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update report & account

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bxdd
2021-04-22 02:04:40 +08:00
parent 971d6a2847
commit 8979d786a9
7 changed files with 231 additions and 53 deletions
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47
qlib/backtest/account.py
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@@ -26,10 +26,10 @@ rtn & earning in the Account
class Account:
def __init__(self, init_cash, last_trade_date=None):
self.init_vars(init_cash, last_trade_date)
def __init__(self, init_cash, last_trade_time=None):
self.init_vars(init_cash, last_trade_time)
def init_vars(self, init_cash, last_trade_date=None):
def init_vars(self, init_cash, last_trade_time=None):
# init cash
self.init_cash = init_cash
self.current = Position(cash=init_cash)
@@ -40,7 +40,7 @@ class Account:
self.val = 0
self.report = Report()
self.earning = 0
self.last_trade_date = last_trade_date
self.last_trade_time = last_trade_time
def get_positions(self):
return self.positions
@@ -83,7 +83,7 @@ class Account:
self.current.update_order(order, trade_val, cost, trade_price)
self.update_state_from_order(order, trade_val, cost, trade_price)
def update_bar_end(self, start_time, end_time, trader):
def update_bar_end(self, trade_start_time, trade_end_time, trade_exchange):
"""
start_time: pd.TimeStamp
end_time: pd.TimeStamp
@@ -103,11 +103,11 @@ class Account:
profit = 0
for code in stock_list:
# if suspend, no new price to be updated, profit is 0
if trader.check_stock_suspended(code, today):
if trade_exchange.check_stock_suspended(code, trade_start_time, trade_end_time):
continue
today_close = trader.get_close(code, today)
profit += (today_close - self.current.position[code]["price"]) * self.current.position[code]["amount"]
self.current.update_stock_price(stock_id=code, price=today_close)
bar_close = trade_exchange.get_close(code, trade_start_time, trade_end_time)
profit += (bar_close - self.current.position[code]["price"]) * self.current.position[code]["amount"]
self.current.update_stock_price(stock_id=code, price=bar_close)
self.rtn += profit
# update holding day count
self.current.add_count_all()
@@ -117,54 +117,55 @@ class Account:
# account_value - last_account_value
# for the first trade date, account_value - init_cash
# self.report.is_empty() to judge is_first_trade_date
# get last_account_value, today_account_value, today_stock_value
# get last_account_value, now_account_value, now_stock_value
if self.report.is_empty():
last_account_value = self.init_cash
else:
last_account_value = self.report.get_latest_account_value()
today_account_value = self.current.calculate_value()
today_stock_value = self.current.calculate_stock_value()
self.earning = today_account_value - last_account_value
now_account_value = self.current.calculate_value()
now_stock_value = self.current.calculate_stock_value()
self.earning = now_account_value - last_account_value
# update report for today
# judge whether the the trading is begin.
# and don't add init account state into report, due to we don't have excess return in those days.
self.report.update_report_record(
trade_date=today,
account_value=today_account_value,
trade_start_time=trade_start_time,
trade_end_time=trade_end_time,
account_value=now_account_value,
cash=self.current.position["cash"],
return_rate=(self.earning + self.ct) / last_account_value,
# here use earning to calculate return, position's view, earning consider cost, true return
# in order to make same definition with original backtest in evaluate.py
turnover_rate=self.to / last_account_value,
cost_rate=self.ct / last_account_value,
stock_value=today_stock_value,
stock_value=now_stock_value,
)
# set today_account_value to position
self.current.position["today_account_value"] = today_account_value
# set now_account_value to position
self.current.position["now_account_value"] = now_account_value
self.current.update_weight_all()
# update positions
# note use deepcopy
self.positions[today] = copy.deepcopy(self.current)
self.positions[trade_start_time] = copy.deepcopy(self.current)
# finish today's updation
# reset the daily variables
self.rtn = 0
self.ct = 0
self.to = 0
self.last_trade_date = today
self.last_trade_time = (trade_start_time, trade_end_time)
def load_account(self, account_path):
report = Report()
position = Position()
last_trade_date = position.load_position(account_path / "position.xlsx")
last_trade_time = position.load_position(account_path / "position.xlsx")
report.load_report(account_path / "report.csv")
# assign values
self.init_vars(position.init_cash)
self.current = position
self.report = report
self.last_trade_date = last_trade_date if last_trade_date else None
self.last_trade_time = last_trade_time
def save_account(self, account_path):
self.current.save_position(account_path / "position.xlsx", self.last_trade_date)
self.current.save_position(account_path / "position.xlsx", self.last_trade_time)
self.report.save_report(account_path / "report.csv")