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fix bug

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This commit is contained in:
bxdd
2021-04-24 22:37:36 +08:00
parent b14efa1129
commit af0053eb17
29 changed files with 314 additions and 2247 deletions
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35
examples/highfreq/backtest/workflow.py
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@@ -7,13 +7,9 @@ from pathlib import Path
import qlib
import pandas as pd
from qlib.config import REG_CN
from qlib.contrib.model.gbdt import LGBModel
from qlib.contrib.data.handler import Alpha158
from qlib.contrib.strategy.strategy import TopkDropoutStrategy
from qlib.backtest import backtest
from qlib.contrib.strategy import TopkDropoutStrategy
from qlib.contrib.backtest import backtest
from qlib.utils import exists_qlib_data, init_instance_by_config, flatten_dict
from qlib.workflow import R
from qlib.workflow.record_temp import SignalRecord, PortAnaRecord
from qlib.tests.data import GetData
if __name__ == "__main__":
@@ -67,9 +63,9 @@ if __name__ == "__main__":
"kwargs": data_handler_config,
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"train": ("2012-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
"test": ("2017-01-01", "2018-01-31"),
},
},
},
@@ -79,41 +75,40 @@ if __name__ == "__main__":
dataset = init_instance_by_config(task["dataset"])
model.fit(dataset)
trade_start_time = "2017-01-01"
trade_end_time = "2020-08-01"
trade_exchange = get_exchange(start_time=trade_start_time, end_time=trade_end_time)
trade_start_time = "2017-01-31"
trade_end_time = "2018-01-31"
backtest_config={
"strategy": {
"class": "TopkDropoutStrategy",
"module_path": "qlib.contrib.strategy.dl_strategy",
"kwargs": {
"step_bar": "day",
"step_bar": "week",
"model": model,
"dataset": dataset,
"trade_exchange": trade_exchange,
"topk": 50,
"n_drop": 5,
},
},
"env":{
"class": "SplitEnv",
"module_path": "qlib.backtest.env",
"module_path": "qlib.contrib.backtest.env",
"kwargs": {
"step_bar": "day",
"step_bar": "week",
"sub_env": {
"class": "SimulatorEnv",
"module_path": "qlib.backtest.env",
"module_path": "qlib.contrib.backtest.env",
"kwargs": {
"step_bar": "1min",
"trade_exchange": trade_exchange,
"step_bar": "day",
}
},
"sub_strategy": {
"class": "SBBStrategyEMA",
"module_path": "qlib.contrib.strategy.rule_strategy",
"kwargs": {
"step_bar": "1min",
"step_bar": "day",
"freq": "day",
"instruments": "csi300",
}
}
}
@@ -121,4 +116,4 @@ if __name__ == "__main__":
}
backtest(**backtest_config, )
report_dict = backtest(start_time=trade_start_time, end_time=trade_end_time, **backtest_config, account=1e8, deal_price="$close", verbose=False)