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fix some comments and add docstring

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This commit is contained in:
bxdd
2021-05-12 02:17:39 +08:00
parent f7d30960c1
commit 621cb243c2
25 changed files with 795 additions and 712 deletions
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18
qlib/workflow/record_temp.py
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@@ -14,7 +14,8 @@ from ..data.dataset import DatasetH
from ..data.dataset.handler import DataHandlerLP
from ..utils import init_instance_by_config, get_module_by_module_path
from ..log import get_module_logger
from ..utils import flatten_dict, parse_freq
from ..utils import flatten_dict
from ..utils.sample import parse_freq
from ..strategy.base import BaseStrategy
from ..contrib.eva.alpha import calc_ic, calc_long_short_return
@@ -315,16 +316,6 @@ class PortAnaRecord(RecordTemp):
ret_freq.extend(self._get_report_freq(env_config["kwargs"]["sub_env"]))
return ret_freq
def _cal_risk_analysis_scaler(self, freq):
_count, _freq = parse_freq(freq)
_freq_scaler = {
"minute": 240 * 250,
"day": 250,
"week": 50,
"month": 12,
}
return _count * _freq_scaler[_freq]
def generate(self, **kwargs):
# custom strategy and get backtest
report_dict = normal_backtest(env=self.env_config, strategy=self.strategy_config, **self.backtest_config)
@@ -343,12 +334,11 @@ class PortAnaRecord(RecordTemp):
else:
report_normal, _ = report_dict.get(self.risk_analysis_freq)
analysis = dict()
risk_analysis_scaler = self._cal_risk_analysis_scaler(self.risk_analysis_freq)
analysis["excess_return_without_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"], risk_analysis_scaler
report_normal["return"] - report_normal["bench"], self.risk_analysis_freq
)
analysis["excess_return_with_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"] - report_normal["cost"], risk_analysis_scaler
report_normal["return"] - report_normal["bench"] - report_normal["cost"], self.risk_analysis_freq
)
analysis_df = pd.concat(analysis) # type: pd.DataFrame
# log metrics