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fix analysis bug

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Young
2020-09-25 02:47:29 +00:00
parent b2749d2e08
commit 9556d1ce38
11 changed files with 157 additions and 219 deletions
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11
qlib/contrib/report/analysis_model/analysis_model_performance.py
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@@ -264,17 +264,18 @@ def model_performance_graph(
) -> [list, tuple]:
"""Model performance
:param pred_label: index is **pd.MultiIndex**, index name is **[instrument, datetime]**; columns names is **[score, label]**
:param pred_label: index is **pd.MultiIndex**, index name is **[instrument, datetime]**; columns names is **[score,
label]**. It is usually same as the label of model training(e.g. "Ref($close, -2)/Ref($close, -1) - 1")
.. code-block:: python
instrument datetime score label
SH600004 2017-12-11 -0.013502 -0.013502
2017-12-12 -0.072367 -0.072367
2017-12-13 -0.068605 -0.068605
2017-12-14 0.012440 0.012440
2017-12-15 -0.102778 -0.102778
2017-12-12 -0.072367 -0.072367
2017-12-13 -0.068605 -0.068605
2017-12-14 0.012440 0.012440
2017-12-15 -0.102778 -0.102778
:param lag: `pred.groupby(level='instrument')['score'].shift(lag)`. It will be only used in the auto-correlation computing.