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Jactus
2020-11-24 16:42:32 +08:00
parent acae9087e9
commit 93ce9a4cb2
4 changed files with 30 additions and 35 deletions
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31
qlib/workflow/record_temp.py
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@@ -166,22 +166,23 @@ class SigAnaRecord(SignalRecord):
"Rank IC": ric.mean(),
"Rank ICIR": ric.mean() / ric.std(),
}
objects = {
'ic.pkl': ic,
'ric.pkl': ric
}
objects = {"ic.pkl": ic, "ric.pkl": ric}
if self.ana_long_short:
long_short_r, long_avg_r = calc_long_short_return(pred.iloc[:, 0], label.iloc[:, 0])
metrics.update({
'Long-Short Ann Return': long_short_r.mean() * self.ann_scaler,
'Long-Short Ann Sharpe': long_short_r.mean() / long_short_r.std() * self.ann_scaler ** 0.5,
'Long-Avg Ann Return': long_avg_r.mean() * self.ann_scaler,
'Long-Avg Ann Sharpe': long_avg_r.mean() / long_avg_r.std() * self.ann_scaler ** 0.5,
})
objects.update({
'long_short_r.pkl': long_short_r,
'long_avg_r.pkl': long_avg_r,
})
metrics.update(
{
"Long-Short Ann Return": long_short_r.mean() * self.ann_scaler,
"Long-Short Ann Sharpe": long_short_r.mean() / long_short_r.std() * self.ann_scaler ** 0.5,
"Long-Avg Ann Return": long_avg_r.mean() * self.ann_scaler,
"Long-Avg Ann Sharpe": long_avg_r.mean() / long_avg_r.std() * self.ann_scaler ** 0.5,
}
)
objects.update(
{
"long_short_r.pkl": long_short_r,
"long_avg_r.pkl": long_avg_r,
}
)
self.recorder.log_metrics(**metrics)
self.recorder.save_objects(**objects, artifact_path=self.get_path())
pprint(metrics)
@@ -189,7 +190,7 @@ class SigAnaRecord(SignalRecord):
def list(self):
paths = [self.get_path("ic.pkl"), self.get_path("ric.pkl")]
if self.ana_long_short:
paths.extend([self.get_path('long_short_r.pkl'), self.get_path('long_avg_r.pkl')])
paths.extend([self.get_path("long_short_r.pkl"), self.get_path("long_avg_r.pkl")])
return paths