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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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17
qlib/utils/__init__.py
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@@ -918,20 +918,25 @@ def sample_calendar(calendar_raw, freq_raw, freq_sam):
else:
raise ValueError("sample freq must be xmin, xd, xw, xm")
def get_sample_freq_calendar(start_time, end_time, freq):
def get_sample_freq_calendar(start_time=None, end_time=None, freq, **kwargs):
try:
_calendar = D.calendar(start_time=start_time, end_time=end_time, freq=freq)
_calendar = D.calendar(start_time=start_time, end_time=end_time, freq=freq, **kwargs)
freq, freq_sam = freq, None
except ValueError:
freq_sam = freq
if freq.endswith(("m", "month", "w", "week", "d", "day")):
try:
_calendar = D.calendar(start_time=self.start_time, end_time=self.end_time, freq="min", freq_sam=freq)
_calendar = D.calendar(start_time=self.start_time, end_time=self.end_time, freq="min", freq_sam=freq, **kwargs)
freq = "min"
except ValueError:
_calendar = D.calendar(start_time=self.start_time, end_time=self.end_time, freq="day", freq_sam=freq)
_calendar = D.calendar(start_time=self.start_time, end_time=self.end_time, freq="day", freq_sam=freq, **kwargs)
freq = "day"
elif freq.endswith(("min", "minute")):
_calendar = D.calendar(start_time=self.start_time, end_time=self.end_time, freq="min", freq_sam=freq)
_calendar = D.calendar(start_time=self.start_time, end_time=self.end_time, freq="min", freq_sam=freq, **kwargs)
freq = "min"
else:
raise ValueError(f"freq {freq} is not supported")
return _calendar
return _calendar, freq, freq_sam
def sample_feature(feature, instruments=None, start_time=None, end_time=None, fields=None, method=None, method_kwargs={}):
if instruments and type(instruments) is not list: