liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-06-06 05:51:17 +08:00
Code Activity

fix CI

Browse Source
This commit is contained in:
bxdd
2021-06-01 18:50:50 +08:00
parent 04fff8ca36
commit 4d48c96d30
6 changed files with 96 additions and 109 deletions
Download Patch File Download Diff File Expand all files Collapse all files

50
examples/workflow_by_code.ipynb
View File

@@ -196,27 +196,40 @@
"# prediction, backtest & analysis\n",
"###################################\n",
"port_analysis_config = {\n",
" \"executor\": {\n",
" \"class\": \"SimulatorExecutor\",\n",
" \"module_path\": \"qlib.backtest.executor\",\n",
" \"kwargs\": {\n",
" \"time_per_step\": \"day\",\n",
" \"generate_report\": True,\n",
" },\n",
" },\n",
" \"strategy\": {\n",
" \"class\": \"TopkDropoutStrategy\",\n",
" \"module_path\": \"qlib.contrib.strategy.strategy\",\n",
" \"module_path\": \"qlib.contrib.strategy.model_strategy\",\n",
" \"kwargs\": {\n",
" \"model\": model,\n",
" \"dataset\": dataset,\n",
" \"topk\": 50,\n",
" \"n_drop\": 5,\n",
" },\n",
" },\n",
" \"backtest\": {\n",
" \"verbose\": False,\n",
" \"limit_threshold\": 0.095,\n",
" \"start_time\": \"2017-01-01\",\n",
" \"end_time\": \"2020-08-01\",\n",
" \"account\": 100000000,\n",
" \"benchmark\": benchmark,\n",
" \"deal_price\": \"close\",\n",
" \"open_cost\": 0.0005,\n",
" \"close_cost\": 0.0015,\n",
" \"min_cost\": 5,\n",
" \"exchange_kwargs\": {\n",
" \"freq\": \"day\",\n",
" \"limit_threshold\": 0.095,\n",
" \"deal_price\": \"close\",\n",
" \"open_cost\": 0.0005,\n",
" \"close_cost\": 0.0015,\n",
" \"min_cost\": 5,\n",
" },\n",
" },\n",
"}\n",
"\n",
"\n",
"# backtest and analysis\n",
"with R.start(experiment_name=\"backtest_analysis\"):\n",
" recorder = R.get_recorder(rid, experiment_name=\"train_model\")\n",
@@ -229,7 +242,7 @@
" sr.generate()\n",
"\n",
" # backtest & analysis\n",
" par = PortAnaRecord(recorder, port_analysis_config)\n",
" par = PortAnaRecord(recorder, port_analysis_config, \"day\")\n",
" par.generate()\n"
]
},
@@ -249,11 +262,12 @@
"from qlib.contrib.report import analysis_model, analysis_position\n",
"from qlib.data import D\n",
"recorder = R.get_recorder(ba_rid, experiment_name=\"backtest_analysis\")\n",
"print(recorder)\n",
"pred_df = recorder.load_object(\"pred.pkl\")\n",
"pred_df_dates = pred_df.index.get_level_values(level='datetime')\n",
"report_normal_df = recorder.load_object(\"portfolio_analysis/report_normal.pkl\")\n",
"positions = recorder.load_object(\"portfolio_analysis/positions_normal.pkl\")\n",
"analysis_df = recorder.load_object(\"portfolio_analysis/port_analysis.pkl\")"
"report_normal_df = recorder.load_object(\"portfolio_analysis/report_normal_1day.pkl\")\n",
"positions = recorder.load_object(\"portfolio_analysis/positions_normal_1day.pkl\")\n",
"analysis_df = recorder.load_object(\"portfolio_analysis/port_analysis_1day.pkl\")"
]
},
{
@@ -348,9 +362,8 @@
],
"metadata": {
"kernelspec": {
"display_name": "Python 3",
"language": "python",
"name": "python3"
"name": "pythonjvsc74a57bd0fcc004278713aaede7c629a6a43738a929cb09abb52817d4f72eb70db44cd87b",
"display_name": "Python 3.8 ('qlib_backtest': conda)"
},
"language_info": {
"codemirror_mode": {
@@ -362,7 +375,7 @@
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.8.3"
"version": "3.8"
},
"toc": {
"base_numbering": 1,
@@ -376,6 +389,11 @@
"toc_position": {},
"toc_section_display": true,
"toc_window_display": false
},
"metadata": {
"interpreter": {
"hash": "fcc004278713aaede7c629a6a43738a929cb09abb52817d4f72eb70db44cd87b"
}
}
},
"nbformat": 4,