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fix order factor setting issue

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Move the factor setting from init phase to dealing phase.
This commit is contained in:
Young
2021-07-19 01:57:22 +00:00
parent 4a62e02fca
commit 92f2891664
5 changed files with 75 additions and 23 deletions
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8
qlib/contrib/evaluate.py
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@@ -73,20 +73,20 @@ def indicator_analysis(df, method="mean"):
Parameters
----------
df : pandas.DataFrame
columns: like ['pa', 'pos', 'ffr', 'amount', 'value'].
columns: like ['pa', 'pos', 'ffr', 'deal_amount', 'value'].
Necessary fields:
- 'pa' is the price advantage in trade indicators
- 'pos' is the positive rate in trade indicators
- 'ffr' is the fulfill rate in trade indicators
Optional fields:
- 'amount' is the total deal amount, only necessary when method is 'amount_weighted'
- 'deal_amount' is the total deal deal_amount, only necessary when method is 'amount_weighted'
- 'value' is the total trade value, only necessary when method is 'value_weighted'
index: Index(datetime)
method : str, optional
statistics method of pa/ffr, by default "mean"
- if method is 'mean', count the mean statistical value of each trade indicator
- if method is 'amount_weighted', count the amount weighted mean statistical value of each trade indicator
- if method is 'amount_weighted', count the deal_amount weighted mean statistical value of each trade indicator
- if method is 'value_weighted', count the value weighted mean statistical value of each trade indicator
Note: statistics method of pos is always "mean"
@@ -97,7 +97,7 @@ def indicator_analysis(df, method="mean"):
"""
weights_dict = {
"mean": df["count"],
"amount_weighted": df["amount"].abs(),
"amount_weighted": df["deal_amount"].abs(),
"value_weighted": df["value"].abs(),
}
if method not in weights_dict: