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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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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