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Code Activity

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

Browse Source 
* 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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12
qlib/contrib/ops/high_freq.py
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@@ -70,7 +70,7 @@ class DayCumsum(ElemOperator):
Otherwise, the value is zero.
"""
def __init__(self, feature, start: str = "9:30", end: str = "14:59"):
def __init__(self, feature, start: str = "9:30", end: str = "14:59", data_granularity: int = 1):
self.feature = feature
self.start = datetime.strptime(start, "%H:%M")
self.end = datetime.strptime(end, "%H:%M")
@@ -80,15 +80,17 @@ class DayCumsum(ElemOperator):
self.noon_open = datetime.strptime("13:00", "%H:%M")
self.noon_close = datetime.strptime("15:00", "%H:%M")
self.start_id = time_to_day_index(self.start)
self.end_id = time_to_day_index(self.end)
self.data_granularity = data_granularity
self.start_id = time_to_day_index(self.start) // self.data_granularity
self.end_id = time_to_day_index(self.end) // self.data_granularity
assert 240 % self.data_granularity == 0
def period_cusum(self, df):
df = df.copy()
assert len(df) == 240
assert len(df) == 240 // self.data_granularity
df.iloc[0 : self.start_id] = 0
df = df.cumsum()
df.iloc[self.end_id + 1 : 240] = 0
df.iloc[self.end_id + 1 : 240 // self.data_granularity] = 0
return df
def _load_internal(self, instrument, start_index, end_index, freq):