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update position and negative cash

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wangwenxi.handsome
2021-08-06 04:34:30 +00:00
parent 8e87950292
commit 74e1ee6921
5 changed files with 106 additions and 59 deletions
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5
qlib/backtest/account.py
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@@ -100,7 +100,6 @@ class Account:
"module_path": "qlib.backtest.position",
}
)
self.accum_info = AccumulatedInfo()
self.report = None
self.positions = {}
@@ -119,8 +118,11 @@ class Account:
def reset_report(self, freq, benchmark_config):
# portfolio related metrics
if self.is_port_metr_enabled():
self.accum_info = AccumulatedInfo()
self.report = Report(freq, benchmark_config)
self.positions = {}
# fill stock value
self.current.fill_stock_value(self.benchmark_config["start_time"], self.freq)
# trading related metrics(e.g. high-frequency trading)
self.indicator = Indicator()
@@ -309,6 +311,7 @@ class Account:
self.update_current(trade_start_time, trade_end_time, trade_exchange)
if self.is_port_metr_enabled():
# report is portfolio related analysis
print(trade_start_time, trade_end_time)
self.update_report(trade_start_time, trade_end_time)
# TODO: will skip empty decisions make it faster? `outer_trade_decision.empty():`