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make the integration simpler

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This commit is contained in:
Young
2020-09-25 04:39:59 +00:00
parent 9556d1ce38
commit 900e284696
4 changed files with 27 additions and 19 deletions
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5
qlib/contrib/estimator/estimator.py
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@@ -133,7 +133,10 @@ class Estimator(object):
TimeInspector.set_time_mark()
# 1. Get pred and prediction score of model(s).
pred = self.trainer.get_test_score()
performance = self.trainer.get_test_performance()
try:
performance = self.trainer.get_test_performance()
except NotImplementedError:
performance = None
# 2. Normal Backtest.
report_normal, positions_normal = self._normal_backtest(pred)
# 3. Long-Short Backtest.

8
qlib/contrib/estimator/trainer.py
View File

@@ -61,12 +61,11 @@ class BaseTrainer(object):
"""
pass
@abstractmethod
def get_test_performance(self):
"""
Implement this method indicating how to get the performance of the model.
"""
pass
raise NotImplementedError(f"Please implement `get_test_performance`")
def get_test_score(self):
"""
@@ -164,7 +163,10 @@ class StaticTrainer(BaseTrainer):
return pred
def get_test_performance(self):
model_score = self.model.score(self.x_test, self.y_test)
try:
model_score = self.model.score(self.x_test, self.y_test)
except NotImplementedError:
model_score = None
# Remove rows from x, y and w, which contain Nan in any columns in y_test.
x_test, y_test, __ = drop_nan_by_y_index(self.x_test, self.y_test)
pred_test = self.model.predict(x_test)