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fix bug in recorder

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bxdd
2021-04-30 01:06:05 +08:00
parent f404a031f3
commit a109df3f46
8 changed files with 63 additions and 83 deletions
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29
examples/highfreq/backtest/workflow.py
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@@ -10,6 +10,8 @@ from qlib.config import REG_CN
from qlib.contrib.strategy import TopkDropoutStrategy from qlib.contrib.strategy import TopkDropoutStrategy
from qlib.contrib.backtest import backtest from qlib.contrib.backtest import backtest
from qlib.utils import exists_qlib_data, init_instance_by_config, flatten_dict from qlib.utils import exists_qlib_data, init_instance_by_config, flatten_dict
from qlib.workflow import R
from qlib.workflow.record_temp import PortAnaRecord
from qlib.tests.data import GetData from qlib.tests.data import GetData
if __name__ == "__main__": if __name__ == "__main__":
@@ -78,7 +80,7 @@ if __name__ == "__main__":
trade_start_time = "2017-01-31" trade_start_time = "2017-01-31"
trade_end_time = "2018-01-31" trade_end_time = "2018-01-31"
backtest_config = { port_analysis_config = {
"strategy": { "strategy": {
"class": "TopkDropoutStrategy", "class": "TopkDropoutStrategy",
"module_path": "qlib.contrib.strategy.model_strategy", "module_path": "qlib.contrib.strategy.model_strategy",
@@ -101,6 +103,7 @@ if __name__ == "__main__":
"kwargs": { "kwargs": {
"step_bar": "day", "step_bar": "day",
"verbose": True, "verbose": True,
"generate_report": True,
}, },
}, },
"sub_strategy": { "sub_strategy": {
@@ -128,11 +131,19 @@ if __name__ == "__main__":
}, },
} }
report_dict = backtest( #report_dict = backtest(
start_time=trade_start_time, # start_time=trade_start_time,
end_time=trade_end_time, # end_time=trade_end_time,
**backtest_config, # **backtest_config,
account=1e8, # account=1e8,
deal_price="$close", # benchmark=benchmark,
verbose=False, # deal_price="$close",
) # verbose=False,
#)
with R.start(experiment_name="highfreq_backtest"):
# backtest. If users want to use backtest based on their own prediction,
# please refer to https://qlib.readthedocs.io/en/latest/component/recorder.html#record-template.
recorder = R.get_recorder()
par = PortAnaRecord(recorder, port_analysis_config, 1)
par.generate()

2
qlib/contrib/backtest/__init__.py
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@@ -118,7 +118,7 @@ def setup_exchange(root_instance, trade_exchange=None, force=False):
setup_exchange(root_instance.sub_strategy, trade_exchange) setup_exchange(root_instance.sub_strategy, trade_exchange)
def backtest(start_time, end_time, strategy, env, benchmark=None, account=1e9, **kwargs): def backtest(start_time, end_time, strategy, env, benchmark="SH000905", account=1e9, **kwargs):
trade_strategy = init_instance_by_config(strategy) trade_strategy = init_instance_by_config(strategy)
trade_env = init_env_instance_by_config(env) trade_env = init_env_instance_by_config(env)

