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Fix the first trading day of the calendar extra in report_df

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zhupr
2020-12-15 23:41:14 +08:00
committed by you-n-g
parent 660edeb94f
commit a0f32036a6
4 changed files with 40 additions and 24 deletions
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2
qlib/contrib/backtest/backtest.py
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@@ -69,7 +69,7 @@ def backtest(pred, strategy, trade_exchange, shift, verbose, account, benchmark)
raise ValueError(f"The benchmark {_codes} does not exist. Please provide the right benchmark")
bench = _temp_result.groupby(level="datetime")[_temp_result.columns.tolist()[0]].mean()
trade_dates = np.append(predict_dates[shift:], get_date_range(predict_dates[-1], shift=shift))
trade_dates = np.append(predict_dates[shift:], get_date_range(predict_dates[-1], left_shift=1, right_shift=shift))
executor = SimulatorExecutor(trade_exchange, verbose=verbose)
# trading apart

4
qlib/contrib/evaluate.py
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@@ -168,7 +168,7 @@ def get_exchange(
codes = "all" # TODO: We must ensure that 'all.txt' includes all the stocks
dates = sorted(pred.index.get_level_values("datetime").unique())
dates = np.append(dates, get_date_range(dates[-1], shift=shift))
dates = np.append(dates, get_date_range(dates[-1], left_shift=1, right_shift=shift))
exchange = Exchange(
trade_dates=dates,
@@ -340,7 +340,7 @@ def long_short_backtest(
_pred_dates = pred.index.get_level_values(level="datetime")
predict_dates = D.calendar(start_time=_pred_dates.min(), end_time=_pred_dates.max())
trade_dates = np.append(predict_dates[shift:], get_date_range(predict_dates[-1], shift=shift))
trade_dates = np.append(predict_dates[shift:], get_date_range(predict_dates[-1], left_shift=1, right_shift=shift))
long_returns = {}
short_returns = {}

4
qlib/contrib/report/analysis_position/report.py
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@@ -38,7 +38,7 @@ def _calculate_report_data(df: pd.DataFrame) -> pd.DataFrame:
:param df:
:return:
"""
index_names = df.index.names
df.index = df.index.strftime("%Y-%m-%d")
report_df = pd.DataFrame()
@@ -58,6 +58,8 @@ def _calculate_report_data(df: pd.DataFrame) -> pd.DataFrame:
report_df["turnover"] = df["turnover"]
report_df.sort_index(ascending=True, inplace=True)
report_df.index.names = index_names
return report_df