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update backtest

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This commit is contained in:
bxdd
2021-01-17 22:47:58 +09:00
committed by you-n-g
parent 6a9105e065
commit 917261dbf6
3 changed files with 17 additions and 15 deletions
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16
examples/workflow_with_highfreq_backtest.py
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@@ -39,10 +39,10 @@ if __name__ == "__main__":
# train model
###################################
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"start_time": "2012-01-01",
"end_time": "2019-06-01",
"fit_start_time": "2012-01-01",
"fit_end_time": "2017-04-30",
"instruments": market,
}
@@ -72,9 +72,9 @@ if __name__ == "__main__":
"kwargs": data_handler_config,
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
"train": ("2012-01-01", "2017-04-30"),
"valid": ("2017-05-01", "2019-04-30"),
"test": ("2019-05-01", "2019-06-01"),
},
},
},
@@ -89,7 +89,7 @@ if __name__ == "__main__":
'device': 'cpu',
},
"paths": {
"raw_dir": "/shared_data/data/v-xiabi/highfreq-exe/data/backtest_test_multi/",
"raw_dir": "/shared_data/data/v-xiabi/highfreq-exe/data/backtest_test_multi",
"feature_conf": "/shared_data/data/v-xiabi/highfreq-exe/code/rl4execution/config/test_feature_all1620.json",
},
"env_conf": {