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move backtest to core, fix calendar bugs, add some docstring

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This commit is contained in:
bxdd
2021-05-27 21:14:39 +08:00
parent 2ad61f12b3
commit 4085b447aa
27 changed files with 298 additions and 216 deletions
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10
examples/multi_level_trading/workflow.py
View File

@@ -10,7 +10,7 @@ from qlib.utils import exists_qlib_data, init_instance_by_config, flatten_dict
from qlib.workflow import R
from qlib.workflow.record_temp import SignalRecord, PortAnaRecord
from qlib.tests.data import GetData
from qlib.contrib.backtest import collect_data
from qlib.backtest import collect_data
class MultiLevelTradingWorkflow:
@@ -61,17 +61,17 @@ class MultiLevelTradingWorkflow:
}
trade_start_time = "2017-01-01"
trade_end_time = "2017-02-01"
trade_end_time = "2020-08-01"
port_analysis_config = {
"executor": {
"class": "SplitExecutor",
"module_path": "qlib.contrib.backtest.executor",
"class": "NestedExecutor",
"module_path": "qlib.backtest.executor",
"kwargs": {
"time_per_step": "week",
"inner_executor": {
"class": "SimulatorExecutor",
"module_path": "qlib.contrib.backtest.executor",
"module_path": "qlib.backtest.executor",
"kwargs": {
"time_per_step": "day",
"verbose": True,

1
examples/workflow_by_code.ipynb
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@@ -66,7 +66,6 @@
"from qlib.config import REG_CN\n",
"from qlib.contrib.model.gbdt import LGBModel\n",
"from qlib.contrib.data.handler import Alpha158\n",
"from qlib.contrib.strategy.strategy import TopkDropoutStrategy\n",
"from qlib.contrib.evaluate import (\n",
" backtest as normal_backtest,\n",
" risk_analysis,\n",

11
examples/workflow_by_code.py
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@@ -1,19 +1,8 @@
# Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
import sys
from pathlib import Path
import qlib
import pandas as pd
from qlib.config import REG_CN
from qlib.contrib.model.gbdt import LGBModel
from qlib.contrib.data.handler import Alpha158
from qlib.contrib.strategy.strategy import TopkDropoutStrategy
from qlib.contrib.evaluate import (
backtest as normal_backtest,
risk_analysis,
)
from qlib.utils import exists_qlib_data, init_instance_by_config, flatten_dict
from qlib.workflow import R
from qlib.workflow.record_temp import SignalRecord, PortAnaRecord