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fix metric calculation error

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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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6
qlib/backtest/report.py
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@@ -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