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Fix errors when SignalRecord is not called before SigAna/PortAna

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D-X-Y
2021-03-16 08:11:05 +00:00
parent d47e35d64e
commit 9f57681032
2 changed files with 46 additions and 9 deletions
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23
qlib/workflow/record_temp.py
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@@ -110,7 +110,7 @@ class SignalRecord(RecordTemp):
This is the Signal Record class that generates the signal prediction. This class inherits the ``RecordTemp`` class.
"""
def __init__(self, model=None, dataset=None, recorder=None, **kwargs):
def __init__(self, model=None, dataset=None, recorder=None):
super().__init__(recorder=recorder)
self.model = model
self.dataset = dataset
@@ -163,14 +163,16 @@ class SigAnaRecord(SignalRecord):
artifact_path = "sig_analysis"
def __init__(self, recorder, ana_long_short=False, ann_scaler=252, **kwargs):
def __init__(self, recorder, ana_long_short=False, ann_scaler=252):
super().__init__(recorder=recorder)
self.ana_long_short = ana_long_short
self.ann_scaler = ann_scaler
super().__init__(recorder=recorder, **kwargs)
# The name must be unique. Otherwise it will be overridden
def generate(self):
self.check(parent=True)
def generate(self, **kwargs):
try:
self.check(parent=True)
except:
super().generate()
pred = self.load("pred.pkl")
label = self.load("label.pkl")
@@ -228,7 +230,7 @@ class PortAnaRecord(SignalRecord):
config["backtest"] : dict
define the backtest kwargs.
"""
super().__init__(recorder=recorder)
super().__init__(recorder=recorder, **kwargs)
self.strategy_config = config["strategy"]
self.backtest_config = config["backtest"]
@@ -236,10 +238,13 @@ class PortAnaRecord(SignalRecord):
def generate(self, **kwargs):
# check previously stored prediction results
self.check(parent=True) # "Make sure the parent process is completed and store the data properly."
try:
self.check(parent=True) # "Make sure the parent process is completed and store the data properly."
except:
super().generate()
# custom strategy and get backtest
pred_score = super().load()
pred_score = super().load("pred.pkl")
report_dict = normal_backtest(pred_score, strategy=self.strategy, **self.backtest_config)
report_normal = report_dict.get("report_df")
positions_normal = report_dict.get("positions")