19
qlib/contrib/backtest/account.py
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@@ -8,6 +8,7 @@ import pandas as pd
from .position import Position from .position import Position
from .report import Report from .report import Report
from .order import Order from .order import Order
from ...data import D
from ...utils import parse_freq, sample_feature from ...utils import parse_freq, sample_feature
@@ -95,7 +96,8 @@ class Account:
def cal_change(x): def cal_change(x):
return x.prod() - 1 return x.prod() - 1
return sample_feature(bench, trade_start_time, trade_end_time, method=cal_change) _ret = sample_feature(bench, trade_start_time, trade_end_time, method=cal_change)
return 0 if _ret is None else _ret
def reset(self, benchmark=None, freq=None, **kwargs): def reset(self, benchmark=None, freq=None, **kwargs):
if benchmark: if benchmark:
@@ -105,9 +107,9 @@ class Account:
if self.freq and self.benchmark and (freq or benchmark): if self.freq and self.benchmark and (freq or benchmark):
self.bench = self._cal_benchmark(self.benchmark, self.start_time, self.end_time, self.freq) self.bench = self._cal_benchmark(self.benchmark, self.start_time, self.end_time, self.freq)
for k, v in kwargs: for k, v in kwargs.items():
if hasattr(k): if hasattr(self, k):
setattr(k, v) setattr(self, k, v)
def get_positions(self): def get_positions(self):
return self.positions return self.positions
@@ -150,7 +152,7 @@ class Account:
self.current.update_order(order, trade_val, cost, trade_price) self.current.update_order(order, trade_val, cost, trade_price)
self.update_state_from_order(order, trade_val, cost, trade_price) self.update_state_from_order(order, trade_val, cost, trade_price)
def update_report(self, trade_start_time, trade_end_time, trade_exchange): def update_bar_end(self, trade_start_time, trade_end_time, trade_exchange, update_report):
""" """
start_time: pd.TimeStamp start_time: pd.TimeStamp
end_time: pd.TimeStamp end_time: pd.TimeStamp
@@ -166,6 +168,9 @@ class Account:
:return: None :return: None
""" """
# update price for stock in the position and the profit from changed_price # update price for stock in the position and the profit from changed_price
self.current.add_count_all(bar=self.freq)
if update_report is None:
return
stock_list = self.current.get_stock_list() stock_list = self.current.get_stock_list()
for code in stock_list: for code in stock_list:
# if suspend, no new price to be updated, profit is 0 # if suspend, no new price to be updated, profit is 0
@@ -174,7 +179,7 @@ class Account:
bar_close = trade_exchange.get_close(code, trade_start_time, trade_end_time) bar_close = trade_exchange.get_close(code, trade_start_time, trade_end_time)
self.current.update_stock_price(stock_id=code, price=bar_close) self.current.update_stock_price(stock_id=code, price=bar_close)
# update holding day count # update holding day count
self.current.add_count_all(bar=self.freq)
# update value # update value
self.val = self.current.calculate_value() self.val = self.current.calculate_value()
# update earning # update earning
@@ -212,7 +217,7 @@ class Account:
self.positions[trade_start_time] = copy.deepcopy(self.current) self.positions[trade_start_time] = copy.deepcopy(self.current)
# finish today's updation # finish today's updation
# reset the daily variables # reset the bar variables
self.rtn = 0 self.rtn = 0
self.ct = 0 self.ct = 0
self.to = 0 self.to = 0

6
qlib/contrib/backtest/backtest.py
View File

@@ -19,8 +19,4 @@ def backtest(start_time, end_time, trade_strategy, trade_env, benchmark, account
_order_list = trade_strategy.generate_order_list(**trade_state) _order_list = trade_strategy.generate_order_list(**trade_state)
trade_state, trade_info = trade_env.execute(_order_list) trade_state, trade_info = trade_env.execute(_order_list)
report_df = trade_account.report.generate_report_dataframe() return trade_env.get_report()
positions = trade_account.get_positions()
report_dict = {"report_df": report_df, "positions": positions}
return report_dict

