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update port_ana_record

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bxdd
2021-04-29 02:28:22 +08:00
parent 86a6f565e8
commit 49cdaf8f5d
3 changed files with 34 additions and 24 deletions
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1
qlib/contrib/backtest/account.py
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@@ -214,6 +214,7 @@ class Account:
# finish today's updation # finish today's updation
# reset the daily variables # reset the daily variables
self.rtn = 0
self.ct = 0 self.ct = 0
self.to = 0 self.to = 0

2
qlib/contrib/backtest/backtest.py
View File

@@ -9,7 +9,7 @@ from .account import Account
def backtest(start_time, end_time, trade_strategy, trade_env, benchmark, account): def backtest(start_time, end_time, trade_strategy, trade_env, benchmark, account):
trade_account = Account(init_cash=account) trade_account = Account(init_cash=account, benchmark=benchmark, start_time=start_time, end_time=end_time)
trade_env.reset(start_time=start_time, end_time=end_time, trade_account=trade_account) trade_env.reset(start_time=start_time, end_time=end_time, trade_account=trade_account)
trade_strategy.reset(start_time=start_time, end_time=end_time) trade_strategy.reset(start_time=start_time, end_time=end_time)

53
qlib/workflow/record_temp.py
View File

@@ -2,6 +2,7 @@
# Licensed under the MIT License. # Licensed under the MIT License.
import re import re
import warnings
import pandas as pd import pandas as pd
from pathlib import Path from pathlib import Path
from pprint import pprint from pprint import pprint
@@ -223,18 +224,23 @@ class PortAnaRecord(SignalRecord):
artifact_path = "portfolio_analysis" artifact_path = "portfolio_analysis"
def __init__(self, recorder, config, **kwargs): def __init__(self, recorder, config, risk_analysis_dep, **kwargs):
""" """
config["strategy"] : dict config["strategy"] : dict
define the strategy class as well as the kwargs. define the strategy class as well as the kwargs.
config["env"] : dict
define the env class as well as the kwargs.
config["backtest"] : dict config["backtest"] : dict
define the backtest kwargs. define the backtest kwargs.
risk_analysis_dep : int
risk analyze the dep'th env report
""" """
super().__init__(recorder=recorder, **kwargs) super().__init__(recorder=recorder, **kwargs)
self.strategy_config = config["strategy"] self.strategy_config = config["strategy"]
self.env_config = config["env"] self.env_config = config["env"]
self.backtest_config = config["backtest"] self.backtest_config = config["backtest"]
self.risk_analysis_dep = risk_analysis_dep
def generate(self, **kwargs): def generate(self, **kwargs):
# check previously stored prediction results # check previously stored prediction results
@@ -245,31 +251,34 @@ class PortAnaRecord(SignalRecord):
# custom strategy and get backtest # custom strategy and get backtest
report_list = normal_backtest(env=self.env_config, strategy=self.strategy_config, **self.backtest_config) report_list = normal_backtest(env=self.env_config, strategy=self.strategy_config, **self.backtest_config)
for report_id, (report_normal, positions_normal) in enumerate(report_list): for report_dep, (report_normal, positions_normal) in enumerate(report_list):
if report_dict is None: if report_dict is None:
if self.risk_analysis_dep == report_dep:
warnings.warn(f"the report in dep {risk_analysis_dep} is None, please set the corresponding env with `generate_report==True`")
continue continue
self.recorder.save_objects(**{f"report_normal_{report_id}.pkl": report_normal}, artifact_path=PortAnaRecord.get_path()) self.recorder.save_objects(**{f"report_normal_{report_dep}.pkl": report_normal}, artifact_path=PortAnaRecord.get_path())
self.recorder.save_objects(**{f"positions_norma_{report_id}l.pkl": positions_normal}, artifact_path=PortAnaRecord.get_path()) self.recorder.save_objects(**{f"positions_norma_{report_dep}l.pkl": positions_normal}, artifact_path=PortAnaRecord.get_path())
# analysis # analysis
analysis = dict() self.risk_analysis_dep == report_dep:
analysis["excess_return_without_cost"] = risk_analysis(report_normal["return"] - report_normal["bench"]) analysis = dict()
analysis["excess_return_with_cost"] = risk_analysis( analysis["excess_return_without_cost"] = risk_analysis(report_normal["return"] - report_normal["bench"])
report_normal["return"] - report_normal["bench"] - report_normal["cost"] analysis["excess_return_with_cost"] = risk_analysis(
) report_normal["return"] - report_normal["bench"] - report_normal["cost"]
analysis_df = pd.concat(analysis) # type: pd.DataFrame )
# log metrics analysis_df = pd.concat(analysis) # type: pd.DataFrame
self.recorder.log_metrics(**flatten_dict(analysis_df["risk"].unstack().T.to_dict())) # log metrics
# save results self.recorder.log_metrics(**flatten_dict(analysis_df["risk"].unstack().T.to_dict()))
self.recorder.save_objects(**{f"port_analysis.pkl_{report_id}": analysis_df}, artifact_path=PortAnaRecord.get_path()) # save results
logger.info( self.recorder.save_objects(**{f"port_analysis.pkl_{report_dep}": analysis_df}, artifact_path=PortAnaRecord.get_path())
f"Portfolio analysis record 'port_analysis_{report_id}.pkl' has been saved as the artifact of the Experiment {self.recorder.experiment_id}" logger.info(
) f"Portfolio analysis record 'port_analysis_{report_dep}.pkl' has been saved as the artifact of the Experiment {self.recorder.experiment_id}"
# print out results )
pprint("The following are analysis results of the excess return without cost.") # print out results
pprint(analysis["excess_return_without_cost"]) pprint("The following are analysis results of the excess return without cost.")
pprint("The following are analysis results of the excess return with cost.") pprint(analysis["excess_return_without_cost"])
pprint(analysis["excess_return_with_cost"]) pprint("The following are analysis results of the excess return with cost.")
pprint(analysis["excess_return_with_cost"])
def list(self): def list(self):
return [ return [