Fix the first trading day of the calendar extra in report_df

qlib/contrib/backtest/backtest.py

@@ -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

qlib/contrib/evaluate.py

@@ -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 = {}

qlib/contrib/report/analysis_position/report.py

@@ -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
 
 

qlib/utils/__init__.py

@@ -279,8 +279,10 @@ def compare_dict_value(src_data: dict, dst_data: dict):
 def create_save_path(save_path=None):
     """Create save path
 
-    :param save_path:
+    Parameters
-    :return:
+    ----------
+    save_path: str
+
     """
     if save_path:
         if not os.path.exists(save_path):
@@ -471,30 +473,28 @@ def is_tradable_date(cur_date):
     return str(cur_date.date()) == str(D.calendar(start_time=cur_date, future=True)[0].date())
 
 
-def get_date_range(trading_date, shift, future=False):
+def get_date_range(trading_date, left_shift=0, right_shift=0, future=False):
     """get trading date range by shift
 
-    :param trading_date:
+    Parameters
-    :param shift: int
+    ----------
-    :param future: bool
+    trading_date: pd.Timestamp
-    :return:
+    left_shift: int
+    right_shift: int
+    future: bool
+
     """
+
     from ..data import D
 
-    calendar = D.calendar(future=future)
+    start = get_date_by_shift(trading_date, left_shift, future=future)
-    if pd.to_datetime(trading_date) not in list(calendar):
+    end = get_date_by_shift(trading_date, right_shift, future=future)
-        raise ValueError("{} is not trading day!".format(str(trading_date)))
+
-    day_index = bisect.bisect_left(calendar, trading_date)
+    calendar = D.calendar(start, end, future=future)
-    if 0 <= (day_index + shift) < len(calendar):
+    return calendar
-        if shift > 0:
-            return calendar[day_index + 1 : day_index + 1 + shift]
-        else:
-            return calendar[day_index + shift : day_index]
-    else:
-        return calendar
 
 
-def get_date_by_shift(trading_date, shift, future=False):
+def get_date_by_shift(trading_date, shift, future=False, clip_shift=True):
     """get trading date with shift bias wil cur_date
         e.g. : shift == 1,  return next trading date
                shift == -1, return previous trading date
@@ -502,8 +502,22 @@ def get_date_by_shift(trading_date, shift, future=False):
     trading_date : pandas.Timestamp
         current date
     shift : int
+    clip_shift: bool
+
     """
-    return get_date_range(trading_date, shift, future)[0 if shift < 0 else -1] if shift != 0 else trading_date
+    from qlib.data import D
+
+    cal = D.calendar(future=future)
+    if pd.to_datetime(trading_date) not in list(cal):
+        raise ValueError("{} is not trading day!".format(str(trading_date)))
+    _index = bisect.bisect_left(cal, trading_date)
+    shift_index = _index + shift
+    if shift_index < 0 or shift_index >= len(cal):
+        if clip_shift:
+            shift_index = np.clip(shift_index, 0, len(cal) - 1)
+        else:
+            raise IndexError(f"The shift_index({shift_index}) of the trading day ({trading_date}) is out of range")
+    return cal[shift_index]
 
 
 def get_next_trading_date(trading_date, future=False):