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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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18
tests/test_all_pipeline.py
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@@ -79,9 +79,9 @@ def train():
model performance
"""
# get data
x_train, y_train, x_validate, y_validate, x_test, y_test = Alpha158(
**DATA_HANDLER_CONFIG
).get_split_data(**TRAINER_CONFIG)
x_train, y_train, x_validate, y_validate, x_test, y_test = Alpha158(**DATA_HANDLER_CONFIG).get_split_data(
**TRAINER_CONFIG
)
# train
model = LGBModel(**MODEL_CONFIG)
@@ -127,7 +127,9 @@ def backtest(pred):
def analyze(report_normal):
_analysis = dict()
_analysis["excess_return_without_cost"] = risk_analysis(report_normal["return"] - report_normal["bench"])
_analysis["excess_return_with_cost"] = risk_analysis(report_normal["return"] - report_normal["bench"] - report_normal["cost"])
_analysis["excess_return_with_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"] - report_normal["cost"]
)
analysis_df = pd.concat(_analysis) # type: pd.DataFrame
print(analysis_df)
return analysis_df
@@ -155,12 +157,12 @@ class TestAllFlow(unittest.TestCase):
self.assertGreaterEqual(model_pearsonr["model_pearsonr"], 0, "train failed")
def test_1_backtest(self):
TestAllFlow.REPORT_NORMAL, TestAllFlow.POSITIONS = backtest(
TestAllFlow.PRED_SCORE
)
TestAllFlow.REPORT_NORMAL, TestAllFlow.POSITIONS = backtest(TestAllFlow.PRED_SCORE)
analyze_df = analyze(TestAllFlow.REPORT_NORMAL)
self.assertGreaterEqual(
analyze_df.loc(axis=0)["excess_return_with_cost", "annualized_return"].values[0], 0.10, "backtest failed",
analyze_df.loc(axis=0)["excess_return_with_cost", "annualized_return"].values[0],
0.10,
"backtest failed",
)