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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 # train model
################################### ###################################
data_handler_config = { data_handler_config = {
"start_time": "2008-01-01", "start_time": "2012-01-01",
"end_time": "2020-08-01", "end_time": "2019-06-01",
"fit_start_time": "2008-01-01", "fit_start_time": "2012-01-01",
"fit_end_time": "2014-12-31", "fit_end_time": "2017-04-30",
"instruments": market, "instruments": market,
} }
@@ -72,9 +72,9 @@ if __name__ == "__main__":
"kwargs": data_handler_config, "kwargs": data_handler_config,
}, },
"segments": { "segments": {
"train": ("2008-01-01", "2014-12-31"), "train": ("2012-01-01", "2017-04-30"),
"valid": ("2015-01-01", "2016-12-31"), "valid": ("2017-05-01", "2019-04-30"),
"test": ("2017-01-01", "2020-08-01"), "test": ("2019-05-01", "2019-06-01"),
}, },
}, },
}, },
@@ -89,7 +89,7 @@ if __name__ == "__main__":
'device': 'cpu', 'device': 'cpu',
}, },
"paths": { "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", "feature_conf": "/shared_data/data/v-xiabi/highfreq-exe/code/rl4execution/config/test_feature_all1620.json",
}, },
"env_conf": { "env_conf": {

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 return report_df, positions
def backtest_highfreq(pred, executor, trade_exchange, shift, order_set, verbose, account, benchmark): 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) trade_account_highfreq = Account(init_cash=account)
_pred_dates = pred.index.get_level_values(level="datetime") _pred_dates = pred.index.get_level_values(level="datetime")
predict_dates = D.calendar(start_time=_pred_dates.min(), end_time=_pred_dates.max()) 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: if verbose:
LOG.info("[I {:%Y-%m-%d}]: highfreq trade begin.".format(trade_date)) LOG.info("[I {:%Y-%m-%d}]: highfreq trade begin.".format(trade_date))
## TODO: kanren group need to merge code here ## TODO: kanren group need to merge code here
trade_info = executor.execute(trade_account, order_list, trade_date) print(trade_account, order_list, trade_date)
update_account(trade_account_highfreq, trade_info, trade_exchange, 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 = trade_account_highfreq.report.generate_report_dataframe()
report_df["bench"] = bench report_df["bench"] = bench
positions = trade_account_highfreq.get_positions() 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) spec = inspect.getfullargspec(get_exchange)
ex_args = {k: v for k, v in kwargs.items() if k in spec.args} ex_args = {k: v for k, v in kwargs.items() if k in spec.args}
trade_exchange = get_exchange(pred, **ex_args) trade_exchange = get_exchange(pred, **ex_args)
if kwargs.get('highfreq_executor', False): if kwargs.get('highfreq_executor', False):
order_set = backtest_func( order_set = backtest_func(
pred=pred, pred=pred,