36
qlib/contrib/backtest/env.py
View File

@@ -42,7 +42,7 @@ class BaseTradeCalendar:
if start_time or end_time: if start_time or end_time:
self._reset_trade_calendar(start_time=start_time, end_time=end_time) self._reset_trade_calendar(start_time=start_time, end_time=end_time)
for k, v in kwargs: for k, v in kwargs.items():
if hasattr(self, k): if hasattr(self, k):
setattr(self, k, v) setattr(self, k, v)
@@ -52,7 +52,7 @@ class BaseTradeCalendar:
return self.calendar[calendar_index - 1], self.calendar[calendar_index] return self.calendar[calendar_index - 1], self.calendar[calendar_index]
def finished(self): def finished(self):
return self.trade_index >= self.trade_len return self.trade_index >= self.trade_len - 1
def step(self): def step(self):
self.trade_index = self.trade_index + 1 self.trade_index = self.trade_index + 1
@@ -71,11 +71,11 @@ class BaseEnv(BaseTradeCalendar):
start_time=None, start_time=None,
end_time=None, end_time=None,
trade_account=None, trade_account=None,
update_report=False, generate_report=False,
verbose=False, verbose=False,
**kwargs, **kwargs,
): ):
self.generate_report = update_report self.generate_report = generate_report
self.verbose = verbose self.verbose = verbose
super(BaseEnv, self).__init__( super(BaseEnv, self).__init__(
step_bar=step_bar, start_time=start_time, end_time=end_time, trade_account=trade_account, **kwargs step_bar=step_bar, start_time=start_time, end_time=end_time, trade_account=trade_account, **kwargs
@@ -110,7 +110,8 @@ class SplitEnv(BaseEnv):
start_time=None, start_time=None,
end_time=None, end_time=None,
trade_account=None, trade_account=None,
update_report=False, trade_exchange=None,
generate_report=False,
verbose=False, verbose=False,
**kwargs, **kwargs,
): ):
@@ -121,15 +122,18 @@ class SplitEnv(BaseEnv):
start_time=start_time, start_time=start_time,
end_time=end_time, end_time=end_time,
trade_account=trade_account, trade_account=trade_account,
update_report=update_report, trade_exchange=trade_exchange,
generate_report=generate_report,
verbose=verbose, verbose=verbose,
**kwargs, **kwargs,
) )
def reset(self, trade_account=None, **kwargs): def reset(self, trade_account=None, trade_exchange=None, **kwargs):
super(SplitEnv, self).reset(trade_account=trade_account, **kwargs) super(SplitEnv, self).reset(trade_account=trade_account, **kwargs)
if trade_account: if trade_account:
self.sub_env.reset(trade_account=copy.copy(trade_account)) self.sub_env.reset(trade_account=copy.copy(trade_account))
if trade_exchange:
self.trade_exchange = trade_exchange
def execute(self, order_list, **kwargs): def execute(self, order_list, **kwargs):
if self.finished(): if self.finished():
@@ -146,9 +150,8 @@ class SplitEnv(BaseEnv):
_order_list = self.sub_strategy.generate_order_list(**trade_state) _order_list = self.sub_strategy.generate_order_list(**trade_state)
trade_state, trade_info = self.sub_env.execute(order_list=_order_list) trade_state, trade_info = self.sub_env.execute(order_list=_order_list)
if self.generate_report: self.trade_account.update_bar_end(
self.trade_account.update_report( trade_start_time=trade_start_time, trade_end_time=trade_end_time, trade_exchange=self.trade_exchange, update_report=self.generate_report
trade_start_time=trade_start_time, trade_end_time=trade_end_time, trade_exchange=self.trade_exchange
) )
_obs = {"current": self.trade_account.current} _obs = {"current": self.trade_account.current}
_info = {} _info = {}
@@ -157,7 +160,7 @@ class SplitEnv(BaseEnv):
def get_report(self): def get_report(self):
_report = self.trade_account.report.generate_report_dataframe() if self.generate_report else None _report = self.trade_account.report.generate_report_dataframe() if self.generate_report else None
_positions = self.trade_account.get_positions() if self.generate_report else None _positions = self.trade_account.get_positions() if self.generate_report else None
return [(_report, _positions), *sub_env.get_report()] return [(_report, _positions), *self.sub_env.get_report()]
class SimulatorEnv(BaseEnv): class SimulatorEnv(BaseEnv):
@@ -168,7 +171,7 @@ class SimulatorEnv(BaseEnv):
end_time=None, end_time=None,
trade_account=None, trade_account=None,
trade_exchange=None, trade_exchange=None,
update_report=False, generate_report=False,
verbose=False, verbose=False,
**kwargs, **kwargs,
): ):
@@ -178,7 +181,7 @@ class SimulatorEnv(BaseEnv):
end_time=end_time, end_time=end_time,
trade_account=trade_account, trade_account=trade_account,
trade_exchange=trade_exchange, trade_exchange=trade_exchange,
update_report=update_report, generate_report=generate_report,
verbose=verbose, verbose=verbose,
**kwargs, **kwargs,
) )
@@ -231,9 +234,8 @@ class SimulatorEnv(BaseEnv):
print("[W {:%Y-%m-%d}]: {} wrong.".format(trade_start_time, order.stock_id)) print("[W {:%Y-%m-%d}]: {} wrong.".format(trade_start_time, order.stock_id))
# do nothing # do nothing
pass pass
if self.generate_report: self.trade_account.update_bar_end(
self.trade_account.update_report( trade_start_time=trade_start_time, trade_end_time=trade_end_time, trade_exchange=self.trade_exchange, update_report=self.generate_report
trade_start_time=trade_start_time, trade_end_time=trade_end_time, trade_exchange=self.trade_exchange
) )
_obs = {"current": self.trade_account.current} _obs = {"current": self.trade_account.current}
_info = {"trade_info": trade_info} _info = {"trade_info": trade_info}
@@ -242,4 +244,4 @@ class SimulatorEnv(BaseEnv):
def get_report(self): def get_report(self):
_report = self.trade_account.report.generate_report_dataframe() if self.generate_report else None _report = self.trade_account.report.generate_report_dataframe() if self.generate_report else None
_positions = self.trade_account.get_positions() if self.generate_report else None _positions = self.trade_account.get_positions() if self.generate_report else None
return [{"report": _report, "positions": _positions}] return [(_report, _positions)]

