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Refine backtest codes (#1120)

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* Refine backtest code

* Keep working

* Minor

* Resolve PR comments

* Fix import error

* Fix import error
This commit is contained in:
Huoran Li
2022-06-10 12:14:48 +08:00
committed by GitHub
parent 1ef8e61abd
commit 89972f6c6f
15 changed files with 789 additions and 489 deletions
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34
qlib/backtest/report.py
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@@ -2,19 +2,20 @@
# Licensed under the MIT License.
from collections import OrderedDict
import pathlib
from collections import OrderedDict
from typing import Dict, List, Tuple, Union
import numpy as np
import pandas as pd
from qlib.backtest.exchange import Exchange
import qlib.utils.index_data as idd
from qlib.backtest.decision import BaseTradeDecision, Order, OrderDir
from .high_performance_ds import BaseOrderIndicator, NumpyOrderIndicator, SingleMetric
from qlib.backtest.exchange import Exchange
from ..tests.config import CSI300_BENCH
from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data
import qlib.utils.index_data as idd
from .high_performance_ds import BaseOrderIndicator, NumpyOrderIndicator, SingleMetric
class PortfolioMetrics:
@@ -161,7 +162,8 @@ class PortfolioMetrics:
stock_value,
]:
raise ValueError(
"None in [trade_start_time, account_value, cash, return_rate, total_turnover, turnover_rate, total_cost, cost_rate, stock_value]"
"None in [trade_start_time, account_value, cash, return_rate, total_turnover, turnover_rate, "
"total_cost, cost_rate, stock_value]",
)
if trade_end_time is None and bench_value is None:
@@ -335,7 +337,10 @@ class Indicator:
# sum inner order indicators with same metric.
all_metric = ["inner_amount", "deal_amount", "trade_price", "trade_value", "trade_cost", "trade_dir"]
self.order_indicator_cls.sum_all_indicators(
self.order_indicator, inner_order_indicators, all_metric, fill_value=0
self.order_indicator,
inner_order_indicators,
all_metric,
fill_value=0,
)
def func(trade_price, deal_amount):
@@ -378,12 +383,17 @@ class Indicator:
if decision.trade_range is not None:
trade_start_time, trade_end_time = decision.trade_range.clip_time_range(
start_time=trade_start_time, end_time=trade_end_time
start_time=trade_start_time,
end_time=trade_end_time,
)
if price == "deal_price":
price_s = trade_exchange.get_deal_price(
inst, trade_start_time, trade_end_time, direction=direction, method=None
inst,
trade_start_time,
trade_end_time,
direction=direction,
method=None,
)
else:
raise NotImplementedError(f"This type of input is not supported")
@@ -599,8 +609,12 @@ class Indicator:
if show_indicator:
print(
"[Indicator({}) {:%Y-%m-%d %H:%M:%S}]: FFR: {}, PA: {}, POS: {}".format(
freq, trade_start_time, fulfill_rate, price_advantage, positive_rate
)
freq,
trade_start_time,
fulfill_rate,
price_advantage,
positive_rate,
),
)
def get_order_indicator(self, raw: bool = True):