liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-05 20:11:08 +08:00
Code Activity

fix account bug & update indicator_analysis & fix some comments

Browse Source
This commit is contained in:
bxdd
2021-06-22 02:42:09 +08:00
parent 9e45528165
commit 4ac6e6e246
9 changed files with 524 additions and 302 deletions
Download Patch File Download Diff File Expand all files Collapse all files

47
examples/nested_decision_execution/workflow.py
View File

@@ -17,7 +17,6 @@ class NestedDecisonExecutionWorkflow:
market = "csi300"
benchmark = "SH000300"
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2021-05-28",
@@ -67,28 +66,19 @@ class NestedDecisonExecutionWorkflow:
"kwargs": {
"time_per_step": "week",
"inner_executor": {
"class": "NestedExecutor",
"class": "SimulatorExecutor",
"module_path": "qlib.backtest.executor",
"kwargs": {
"time_per_step": "day",
"inner_executor": {
"class": "SimulatorExecutor",
"module_path": "qlib.backtest.executor",
"kwargs": {
"time_per_step": "15min",
"generate_report": True,
"verbose": True,
},
"generate_report": True,
"verbose": True,
"indicator_config": {
"show_indicator": True,
},
"inner_strategy": {
"class": "TWAPStrategy",
"module_path": "qlib.contrib.strategy.rule_strategy",
},
"show_indicator": True,
},
},
"inner_strategy": {
"class": "VAStrategy",
"class": "SBBStrategyEMA",
"module_path": "qlib.contrib.strategy.rule_strategy",
"kwargs": {
"freq": "day",
@@ -96,7 +86,10 @@ class NestedDecisonExecutionWorkflow:
},
},
"track_data": True,
"show_indicator": True,
"generate_report": True,
"indicator_config": {
"show_indicator": True,
},
},
},
"backtest": {
@@ -105,7 +98,7 @@ class NestedDecisonExecutionWorkflow:
"account": 100000000,
"benchmark": benchmark,
"exchange_kwargs": {
"freq": "1min",
"freq": "day",
"limit_threshold": 0.095,
"deal_price": "close",
"open_cost": 0.0005,
@@ -124,7 +117,7 @@ class NestedDecisonExecutionWorkflow:
GetData().qlib_data(
target_dir=provider_uri_1min, interval="1min", region=REG_CN, version="v2", exists_skip=True
)
provider_uri_day = "/data/csdesign/qlib"
provider_uri_map = {"1min": provider_uri_1min, "day": provider_uri_day}
client_config = {
"calendar_provider": {
@@ -179,12 +172,25 @@ class NestedDecisonExecutionWorkflow:
},
}
self.port_analysis_config["strategy"] = strategy_config
self.port_analysis_config["backtest"]["benchmark"] = D.list_instruments(
instruments=D.instruments(market=self.market), as_list=True
)
with R.start(experiment_name="backtest"):
recorder = R.get_recorder()
par = PortAnaRecord(recorder, self.port_analysis_config, "15minute")
par = PortAnaRecord(
recorder,
self.port_analysis_config,
risk_analysis_freq=["week", "day"],
indicator_analysis_freq=["week", "day"],
indicator_analysis_method="value_weighted",
)
par.generate()
# report_normal_df = recorder.load_object("portfolio_analysis/report_normal_1day.pkl")
# from qlib.contrib.report import analysis_position
# analysis_position.report_graph(report_normal_df)
def collect_data(self):
self._init_qlib()
model = init_instance_by_config(self.task["model"])
@@ -192,6 +198,7 @@ class NestedDecisonExecutionWorkflow:
self._train_model(model, dataset)
executor_config = self.port_analysis_config["executor"]
backtest_config = self.port_analysis_config["backtest"]
backtest_config["benchmark"] = D.list_instruments(instruments=D.instruments(market=self.market), as_list=True)
strategy_config = {
"class": "TopkDropoutStrategy",
"module_path": "qlib.contrib.strategy.model_strategy",