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successful run random order gen in day script

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Young
2021-06-25 20:12:39 +00:00
committed by you-n-g
parent b68294da93
commit b41267fa59
17 changed files with 505 additions and 354 deletions
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12
qlib/contrib/evaluate.py
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@@ -11,7 +11,7 @@ import warnings
from ..log import get_module_logger
from ..backtest import get_exchange, backtest as backtest_func
from ..utils import get_date_range
from ..utils.resam import parse_freq, NORM_FREQ_MONTH, NORM_FREQ_WEEK, NORM_FREQ_DAY, NORM_FREQ_MINUTE
from ..utils.resam import Freq
from ..data import D
from ..config import C
@@ -35,12 +35,12 @@ def risk_analysis(r, N: int = None, freq: str = "day"):
"""
def cal_risk_analysis_scaler(freq):
_count, _freq = parse_freq(freq)
_count, _freq = Freq.parse(freq)
_freq_scaler = {
NORM_FREQ_MINUTE: 240 * 252,
NORM_FREQ_DAY: 252,
NORM_FREQ_WEEK: 50,
NORM_FREQ_MONTH: 12,
Freq.NORM_FREQ_MINUTE: 240 * 252,
Freq.NORM_FREQ_DAY: 252,
Freq.NORM_FREQ_WEEK: 50,
Freq.NORM_FREQ_MONTH: 12,
}
return _freq_scaler[_freq] / _count