liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-10 14:26:56 +08:00
Code Activity

Format with black

Browse Source
This commit is contained in:
Jactus
2020-11-02 11:09:24 +08:00
parent b077d848f4
commit 661b3bffcc
11 changed files with 157 additions and 157 deletions
Download Patch File Download Diff File Expand all files Collapse all files

39
qlib/workflow/record_temp.py
View File

@@ -50,23 +50,24 @@ class SignalRecord(RecordTemp):
def generate(self, **kwargs):
# generate prediciton
pred = self.model.predict(self.dataset)
self.recorder.save_object(pred, 'pred.pkl')
self.recorder.save_object(pred, "pred.pkl")
def load(self):
# try to load the saved object
try:
pred = self.recorder.load_object('pred.pkl')
pred = self.recorder.load_object("pred.pkl")
return pred
except:
raise Exception('Something went wrong when loading the saved object.')
raise Exception("Something went wrong when loading the saved object.")
def check(self, **kwargs):
return self.recorder.check('pred.pkl')
return self.recorder.check("pred.pkl")
# TODO
class SigAnaRecord(SignalRecord):
def __init__(self, recorder, **kwargs):
pass
def generate(self):
pass
@@ -85,7 +86,7 @@ class PortAnaRecord(SignalRecord):
self.BACKTEST_CONFIG = BACKTEST_CONFIG
module = get_module_by_module_path("qlib.contrib.strategy")
self.strategy = init_instance_by_config(STRATEGY_CONFIG, module)
self.artifact_path = Path('portfolio_analysis').resolve()
self.artifact_path = Path("portfolio_analysis").resolve()
def generate(self, **kwargs):
"""
@@ -99,8 +100,8 @@ class PortAnaRecord(SignalRecord):
# custom strategy and get backtest
pred_score = super().load()
report_normal, positions_normal = normal_backtest(pred_score, strategy=self.strategy, **self.BACKTEST_CONFIG)
self.recorder.save_object(report_normal, 'report_normal.pkl', self.artifact_path)
self.recorder.save_object(positions_normal, 'positions_normal.pkl', self.artifact_path)
self.recorder.save_object(report_normal, "report_normal.pkl", self.artifact_path)
self.recorder.save_object(positions_normal, "positions_normal.pkl", self.artifact_path)
# analysis
analysis = dict()
@@ -109,29 +110,15 @@ class PortAnaRecord(SignalRecord):
report_normal["return"] - report_normal["bench"] - report_normal["cost"]
)
analysis_df = pd.concat(analysis) # type: pd.DataFrame
self.recorder.save_object(pred, 'port_analysis.pkl', self.artifact_path)
self.recorder.save_object(pred, "port_analysis.pkl", self.artifact_path)
def load(self):
# try to load the saved object
try:
pred = self.recorder.load_object(self.artifact_path / 'port_analysis.pkl'')
pred = self.recorder.load_object(self.artifact_path / "port_analysis.pkl")
return pred
except:
raise Exception('Something went wrong when loading the saved object.')
raise Exception("Something went wrong when loading the saved object.")
def check(self):
return self.recorder.check('port_analysis.pkl', self.artifact_path)
return self.recorder.check("port_analysis.pkl", self.artifact_path)