2
qlib/contrib/evaluate.py
View File

@@ -9,7 +9,7 @@ import pandas as pd
import warnings import warnings
from ..log import get_module_logger from ..log import get_module_logger
from .backtest import get_exchange, backtest as backtest_func from .backtest import get_exchange, backtest as backtest_func
from .backtest.backtest import get_date_range from ..utils import get_date_range
from ..data import D from ..data import D
from ..config import C from ..config import C

35
qlib/contrib/strategy/model_strategy.py
View File

@@ -23,7 +23,6 @@ class TopkDropoutStrategy(ModelStrategy):
method_sell="bottom", method_sell="bottom",
method_buy="top", method_buy="top",
risk_degree=0.95, risk_degree=0.95,
thresh=1,
hold_thresh=1, hold_thresh=1,
only_tradable=False, only_tradable=False,
**kwargs, **kwargs,
@@ -41,11 +40,9 @@ class TopkDropoutStrategy(ModelStrategy):
dropout method_buy, random/top. dropout method_buy, random/top.
risk_degree : float risk_degree : float
position percentage of total value. position percentage of total value.
thresh : int
minimun holding days since last buy singal of the stock.
hold_thresh : int hold_thresh : int
minimum holding days minimum holding days
before sell stock , will check current.get_stock_count(order.stock_id) >= self.thresh. before sell stock , will check current.get_stock_count(order.stock_id) >= self.hold_thresh.
only_tradable : bool only_tradable : bool
will the strategy only consider the tradable stock when buying and selling. will the strategy only consider the tradable stock when buying and selling.
if only_tradable: if only_tradable:
@@ -61,10 +58,6 @@ class TopkDropoutStrategy(ModelStrategy):
self.method_sell = method_sell self.method_sell = method_sell
self.method_buy = method_buy self.method_buy = method_buy
self.risk_degree = risk_degree self.risk_degree = risk_degree
self.thresh = thresh
# self.stock_count['code'] will be the days the stock has been hold
# since last buy signal. This is designed for thresh
self.stock_count = {}
self.hold_thresh = hold_thresh self.hold_thresh = hold_thresh
self.only_tradable = only_tradable self.only_tradable = only_tradable
@@ -170,10 +163,7 @@ class TopkDropoutStrategy(ModelStrategy):
# Get the stock list we really want to buy # Get the stock list we really want to buy
buy = today[: len(sell) + self.topk - len(last)] buy = today[: len(sell) + self.topk - len(last)]
#print("flag", len(sell), len(buy), self.topk, len(last))
# buy singal: if a stock falls into topk, it appear in the buy_sinal
buy_signal = pred_score.sort_values(ascending=False).iloc[: self.topk].index
for code in current_stock_list: for code in current_stock_list:
if not self.trade_exchange.is_stock_tradable( if not self.trade_exchange.is_stock_tradable(
stock_id=code, start_time=trade_start_time, end_time=trade_end_time stock_id=code, start_time=trade_start_time, end_time=trade_end_time
@@ -181,13 +171,7 @@ class TopkDropoutStrategy(ModelStrategy):
continue continue
if code in sell: if code in sell:
# check hold limit # check hold limit
if ( if current_temp.get_stock_count(code, bar=self.step_bar) < self.hold_thresh:
self.stock_count[code] < self.thresh
or current_temp.get_stock_count(code, bar=self.step_bar) < self.hold_thresh
):
# can not sell this code
# no buy signal, but the stock is kept
self.stock_count[code] += 1
continue continue
# sell order # sell order
sell_amount = current_temp.get_stock_amount(code=code) sell_amount = current_temp.get_stock_amount(code=code)
@@ -207,18 +191,6 @@ class TopkDropoutStrategy(ModelStrategy):
) )
# update cash # update cash
cash += trade_val - trade_cost cash += trade_val - trade_cost
# sold
self.stock_count[code] = 0
else:
# no buy signal, but the stock is kept
self.stock_count[code] += 1
elif code in buy_signal:
# NOTE: This is different from the original version
# get new buy signal
# Only the stock fall in to topk will produce buy signal
self.stock_count[code] = 1
else:
self.stock_count[code] += 1
# buy new stock # buy new stock
# note the current has been changed # note the current has been changed
current_stock_list = current_temp.get_stock_list() current_stock_list = current_temp.get_stock_list()
@@ -249,7 +221,6 @@ class TopkDropoutStrategy(ModelStrategy):
factor=factor, factor=factor,
) )
buy_order_list.append(buy_order) buy_order_list.append(buy_order)
self.stock_count[code] = 1
return sell_order_list + buy_order_list return sell_order_list + buy_order_list

