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

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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
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@@ -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,