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Update CI & add black formatter

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Jactus
2020-10-09 14:33:29 +08:00
committed by you-n-g
parent 143f3f985b
commit 7c6e5e822c
26 changed files with 194 additions and 255 deletions
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11
qlib/contrib/evaluate.py
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@@ -34,8 +34,13 @@ def risk_analysis(r, N=252):
annualized_return = mean * N
information_ratio = mean / std * np.sqrt(N)
max_drawdown = (r.cumsum() - r.cumsum().cummax()).min()
data = {"mean": mean, "std": std, "annualized_return": annualized_return,
"information_ratio": information_ratio, "max_drawdown": max_drawdown}
data = {
"mean": mean,
"std": std,
"annualized_return": annualized_return,
"information_ratio": information_ratio,
"max_drawdown": max_drawdown,
}
res = pd.Series(data, index=data.keys()).to_frame("risk")
return res
@@ -230,7 +235,7 @@ def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, **k
limit move 0.1 (10%) for example, long and short with same limit
extract_codes: bool
will we pass the codes extracted from the pred to the exchange.
.. note:: This will be faster with offline qlib.
"""
# check strategy: