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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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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 = {}