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Update CI & add black formatter

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This commit is contained in:
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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52
qlib/contrib/report/analysis_position/risk_analysis.py
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@@ -32,13 +32,9 @@ def _get_risk_analysis_data_with_report(
# analysis["pred_long_short"] = risk_analysis(report_long_short_df["long_short"])
if not report_normal_df.empty:
analysis["excess_return_without_cost"] = risk_analysis(
report_normal_df["return"] - report_normal_df["bench"]
)
analysis["excess_return_without_cost"] = risk_analysis(report_normal_df["return"] - report_normal_df["bench"])
analysis["excess_return_with_cost"] = risk_analysis(
report_normal_df["return"]
- report_normal_df["bench"]
- report_normal_df["cost"]
report_normal_df["return"] - report_normal_df["bench"] - report_normal_df["cost"]
)
analysis_df = pd.concat(analysis) # type: pd.DataFrame
analysis_df["date"] = date
@@ -67,9 +63,7 @@ def _get_monthly_risk_analysis_with_report(report_normal_df: pd.DataFrame) -> pd
"""
# Group by month
report_normal_gp = report_normal_df.groupby(
[report_normal_df.index.year, report_normal_df.index.month]
)
report_normal_gp = report_normal_df.groupby([report_normal_df.index.year, report_normal_df.index.month])
# report_long_short_gp = report_long_short_df.groupby(
# [report_long_short_df.index.year, report_long_short_df.index.month]
# )
@@ -96,9 +90,7 @@ def _get_monthly_risk_analysis_with_report(report_normal_df: pd.DataFrame) -> pd
return _monthly_df
def _get_monthly_analysis_with_feature(
monthly_df: pd.DataFrame, feature: str = "annualized_return"
) -> pd.DataFrame:
def _get_monthly_analysis_with_feature(monthly_df: pd.DataFrame, feature: str = "annualized_return") -> pd.DataFrame:
"""
:param monthly_df:
@@ -108,9 +100,7 @@ def _get_monthly_analysis_with_feature(
_monthly_df_gp = monthly_df.reset_index().groupby(["level_1"])
_name_df = _monthly_df_gp.get_group(feature).set_index(["level_0", "level_1"])
_temp_df = _name_df.pivot_table(
index="date", values=["risk"], columns=_name_df.index
)
_temp_df = _name_df.pivot_table(index="date", values=["risk"], columns=_name_df.index)
_temp_df.columns = map(lambda x: "_".join(x[-1]), _temp_df.columns)
_temp_df.index = _temp_df.index.strftime("%Y-%m")
@@ -126,9 +116,7 @@ def _get_risk_analysis_figure(analysis_df: pd.DataFrame) -> Iterable[py.Figure]:
if analysis_df is None:
return []
_figure = SubplotsGraph(
_get_all_risk_analysis(analysis_df), kind_map=dict(kind="BarGraph", kwargs={})
).figure
_figure = SubplotsGraph(_get_all_risk_analysis(analysis_df), kind_map=dict(kind="BarGraph", kwargs={})).figure
return (_figure,)
@@ -141,7 +129,7 @@ def _get_monthly_risk_analysis_figure(report_normal_df: pd.DataFrame) -> Iterabl
"""
# if report_normal_df is None and report_long_short_df is None:
# return []
# return []
if report_normal_df is None:
return []
@@ -231,13 +219,13 @@ def risk_analysis_graph(
.. code-block:: python
return cost bench turnover
return cost bench turnover
date
2017-01-04 0.003421 0.000864 0.011693 0.576325
2017-01-05 0.000508 0.000447 0.000721 0.227882
2017-01-06 -0.003321 0.000212 -0.004322 0.102765
2017-01-09 0.006753 0.000212 0.006874 0.105864
2017-01-10 -0.000416 0.000440 -0.003350 0.208396
2017-01-04 0.003421 0.000864 0.011693 0.576325
2017-01-05 0.000508 0.000447 0.000721 0.227882
2017-01-06 -0.003321 0.000212 -0.004322 0.102765
2017-01-09 0.006753 0.000212 0.006874 0.105864
2017-01-10 -0.000416 0.000440 -0.003350 0.208396
:param report_long_short_df: **df.index.name** must be **date**, df.columns contain **long**, **short**, **long_short**
@@ -245,13 +233,13 @@ def risk_analysis_graph(
.. code-block:: python
long short long_short
long short long_short
date
2017-01-04 -0.001360 0.001394 0.000034
2017-01-05 0.002456 0.000058 0.002514
2017-01-06 0.000120 0.002739 0.002859
2017-01-09 0.001436 0.001838 0.003273
2017-01-10 0.000824 -0.001944 -0.001120
2017-01-04 -0.001360 0.001394 0.000034
2017-01-05 0.002456 0.000058 0.002514
2017-01-06 0.000120 0.002739 0.002859
2017-01-09 0.001436 0.001838 0.003273
2017-01-10 0.000824 -0.001944 -0.001120
:param show_notebook: Whether to display graphics in a notebook, default **True**
@@ -263,7 +251,7 @@ def risk_analysis_graph(
_get_monthly_risk_analysis_figure(
report_normal_df,
# report_long_short_df,
)
)
)
if show_notebook:
ScatterGraph.show_graph_in_notebook(_figure_list)