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Update R and workflow

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This commit is contained in:
Jactus
2020-11-16 15:49:50 +08:00
parent c06914eb39
commit 42867264f3
13 changed files with 301 additions and 275 deletions
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17
qlib/workflow/record_temp.py
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@@ -8,6 +8,9 @@ from ..contrib.evaluate import (
risk_analysis,
)
from ..utils import init_instance_by_config, get_module_by_module_path
from ..log import get_module_logger
logger = get_module_logger("workflow", "INFO")
class RecordTemp:
@@ -76,7 +79,10 @@ class SignalRecord(RecordTemp):
def generate(self, **kwargs):
# generate prediciton
pred = self.model.predict(self.dataset)
self.recorder.save_objects(data=pred, name="pred.pkl")
self.recorder.save_objects(**{"pred.pkl": pred})
logger.info(
f"Signal record 'pred.pkl' has been saved as the artifact of the Experiment {self.recorder.experiment_id}"
)
def load(self):
# try to load the saved object
@@ -133,8 +139,8 @@ class PortAnaRecord(SignalRecord):
# custom strategy and get backtest
pred_score = super().load()
report_normal, positions_normal = normal_backtest(pred_score, strategy=self.strategy, **self.backtest_config)
self.recorder.save_objects(data=report_normal, name="report_normal.pkl", artifact_path=self.artifact_path)
self.recorder.save_objects(data=positions_normal, name="positions_normal.pkl", artifact_path=self.artifact_path)
self.recorder.save_objects(**{"report_normal.pkl": report_normal}, artifact_path=self.artifact_path)
self.recorder.save_objects(**{"positions_normal.pkl": positions_normal}, artifact_path=self.artifact_path)
# analysis
analysis = dict()
@@ -143,7 +149,10 @@ class PortAnaRecord(SignalRecord):
report_normal["return"] - report_normal["bench"] - report_normal["cost"]
)
analysis_df = pd.concat(analysis) # type: pd.DataFrame
self.recorder.save_objects(data=analysis_df, name="port_analysis.pkl", artifact_path=self.artifact_path)
self.recorder.save_objects(**{"port_analysis.pkl": analysis_df}, artifact_path=self.artifact_path)
logger.info(
f"Portfolio analysis record 'port_analysis.pkl' has been saved as the artifact of the Experiment {self.recorder.experiment_id}"
)
def load(self):
# try to load the saved object