13
qlib/workflow/record_temp.py
View File

@@ -14,8 +14,9 @@ from ..data.dataset.handler import DataHandlerLP
from ..utils import init_instance_by_config, get_module_by_module_path from ..utils import init_instance_by_config, get_module_by_module_path
from ..log import get_module_logger from ..log import get_module_logger
from ..utils import flatten_dict from ..utils import flatten_dict
from ..strategy.base import BaseStrategy
from ..contrib.eva.alpha import calc_ic, calc_long_short_return from ..contrib.eva.alpha import calc_ic, calc_long_short_return
from ..contrib.strategy.strategy import BaseStrategy
logger = get_module_logger("workflow", "INFO") logger = get_module_logger("workflow", "INFO")
@@ -212,7 +213,7 @@ class SigAnaRecord(SignalRecord):
return paths return paths
class PortAnaRecord(SignalRecord): class PortAnaRecord(RecordTemp):
""" """
This is the Portfolio Analysis Record class that generates the analysis results such as those of backtest. This class inherits the ``RecordTemp`` class. This is the Portfolio Analysis Record class that generates the analysis results such as those of backtest. This class inherits the ``RecordTemp`` class.
@@ -243,16 +244,10 @@ class PortAnaRecord(SignalRecord):
self.risk_analysis_dep = risk_analysis_dep self.risk_analysis_dep = risk_analysis_dep
def generate(self, **kwargs): def generate(self, **kwargs):
# check previously stored prediction results
try:
self.check(parent=True) # "Make sure the parent process is completed and store the data properly."
except FileExistsError:
super().generate()
# custom strategy and get backtest # custom strategy and get backtest
report_list = normal_backtest(env=self.env_config, strategy=self.strategy_config, **self.backtest_config) report_list = normal_backtest(env=self.env_config, strategy=self.strategy_config, **self.backtest_config)
for report_dep, (report_normal, positions_normal) in enumerate(report_list): for report_dep, (report_normal, positions_normal) in enumerate(report_list):
if report_dict is None: if report_normal is None:
if self.risk_analysis_dep == report_dep: if self.risk_analysis_dep == report_dep:
warnings.warn( warnings.warn(
f"the report in dep {risk_analysis_dep} is None, please set the corresponding env with `generate_report==True`" f"the report in dep {risk_analysis_dep} is None, please set the corresponding env with `generate_report==True`"