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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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14
qlib/contrib/backtest/backtest.py
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@@ -123,9 +123,6 @@ def backtest(pred, strategy, trade_exchange, shift, verbose, account, benchmark,
return report_df, positions
def backtest_highfreq(pred, executor, trade_exchange, shift, order_set, verbose, account, benchmark):
if get_level_index(pred, level="datetime") == 1:
pred = pred.swaplevel().sort_index()
trade_account_highfreq = Account(init_cash=account)
_pred_dates = pred.index.get_level_values(level="datetime")
predict_dates = D.calendar(start_time=_pred_dates.min(), end_time=_pred_dates.max())
@@ -149,9 +146,16 @@ def backtest_highfreq(pred, executor, trade_exchange, shift, order_set, verbose,
if verbose:
LOG.info("[I {:%Y-%m-%d}]: highfreq trade begin.".format(trade_date))
## TODO: kanren group need to merge code here
trade_info = executor.execute(trade_account, order_list, trade_date)
update_account(trade_account_highfreq, trade_info, trade_exchange, trade_date)
print(trade_account, order_list, trade_date)
executor.execute(trade_account, order_list, trade_date)
for trade_account, order_list, trade_date in order_set:
trade_info = executor.get_res()
print(trade_info)
update_account(trade_account_highfreq, trade_info, trade_exchange, trade_date)
if verbose:
LOG.info("[I {:%Y-%m-%d}]: highfreq trade end.".format(trade_date))
executor.close()
report_df = trade_account_highfreq.report.generate_report_dataframe()
report_df["bench"] = bench
positions = trade_account_highfreq.get_positions()

2
qlib/contrib/evaluate.py
View File

@@ -271,8 +271,6 @@ def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, **k
spec = inspect.getfullargspec(get_exchange)
ex_args = {k: v for k, v in kwargs.items() if k in spec.args}
trade_exchange = get_exchange(pred, **ex_args)
if kwargs.get('highfreq_executor', False):
order_set = backtest_func(
pred=pred,