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Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy

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v-mingzhehan
2021-06-22 03:27:34 +00:00
parent 76be5d50e5 4ac6e6e246
commit 56cf43da44
32 changed files with 1870 additions and 499 deletions
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16
qlib/backtest/__init__.py
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@@ -4,13 +4,11 @@
from .account import Account
from .exchange import Exchange
from .executor import BaseExecutor
from .backtest import backtest as backtest_func
from .backtest import collect_data as data_generator
from .order import Order
from .utils import TradeCalendarManager
from .backtest import backtest_loop
from .backtest import collect_data_loop
from .utils import CommonInfrastructure
from .order import Order
from .utils import CommonInfrastructure
from ..strategy.base import BaseStrategy
from ..utils import init_instance_by_config
from ..log import get_module_logger
@@ -118,9 +116,9 @@ def backtest(start_time, end_time, strategy, executor, benchmark="SH000300", acc
trade_strategy, trade_executor = get_strategy_executor(
start_time, end_time, strategy, executor, benchmark, account, exchange_kwargs
)
report_dict = backtest_func(start_time, end_time, trade_strategy, trade_executor)
report_dict, indicator_dict = backtest_loop(start_time, end_time, trade_strategy, trade_executor)
return report_dict
return report_dict, indicator_dict
def collect_data(start_time, end_time, strategy, executor, benchmark="SH000300", account=1e9, exchange_kwargs={}):
@@ -128,6 +126,4 @@ def collect_data(start_time, end_time, strategy, executor, benchmark="SH000300",
trade_strategy, trade_executor = get_strategy_executor(
start_time, end_time, strategy, executor, benchmark, account, exchange_kwargs
)
report_dict = yield from data_generator(start_time, end_time, trade_strategy, trade_executor)
return report_dict
yield from collect_data_loop(start_time, end_time, trade_strategy, trade_executor)