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pass the whole workflow

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Young
2020-10-28 14:07:33 +00:00
parent 1a9ee6cef8
commit a50c9008b8
10 changed files with 296 additions and 221 deletions
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15
qlib/contrib/evaluate.py
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@@ -15,6 +15,7 @@ from .backtest.backtest import backtest as backtest_func, get_date_range
from ..data import D
from ..config import C
from ..data.dataset.utils import get_level_index
logger = get_module_logger("Evaluate")
@@ -158,11 +159,11 @@ def get_exchange(
if deal_price[0] != "$":
deal_price = "$" + deal_price
if extract_codes:
codes = sorted(pred.index.get_level_values(0).unique())
codes = sorted(pred.index.get_level_values('instrument').unique())
else:
codes = "all" # TODO: We must ensure that 'all.txt' includes all the stocks
dates = sorted(pred.index.get_level_values(1).unique())
dates = sorted(pred.index.get_level_values('datetime').unique())
dates = np.append(dates, get_date_range(dates[-1], shift=shift))
exchange = Exchange(
@@ -187,7 +188,7 @@ def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, **k
# backtest workflow related or commmon arguments
pred : pandas.DataFrame
predict should has <instrument, datetime> index and one `score` column
predict should has <datetime, instrument> index and one `score` column
account : float
init account value
shift : int
@@ -297,6 +298,8 @@ def long_short_backtest(
"short": short_returns(excess),
"long_short": long_short_returns}
"""
if get_level_index(pred, level='datetime') == 1:
pred = pred.swaplevel().sort_index()
if trade_unit is None:
trade_unit = C.trade_unit
@@ -333,13 +336,13 @@ def long_short_backtest(
ls_returns = {}
for pdate, date in zip(predict_dates, trade_dates):
score = pred.loc(axis=0)[:, pdate]
score = pred.loc(axis=0)[pdate, :]
score = score.reset_index().sort_values(by="score", ascending=False)
long_stocks = list(score.iloc[:topk]["instrument"])
short_stocks = list(score.iloc[-topk:]["instrument"])
score = score.set_index(["instrument", "datetime"]).sort_index()
score = score.set_index(["datetime", "instrument"]).sort_index()
long_profit = []
short_profit = []
@@ -363,7 +366,7 @@ def long_short_backtest(
else:
short_profit.append(-profit)
for stock in list(score.loc(axis=0)[:, pdate].index.get_level_values(level=0)):
for stock in list(score.loc(axis=0)[pdate, :].index.get_level_values(level=0)):
# exclude the suspend stock
if trade_exchange.check_stock_suspended(stock_id=stock, trade_date=date):
continue