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update trade calendar & backtest workflow

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This commit is contained in:
bxdd
2021-04-24 02:29:42 +08:00
parent 39deb7d27f
commit b14efa1129
10 changed files with 263 additions and 254 deletions
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74
qlib/backtest/__init__.py
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@@ -2,11 +2,10 @@
# Licensed under the MIT License.
from .order import Order
from .account import Account
from .position import Position
from .exchange import Exchange
from .report import Report
from .backtest import backtest as backtest_func, get_date_range
from .backtest import backtest as backtest_func
import copy
import numpy as np
@@ -18,21 +17,6 @@ from ..config import C
logger = get_module_logger("backtest caller")
def init_env_instance_by_config(env):
if isinstance(env, dict):
env_config = copy.copy(env)
if "kwargs" in env_config:
env_kwargs = copy.copy(env_config["kwargs"]):
if "sub_env" in env_kwargs:
env_kwargs["sub_env"] = init_env_instance_by_config(env_kwargs["sub_env"])
if "sub_strategy" in env_kwargs:
env_kwargs["sub_strategy"] = init_instance_by_config(env_kwargs["sub_strategy"])
env_config["kwargs"] = env_kwargs
return init_instance_by_config(env_config)
else:
return env
def get_exchange(
pred,
exchange=None,
@@ -103,36 +87,44 @@ def get_exchange(
else:
return init_instance_by_config(exchange, accept_types=Exchange)
def backtest(start_time, end_time, strategy, env, account=1e9, benchmark, **kwargs):
def init_env_instance_by_config(env):
if isinstance(env, dict):
env_config = copy.copy(env)
if "kwargs" in env_config:
env_kwargs = copy.copy(env_config["kwargs"]):
if "sub_env" in env_kwargs:
env_kwargs["sub_env"] = init_env_instance_by_config(env_kwargs["sub_env"])
if "sub_strategy" in env_kwargs:
env_kwargs["sub_strategy"] = init_instance_by_config(env_kwargs["sub_strategy"])
env_config["kwargs"] = env_kwargs
return init_instance_by_config(env_config)
else:
return env
def setup_exchange(root_instance, trade_exchange=None, force=False):
if "trade_exchange" in inspect.getfullargspec(root_instance.__class__).args:
if force:
root_instance.reset(trade_exchange=trade_exchange)
else:
if not hasattr(root_instance, "trade_exchange") or root_instance.trade_exchange is None:
root_instance.reset(trade_exchange=trade_exchange)
if hasattr(root_instance, "sub_env"):
setup_exchange(root_instance.sub_env, trade_exchange)
if hasattr(root_instance, "sub_strategy"):
setup_exchange(root_instance.sub_strategy, trade_exchange)
def backtest(start_time, end_time, strategy, env, benchmark, account=1e9, **kwargs):
trade_strategy = init_instance_by_config(strategy)
trade_env = init_env_instance_by_config(env)
trade_account = Account(init_cash=account)
spec = inspect.getfullargspec(get_exchange)
ex_args = {k: v for k, v in kwargs.items() if k in spec.args}
trade_exchange = get_exchange(pred, **ex_args)
temp_env = trade_env
while True:
if hasattr(temp_env, "trade_exchange"):
temp_env.reset(trade_exchange=trade_exchange)
if hasattr(temp_env, "sub_env"):
temp_env = temp_env.sub_env
else:
break
trade_env.reset(start_time=start_time, end_time=end_time, trade_account=trade_account)
trade_strategy.reset(start_time=start_time, end_time=end_time)
trade_state = self.sub_env.get_first_state()
while not trade_env.finished():
_order_list = self.sub_strategy.generate_order(**trade_state)
trade_state, trade_info = self.sub_env.execute(sub_order_list)
report_df = trade_account.report.generate_report_dataframe()
positions = trade_account.get_positions()
setup_exchange(trade_env, trade_exchange)
setup_exchange(trade_strategy, trade_exchange)
report_dict = {"report_df": report_df, "positions": positions}
report_dict = backtest_func(start_time, end_time, trade_strategy, trade_env, benchmark, account)
return
return report_dict