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fix but

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This commit is contained in:
bxdd
2021-03-25 20:36:07 +08:00
parent e119c8576c
commit 9cc3b18e4e
3 changed files with 20 additions and 6 deletions
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19
examples/rolling_process_data/workflow.py
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@@ -38,9 +38,12 @@ class RollingDataWorkflow(object):
"start_time": self.start_time,
"end_time": self.end_time,
"instruments": self.MARKET,
"infer_processors": [],
"learn_processors": [],
},
}
pre_handler = init_instance_by_config(handler_config)
pre_handler.config(dump_all=True)
pre_handler.to_pickle(path)
def _load_pre_handler(self, path):
@@ -50,8 +53,8 @@ class RollingDataWorkflow(object):
def rolling_process(self):
self._init_qlib()
self._dump_pre_handler("pre_handler.py")
pre_handler = self._load_pre_handler("pre_handler.py")
self._dump_pre_handler("pre_handler.pkl")
pre_handler = self._load_pre_handler("pre_handler.pkl")
train_start_time = (2010, 1, 1)
train_end_time = (2012, 12, 31)
@@ -72,6 +75,13 @@ class RollingDataWorkflow(object):
"end_time": datetime(*test_end_time),
"fit_start_time": datetime(*train_start_time),
"fit_end_time": datetime(*train_end_time),
"infer_processors": [
{"class":"RobustZScoreNorm", "kwargs": {"fields_group": "feature"}},
],
"learn_processors": [
{"class": "DropnaLabel"},
{"class": "CSZScoreNorm", "kwargs": {"fields_group": "label"}},
],
"data_loader_kwargs": {
"handler_config": pre_handler,
},
@@ -87,7 +97,8 @@ class RollingDataWorkflow(object):
dataset = init_instance_by_config(dataset_config)
for rolling_offset in range(rolling_cnt):
for rolling_offset in range(self.rolling_cnt):
print(f"===========rolling{rolling_offset} start===========")
if rolling_offset:
dataset.init(
handler_kwargs={
@@ -112,6 +123,8 @@ class RollingDataWorkflow(object):
)
dtrain, dvalid, dtest = dataset.prepare(["train", "valid", "test"])
## print or dump data
print(f"===========rolling{rolling_offset} end===========")
if __name__ == "__main__":