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fix account bug & update indicator_analysis & fix some comments

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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
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69
qlib/workflow/record_temp.py
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@@ -7,7 +7,7 @@ import warnings
import pandas as pd
from pathlib import Path
from pprint import pprint
from ..contrib.evaluate import risk_analysis
from ..contrib.evaluate import indicator_analysis, risk_analysis, indicator_analysis
from ..data.dataset import DatasetH
from ..data.dataset.handler import DataHandlerLP
@@ -294,7 +294,9 @@ class PortAnaRecord(RecordTemp):
artifact_path = "portfolio_analysis"
def __init__(self, recorder, config, risk_analysis_freq, **kwargs):
def __init__(
self, recorder, config, risk_analysis_freq, indicator_analysis_freq, indicator_analysis_method=None, **kwargs
):
"""
config["strategy"] : dict
define the strategy class as well as the kwargs.
@@ -304,6 +306,10 @@ class PortAnaRecord(RecordTemp):
define the backtest kwargs.
risk_analysis_freq : str|List[str]
risk analysis freq of report
indicator_analysis_freq : str|List[str]
indicator analysis freq of report
indicator_analysis_method : str, optional, default by None
the candidated values include 'mean', 'amount_weighted', 'value_weighted'
"""
super().__init__(recorder=recorder, **kwargs)
@@ -312,10 +318,17 @@ class PortAnaRecord(RecordTemp):
self.backtest_config = config["backtest"]
if isinstance(risk_analysis_freq, str):
risk_analysis_freq = [risk_analysis_freq]
if isinstance(indicator_analysis_freq, str):
indicator_analysis_freq = [indicator_analysis_freq]
self.risk_analysis_freq = [
"{0}{1}".format(*parse_freq(_analysis_freq)) for _analysis_freq in risk_analysis_freq
]
self.report_freq = self._get_report_freq(self.executor_config)
self.indicator_analysis_freq = [
"{0}{1}".format(*parse_freq(_analysis_freq)) for _analysis_freq in indicator_analysis_freq
]
self.indicator_analysis_method = indicator_analysis_method
self.all_freq = self._get_report_freq(self.executor_config)
def _get_report_freq(self, executor_config):
ret_freq = []
@@ -328,21 +341,26 @@ class PortAnaRecord(RecordTemp):
def generate(self, **kwargs):
# custom strategy and get backtest
report_dict = normal_backtest(
report_dict, indicator_dict = normal_backtest(
executor=self.executor_config, strategy=self.strategy_config, **self.backtest_config
)
for report_freq, (report_normal, positions_normal) in report_dict.items():
for _freq, (report_normal, positions_normal) in report_dict.items():
self.recorder.save_objects(
**{f"report_normal_{report_freq}.pkl": report_normal}, artifact_path=PortAnaRecord.get_path()
**{f"report_normal_{_freq}.pkl": report_normal}, artifact_path=PortAnaRecord.get_path()
)
self.recorder.save_objects(
**{f"positions_normal_{report_freq}.pkl": positions_normal}, artifact_path=PortAnaRecord.get_path()
**{f"positions_normal_{_freq}.pkl": positions_normal}, artifact_path=PortAnaRecord.get_path()
)
for _freq, indicators_normal in indicator_dict.items():
self.recorder.save_objects(
**{f"indicators_normal_{_freq}.pkl": indicators_normal}, artifact_path=PortAnaRecord.get_path()
)
for _analysis_freq in self.risk_analysis_freq:
if _analysis_freq not in report_dict:
warnings.warn(
f"the freq {_analysis_freq} report is not found, please set the corresponding env with `generate_report==True`"
f"the freq {_analysis_freq} report is not found, please set the corresponding env with `generate_report=True`"
)
else:
report_normal, _ = report_dict.get(_analysis_freq)
@@ -353,25 +371,46 @@ class PortAnaRecord(RecordTemp):
analysis["excess_return_with_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"] - report_normal["cost"], freq=_analysis_freq
)
analysis_df = pd.concat(analysis) # type: pd.DataFrame
# log metrics
self.recorder.log_metrics(**flatten_dict(analysis_df["risk"].unstack().T.to_dict()))
analysis_dict = flatten_dict(analysis_df["risk"].unstack().T.to_dict())
self.recorder.log_metrics(**{f"{_analysis_freq}.{k}": v for k, v in analysis_dict.items()})
# save results
self.recorder.save_objects(
**{f"port_analysis_{report_freq}.pkl": analysis_df}, artifact_path=PortAnaRecord.get_path()
**{f"port_analysis_{_analysis_freq}.pkl": analysis_df}, artifact_path=PortAnaRecord.get_path()
)
logger.info(
f"Portfolio analysis record 'port_analysis_{report_freq}.pkl' has been saved as the artifact of the Experiment {self.recorder.experiment_id}"
f"Portfolio analysis record 'port_analysis_{_analysis_freq}.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.")
pprint(f"The following are analysis results of benchmark return({_analysis_freq}).")
pprint(risk_analysis(report_normal["bench"], freq=_analysis_freq))
pprint(f"The following are analysis results of the excess return without cost({_analysis_freq}).")
pprint(analysis["excess_return_without_cost"])
pprint("The following are analysis results of the excess return with cost.")
pprint(f"The following are analysis results of the excess return with cost({_analysis_freq}).")
pprint(analysis["excess_return_with_cost"])
for _analysis_freq in self.indicator_analysis_freq:
indicators_normal = indicator_dict.get(_analysis_freq)
if self.indicator_analysis_method is None:
analysis_df = indicator_analysis(indicators_normal)
else:
analysis_df = indicator_analysis(indicators_normal, method=self.indicator_analysis_method)
# log metrics
analysis_dict = analysis_df["value"].to_dict()
self.recorder.log_metrics(**{f"{_analysis_freq}.{k}": v for k, v in analysis_dict.items()})
# save results
self.recorder.save_objects(
**{f"indicator_analysis_{_analysis_freq}.pkl": analysis_df}, artifact_path=PortAnaRecord.get_path()
)
pprint(f"The following are analysis results of indicators({_analysis_freq}).")
pprint(analysis_df)
def list(self):
list_path = []
for _freq in self.report_freq:
for _freq in self.all_freq:
list_path.extend(
[
PortAnaRecord.get_path(f"report_normal_{_freq}.pkl"),
@@ -380,7 +419,7 @@ class PortAnaRecord(RecordTemp):
)
for _analysis_freq in self.risk_analysis_freq:
if _analysis_freq in self.report_freq:
if _analysis_freq in self.all_freq:
list_path.append(PortAnaRecord.get_path(f"port_analysis_{_analysis_freq}.pkl"))
else:
warnings.warn(f"{_analysis_freq} is not found")