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update strategy

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bxdd
2021-04-21 16:42:16 +08:00
parent d3a1e03a11
commit 971d6a2847
25 changed files with 2442 additions and 810 deletions
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6
qlib/contrib/strategy/cost_control.py
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@@ -2,7 +2,7 @@
# Licensed under the MIT License.
from .strategy import StrategyWrapper, WeightStrategyBase
from .strategy import WeightStrategyBase
import copy
@@ -23,7 +23,7 @@ class SoftTopkStrategy(WeightStrategyBase):
self.risk_degree = risk_degree
self.buy_method = buy_method
def get_risk_degree(self, date):
def get_risk_degree(self, trade_index):
"""get_risk_degree
Return the proportion of your total value you will used in investment.
Dynamically risk_degree will result in Market timing
@@ -31,7 +31,7 @@ class SoftTopkStrategy(WeightStrategyBase):
# It will use 95% amoutn of your total value by default
return self.risk_degree
def generate_target_weight_position(self, score, current, trade_date):
def generate_target_weight_position(self, score, current, trade_start_time, trade_end_time):
"""Parameter:
score : pred score for this trade date, pd.Series, index is stock_id, contain 'score' column
current : current position, use Position() class