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black format & add comments & add randStrategy direction

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This commit is contained in:
Young
2021-06-28 08:16:51 +00:00
committed by you-n-g
parent 72c9593aa7
commit 27f0db669f
13 changed files with 132 additions and 102 deletions
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69
qlib/backtest/__init__.py
View File

@@ -92,7 +92,9 @@ def get_exchange(
return init_instance_by_config(exchange, accept_types=Exchange)
def create_account_instance(start_time, end_time, benchmark: str, account: float, pos_type: str="Position") -> Account:
def create_account_instance(
start_time, end_time, benchmark: str, account: float, pos_type: str = "Position"
) -> Account:
"""
# TODO: is very strange pass benchmark_config in the account(maybe for report)
# There should be a post-step to process the report.
@@ -119,26 +121,25 @@ def create_account_instance(start_time, end_time, benchmark: str, account: float
"start_time": start_time,
"end_time": end_time,
},
"pos_type": pos_type
"pos_type": pos_type,
}
return Account(**kwargs)
def get_strategy_executor(start_time,
end_time,
strategy: BaseStrategy,
executor: BaseExecutor,
benchmark: str = "SH000300",
account: Union[float, str] = 1e9,
exchange_kwargs: dict = {},
pos_type: str = "Position",
):
def get_strategy_executor(
start_time,
end_time,
strategy: BaseStrategy,
executor: BaseExecutor,
benchmark: str = "SH000300",
account: Union[float, str] = 1e9,
exchange_kwargs: dict = {},
pos_type: str = "Position",
):
trade_account = create_account_instance(start_time=start_time,
end_time=end_time,
benchmark=benchmark,
account=account,
pos_type=pos_type)
trade_account = create_account_instance(
start_time=start_time, end_time=end_time, benchmark=benchmark, account=account, pos_type=pos_type
)
exchange_kwargs = copy.copy(exchange_kwargs)
if "start_time" not in exchange_kwargs:
@@ -154,14 +155,16 @@ def get_strategy_executor(start_time,
return trade_strategy, trade_executor
def backtest(start_time,
end_time,
strategy,
executor,
benchmark="SH000300",
account=1e9,
exchange_kwargs={},
pos_type: str = "Position"):
def backtest(
start_time,
end_time,
strategy,
executor,
benchmark="SH000300",
account=1e9,
exchange_kwargs={},
pos_type: str = "Position",
):
trade_strategy, trade_executor = get_strategy_executor(
start_time,
@@ -178,14 +181,16 @@ def backtest(start_time,
return report_dict, indicator_dict
def collect_data(start_time,
end_time,
strategy,
executor,
benchmark="SH000300",
account=1e9,
exchange_kwargs={},
pos_type: str = "Position"):
def collect_data(
start_time,
end_time,
strategy,
executor,
benchmark="SH000300",
account=1e9,
exchange_kwargs={},
pos_type: str = "Position",
):
trade_strategy, trade_executor = get_strategy_executor(
start_time,

18
qlib/backtest/account.py
View File

@@ -63,7 +63,9 @@ class AccumulatedInfo:
class Account:
def __init__(self, init_cash: float=1e9, freq: str = "day", benchmark_config: dict = {}, pos_type:str = "Position"):
def __init__(
self, init_cash: float = 1e9, freq: str = "day", benchmark_config: dict = {}, pos_type: str = "Position"
):
self.pos_type = pos_type
self.init_vars(init_cash, freq, benchmark_config)
@@ -71,13 +73,13 @@ class Account:
# init cash
self.init_cash = init_cash
self.current: BasePosition = init_instance_by_config({
'class': self.pos_type,
'kwargs': {
"cash": init_cash
},
'module_path': "qlib.backtest.position",
})
self.current: BasePosition = init_instance_by_config(
{
"class": self.pos_type,
"kwargs": {"cash": init_cash},
"module_path": "qlib.backtest.position",
}
)
self.accum_info = AccumulatedInfo()
self.reset(freq=freq, benchmark_config=benchmark_config, init_report=True)

