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update workflow_by_code & update executor

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bxdd
2021-06-01 17:44:22 +08:00
parent a46d99a2be
commit a183d8a631
4 changed files with 37 additions and 16 deletions
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39
examples/workflow_by_code.py
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@@ -66,32 +66,45 @@ if __name__ == "__main__":
},
}
# model initialization
model = init_instance_by_config(task["model"])
dataset = init_instance_by_config(task["dataset"])
port_analysis_config = {
"executor": {
"class": "SimulatorExecutor",
"module_path": "qlib.backtest.executor",
"kwargs": {
"time_per_step": "day",
"generate_report": True,
},
},
"strategy": {
"class": "TopkDropoutStrategy",
"module_path": "qlib.contrib.strategy.strategy",
"module_path": "qlib.contrib.strategy.model_strategy",
"kwargs": {
"model": model,
"dataset": dataset,
"topk": 50,
"n_drop": 5,
},
},
"backtest": {
"verbose": False,
"limit_threshold": 0.095,
"start_time": "2017-01-01",
"end_time": "2020-08-01",
"account": 100000000,
"benchmark": benchmark,
"deal_price": "close",
"open_cost": 0.0005,
"close_cost": 0.0015,
"min_cost": 5,
"return_order": True,
"exchange_kwargs": {
"freq": "day",
"limit_threshold": 0.095,
"deal_price": "close",
"open_cost": 0.0005,
"close_cost": 0.0015,
"min_cost": 5,
},
},
}
# model initialization
model = init_instance_by_config(task["model"])
dataset = init_instance_by_config(task["dataset"])
# NOTE: This line is optional
# It demonstrates that the dataset can be used standalone.
example_df = dataset.prepare("train")
@@ -110,5 +123,5 @@ if __name__ == "__main__":
# 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.
par = PortAnaRecord(recorder, port_analysis_config)
par = PortAnaRecord(recorder, port_analysis_config, "day")
par.generate()