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Code Activity

RL backtest pipeline on 5-min data (#1417)

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* Workflow runnable

* CI

* Slight changes to make the workflow runnable. The changes of handler/provider should be reverted before merging.

* Train experiment successful

* Refine handler & provider

* test passed

* Ready to test on server

* Minor

* Test passed

* TWAP training

* Add PPOReward

* Add a FIXME

* Refine PPO reward according to PR comments

* Minor

* Resolve PR comments

* CI issues

* CI issues

* CI issues
This commit is contained in:
Huoran Li
2023-02-13 12:43:22 +08:00
committed by GitHub
parent 6295939346
commit 5eb5ac1f1f
25 changed files with 251 additions and 167 deletions
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21
qlib/backtest/report.py
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@@ -1,6 +1,7 @@
# Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
from __future__ import annotations
import pathlib
from collections import OrderedDict
@@ -86,7 +87,7 @@ class PortfolioMetrics:
self.benches: dict = OrderedDict()
self.latest_pm_time: Optional[pd.TimeStamp] = None
def init_bench(self, freq: str = None, benchmark_config: dict = None) -> None:
def init_bench(self, freq: str | None = None, benchmark_config: dict | None = None) -> None:
if freq is not None:
self.freq = freq
self.benchmark_config = benchmark_config
@@ -149,15 +150,15 @@ class PortfolioMetrics:
self,
trade_start_time: Union[str, pd.Timestamp] = None,
trade_end_time: Union[str, pd.Timestamp] = None,
account_value: float = None,
cash: float = None,
return_rate: float = None,
total_turnover: float = None,
turnover_rate: float = None,
total_cost: float = None,
cost_rate: float = None,
stock_value: float = None,
bench_value: float = None,
account_value: float | None = None,
cash: float | None = None,
return_rate: float | None = None,
total_turnover: float | None = None,
turnover_rate: float | None = None,
total_cost: float | None = None,
cost_rate: float | None = None,
stock_value: float | None = None,
bench_value: float | None = None,
) -> None:
# check data
if None in [