6
qlib/backtest/backtest.py
View File

@@ -23,7 +23,9 @@ def backtest_loop(start_time, end_time, trade_strategy: BaseStrategy, trade_exec
return return_value.get("report"), return_value.get("indicator")
def collect_data_loop(start_time, end_time, trade_strategy: BaseStrategy, trade_executor: BaseExecutor, return_value: dict = None):
def collect_data_loop(
start_time, end_time, trade_strategy: BaseStrategy, trade_executor: BaseExecutor, return_value: dict = None
):
"""Generator for collecting the trade decision data for rl training
Parameters
@@ -68,7 +70,7 @@ def collect_data_loop(start_time, end_time, trade_strategy: BaseStrategy, trade_
}
all_indicators = {}
for _executor in all_executors:
key = "{}{}".format( *Freq.parse(_executor.time_per_step))
key = "{}{}".format(*Freq.parse(_executor.time_per_step))
all_indicators[key] = _executor.get_trade_indicator().generate_trade_indicators_dataframe()
all_indicators[key + "_obj"] = _executor.get_trade_indicator()
return_value.update({"report": all_reports, "indicator": all_indicators})

9
qlib/backtest/order.py
View File

@@ -2,8 +2,10 @@
# Licensed under the MIT License.
# TODO: rename it with decision.py
from __future__ import annotations
# try to fix circular imports when enabling type hints
from typing import TYPE_CHECKING
if TYPE_CHECKING:
from qlib.strategy.base import BaseStrategy
from qlib.backtest.utils import TradeCalendarManager
@@ -59,6 +61,7 @@ class BaseTradeDecision:
1. The outer strategy's decision is available at the start of the interval
2. Same as `case 1.3`
"""
def __init__(self, strategy: BaseStrategy):
"""
Parameters
@@ -125,7 +128,8 @@ class TradeDecisionWO(BaseTradeDecision):
Trade Decision (W)ith (O)rder.
Besides, the time_range is also included.
"""
def __init__(self, order_list: List[Order], strategy: BaseStrategy, idx_range: Tuple=None):
def __init__(self, order_list: List[Order], strategy: BaseStrategy, idx_range: Tuple = None):
super().__init__(strategy)
self.order_list = order_list
self.idx_range = idx_range
@@ -198,8 +202,7 @@ class TradeDecisionWithOrderPool:
class BaseDecisionUpdater:
def update_decision(self, decision, trade_calendar) -> BaseTradeDecision:
"""[summary]
"""
Parameters
----------
decision : BaseTradeDecision

9
qlib/backtest/position.py
View File

@@ -15,7 +15,8 @@ class BasePosition:
The Position want to maintain the position like a dictionary
Please refer to the `Position` class for the position
"""
def __init__(self, cash=0., *args, **kwargs) -> None:
def __init__(self, cash=0.0, *args, **kwargs) -> None:
pass
def skip_update(self) -> bool:
@@ -46,7 +47,6 @@ class BasePosition:
"""
raise NotImplementedError(f"Please implement the `check_stock` method")
def update_order(self, order: Order, trade_val: float, cost: float, trade_price: float):
"""
Parameters
@@ -86,6 +86,7 @@ class BasePosition:
the value(money) of all the stock
"""
raise NotImplementedError(f"Please implement the `calculate_stock_value` method")
def get_stock_list(self) -> List:
"""
Get the list of stocks in the position.
@@ -140,7 +141,7 @@ class BasePosition:
"""
raise NotImplementedError(f"Please implement the `get_stock_amount_dict` method")
def get_stock_weight_dict(self, only_stock: bool=False) -> Dict:
def get_stock_weight_dict(self, only_stock: bool = False) -> Dict:
"""
generate stock weight dict {stock_id : value weight of stock in the position}
it is meaningful in the beginning or the end of each trade date
@@ -399,13 +400,13 @@ class Position(BasePosition):
self.position["now_account_value"] = now_account_value
class InfPosition(BasePosition):
"""
Position with infinite cash and amount.
This is useful for generating random orders.
"""
def skip_update(self) -> bool:
""" Updating state is meaningless for InfPosition """
return True

5
qlib/backtest/report.py
View File

@@ -18,7 +18,7 @@ from ..tests.config import CSI300_BENCH
class Report:
'''
"""
Motivation:
Report is for supporting portfolio related metrics.
@@ -26,7 +26,8 @@ class Report:
daily report of the account
contain those followings: returns, costs turnovers, accounts, cash, bench, value
update report
'''
"""
def __init__(self, freq: str = "day", benchmark_config: dict = {}):
"""
Parameters

1
qlib/backtest/utils.py
View File

@@ -140,7 +140,6 @@ class BaseInfrastructure:
self.reset_infra(**infra_dict)
class CommonInfrastructure(BaseInfrastructure):
def get_support_infra(self):
return ["trade_account", "trade_exchange"]