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trade_account support multi bar report

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bxdd
2021-04-29 02:15:34 +08:00
parent 8920c1967f
commit 86a6f565e8
15 changed files with 362 additions and 209 deletions
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14
examples/highfreq/backtest/workflow.py
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@@ -81,7 +81,7 @@ if __name__ == "__main__":
backtest_config={
"strategy": {
"class": "TopkDropoutStrategy",
"module_path": "qlib.contrib.strategy.dl_strategy",
"module_path": "qlib.contrib.strategy.model_strategy",
"kwargs": {
"step_bar": "week",
"model": model,
@@ -113,6 +113,18 @@ if __name__ == "__main__":
}
}
}
},
"backtest":{
"start_time": trade_start_time,
"end_time": trade_end_time,
"verbose": False,
"limit_threshold": 0.095,
"account": 100000000,
"benchmark": benchmark,
"deal_price": "close",
"open_cost": 0.0005,
"close_cost": 0.0015,
"min_cost": 5,
}
}