877ad8c39
8 changed files with 47 additions and 44 deletions
Download Patch File Download Diff File Expand all files Collapse all files

34
docs/component/backtest.rst
View File

@@ -13,7 +13,7 @@ Introduction
.. note::
``Intraday Trading`` uses ``Order Executor`` to trade and execute orders output by ``Interday Strategy``. ``Order Executor`` is a component in `Qlib Framework <../introduction/introduction.html#framework>`_, which can execute orders. ``Vwap Executor`` and ``Close Executor`` is supported by ``Qlib`` now. In the future, ``Qlib`` will support ``HighFreq Executor`` also.
``Intraday Trading`` uses ``Order Executor`` to trade and execute orders output by ``Portfolio Strategy``. ``Order Executor`` is a component in `Qlib Framework <../introduction/introduction.html#framework>`_, which can execute orders. ``VWAP Executor`` and ``Close Executor`` is supported by ``Qlib`` now. In the future, ``Qlib`` will support ``HighFreq Executor`` also.
@@ -32,34 +32,34 @@ The simple example of the default strategy is as follows.
# pred_score is the prediction score
report, positions = backtest(pred_score, topk=50, n_drop=0.5, verbose=False, limit_threshold=0.0095)
To know more about backtesting with a specific ``Strategy``, please refer to `Strategy <strategy.html>`_.
To know more about backtesting with a specific ``Strategy``, please refer to `Portfolio Strategy <strategy.html>`_.
To know more about the prediction score `pred_score` output by ``Interday Model``, please refer to `Interday Model: Model Training & Prediction <model.html>`_.
To know more about the prediction score `pred_score` output by ``Forecast Model``, please refer to `Forecast Model: Model Training & Prediction <model.html>`_.
Prediction Score
-----------------
The `prediction score` is a pandas DataFrame. Its index is <instrument(str), datetime(pd.Timestamp)> and it must
The `prediction score` is a pandas DataFrame. Its index is <datetime(pd.Timestamp), instrument(str)> and it must
contains a `score` column.
A prediction sample is shown as follows.
.. code-block:: python
instrument datetime score
SH600000 2019-01-04 -0.505488
SZ002531 2019-01-04 -0.320391
SZ000999 2019-01-04 0.583808
SZ300569 2019-01-04 0.819628
SZ001696 2019-01-04 -0.137140
... ...
SZ000996 2019-04-30 -1.027618
SH603127 2019-04-30 0.225677
SH603126 2019-04-30 0.462443
SH603133 2019-04-30 -0.302460
SZ300760 2019-04-30 -0.126383
datetime instrument score
2019-01-04 SH600000 -0.505488
2019-01-04 SZ002531 -0.320391
2019-01-04 SZ000999 0.583808
2019-01-04 SZ300569 0.819628
2019-01-04 SZ001696 -0.137140
... ...
2019-04-30 SZ000996 -1.027618
2019-04-30 SH603127 0.225677
2019-04-30 SH603126 0.462443
2019-04-30 SH603133 -0.302460
2019-04-30 SZ300760 -0.126383
``Interday Model`` module can make predictions, please refer to `Interday Model: Model Training & Prediction <model.html>`_.
``Forecast Model`` module can make predictions, please refer to `Forecast Model: Model Training & Prediction <model.html>`_.
Backtest Result
------------------