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fix trade time bug

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This commit is contained in:
bxdd
2021-05-06 21:33:33 +08:00
parent ae339506b3
commit 7540ecde11
5 changed files with 56 additions and 36 deletions
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50
examples/highfreq/backtest/workflow.py
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@@ -10,7 +10,7 @@ from qlib.config import REG_CN
from qlib.utils import exists_qlib_data, init_instance_by_config, flatten_dict
from qlib.workflow import R
from qlib.workflow.record_temp import PortAnaRecord
from qlib.workflow.record_temp import SignalRecord, PortAnaRecord
from qlib.tests.data import GetData
if __name__ == "__main__":
@@ -64,9 +64,9 @@ if __name__ == "__main__":
"kwargs": data_handler_config,
},
"segments": {
"train": ("2012-01-01", "2014-12-31"),
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2018-01-31"),
"test": ("2017-01-01", "2020-08-01"),
},
},
},
@@ -74,17 +74,16 @@ if __name__ == "__main__":
# model initialization
model = init_instance_by_config(task["model"])
dataset = init_instance_by_config(task["dataset"])
model.fit(dataset)
trade_start_time = "2017-01-31"
trade_end_time = "2018-01-31"
trade_start_time = "2017-01-01"
trade_end_time = "2020-08-01"
port_analysis_config = {
"strategy": {
"class": "TopkDropoutStrategy",
"module_path": "qlib.contrib.strategy.model_strategy",
"kwargs": {
"step_bar": "week",
"step_bar": "day",
"model": model,
"dataset": dataset,
"topk": 50,
@@ -92,28 +91,12 @@ if __name__ == "__main__":
},
},
"env": {
"class": "SplitEnv",
"class": "SimulatorEnv",
"module_path": "qlib.contrib.backtest.env",
"kwargs": {
"step_bar": "week",
"sub_env": {
"class": "SimulatorEnv",
"module_path": "qlib.contrib.backtest.env",
"kwargs": {
"step_bar": "day",
"verbose": True,
"generate_report": True,
},
},
"sub_strategy": {
"class": "SBBStrategyEMA",
"module_path": "qlib.contrib.strategy.rule_strategy",
"kwargs": {
"step_bar": "day",
"freq": "day",
"instruments": "csi300",
},
},
"step_bar": "day",
"verbose": True,
"generate_report": True,
},
},
"backtest": {
@@ -129,9 +112,18 @@ if __name__ == "__main__":
"min_cost": 5,
},
}
with R.start(experiment_name="highfreq_backtest"):
R.log_params(**flatten_dict(task))
model.fit(dataset)
R.save_objects(**{"params.pkl": model})
# prediction
recorder = R.get_recorder()
sr = SignalRecord(model, dataset, recorder)
sr.generate()
# backtest. If users want to use backtest based on their own prediction,
# please refer to https://qlib.readthedocs.io/en/latest/component/recorder.html#record-template.
recorder = R.get_recorder()
par = PortAnaRecord(recorder, port_analysis_config, "day")
par.generate()
par.generate()