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update trade calendar & backtest workflow

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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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13
qlib/contrib/strategy/dl_strategy.py
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@@ -15,11 +15,11 @@ class TopkDropoutStrategy(DLStrategy):
step_bar,
model,
dataset,
trade_exchange,
topk,
n_drop,
start_time=None,
end_time=None,
trade_exchange=None,
method_sell="bottom",
method_buy="top",
risk_degree=0.95,
@@ -54,7 +54,6 @@ class TopkDropoutStrategy(DLStrategy):
strategy will make decision with the tradable state of the stock info and avoid buy and sell them.
"""
super(TopkDropoutStrategy, self).__init__(step_bar, model, dataset, start_time, end_time)
self.trade_exchange = trade_exchange
self.topk = topk
self.n_drop = n_drop
self.method_sell = method_sell
@@ -68,6 +67,10 @@ class TopkDropoutStrategy(DLStrategy):
self.only_tradable = only_tradable
def reset(trade_exchange=None, **kwargs):
super(TopkDropoutStrategy, self).reset(**kwargs)
self.trade_exchange = trade_exchange
def get_risk_degree(self, trade_index):
"""get_risk_degree
Return the proportion of your total value you will used in investment.
@@ -78,8 +81,8 @@ class TopkDropoutStrategy(DLStrategy):
def generate_order_list(self, current, **kwargs):
super(TopkDropoutStrategy, self).generate_order_list()
trade_start_time, trade_end_time = self._get_trade_time()
pred_start_time, pred_end_time = self._get_last_trade_time()
trade_start_time, trade_end_time = self._get_trade_time(self.trade_index)
pred_start_time, pred_end_time = self._get_calendar_time(self.trade_index, shift=1)
pred_score = sample_feature(self.pred_scores, start_time=pred_start_time, end_time=pred_end_time, method="last")
if self.only_tradable:
# If The strategy only consider tradable stock when make decision
@@ -268,7 +271,7 @@ class WeightStrategyBase(DLStrategy):
# generate_order_list
# generate_target_weight_position() and generate_order_list_from_target_weight_position() to generate order_list
super(WeightStrategyBase, self).generate_order_list()
trade_start_time, trade_end_time = self._get_trade_time()
trade_start_time, trade_end_time = self._get_trade_time(self.trade_index)
pred_start_time, pred_end_time = self._get_pred_time()
pred_score = sample_feature(self.pred_scores, start_time=pred_start_time, end_time=pred_end_time, method="last")
current_temp = copy.deepcopy(trade_account.current)

7
qlib/contrib/strategy/rule_strategy.py
View File

@@ -57,7 +57,7 @@ class SBBStrategyBase(RuleStrategy, TradingEnhancement):
def generate_order_list(self, **kwargs):
super(SBBStrategyBase, self).generate_order_list()
trade_start_time, trade_end_time = self._get_trade_time()
pred_start_time, pred_end_time = self._get_last_trade_time()
pred_start_time, pred_end_time = self._get_calendar_time(self.trade_index, shift=1)
order_list = []
for order in self.trade_order_list:
if self.trade_index % 2 == 1:
@@ -127,8 +127,9 @@ class SBBStrategyEMA(SBBStrategyBase):
def _reset_trade_calendar(self, start_time=None, end_time=None, _calendar=None):
super(SBBStrategyEMA, self)._reset_trade_calendar(start_time=start_time, end_time=end_time, _calendar=_calendar)
fields = [("EMA...", "signal")]
self.signal = D.features(instruments, fields, start_time=self.start_time, end_time=self.end_time, freq=self.freq)
fields = [("EMA($close, 10) - EMA($close, 20)", "signal")]
signal_start_time, _ = self._get_calendar_time(trade_index=self.trade_index, shift=1)
self.signal = D.features(instruments, fields, start_time=signal_start_time, end_time=self.end_time, freq=self.freq)
def _pred_price_trend(self, stock_id, pred_start_time=None, pred_end_time=None):
_sample_signal = sample_feature(self.signal, stock_id, start_time=pred_start_time, end_time=pred_end_time, fields="signal", method="last")