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fix metric calculation error

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This commit is contained in:
Young
2021-09-01 00:24:50 +00:00
committed by you-n-g
parent 5f0ee6ce68
commit 5003e49197
4 changed files with 35 additions and 5 deletions
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9
qlib/backtest/high_performance_ds.py
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@@ -528,6 +528,9 @@ class PandasSingleMetric(SingleMetric):
def reindex(self, index, fill_value):
return self.__class__(self.metric.reindex(index, fill_value=fill_value))
def __repr__(self):
return repr(self.metric)
class PandasOrderIndicator(BaseOrderIndicator):
"""
@@ -567,6 +570,9 @@ class PandasOrderIndicator(BaseOrderIndicator):
tmp_metric = tmp_metric.add(indicator.data[metric], fill_value)
order_indicator.assign(metric, tmp_metric.metric)
def __repr__(self):
return repr(self.data)
class NumpyOrderIndicator(BaseOrderIndicator):
"""
@@ -605,3 +611,6 @@ class NumpyOrderIndicator(BaseOrderIndicator):
for indicator in indicators:
tmp_metric = tmp_metric.add(indicator.data[metric], fill_value)
order_indicator.data[metric] = tmp_metric
def __repr__(self):
return repr(self.data)

6
qlib/backtest/report.py
View File

@@ -11,7 +11,7 @@ import pandas as pd
from qlib.backtest.exchange import Exchange
from qlib.backtest.order import BaseTradeDecision, Order, OrderDir
from .high_performance_ds import PandasOrderIndicator, NumpyOrderIndicator, SingleMetric
from .high_performance_ds import BaseOrderIndicator, PandasOrderIndicator, NumpyOrderIndicator, SingleMetric
from ..tests.config import CSI300_BENCH
from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data
from .order import IdxTradeRange
@@ -255,7 +255,7 @@ class Indicator:
# order indicator is metrics for a single order for a specific step
self.order_indicator_his = OrderedDict()
self.order_indicator = self.order_indicator_cls()
self.order_indicator: BaseOrderIndicator = self.order_indicator_cls()
# trade indicator is metrics for all orders for a specific step
self.trade_indicator_his = OrderedDict()
@@ -265,7 +265,7 @@ class Indicator:
# def reset(self, trade_calendar: TradeCalendarManager):
def reset(self):
self.order_indicator = self.order_indicator_cls()
self.order_indicator: BaseOrderIndicator = self.order_indicator_cls()
self.trade_indicator = OrderedDict()
# self._trade_calendar = trade_calendar