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bxdd
2021-05-06 21:34:31 +08:00
parent 7540ecde11
commit bc3eada02d
2 changed files with 5 additions and 8 deletions
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4
examples/highfreq/backtest/workflow.py
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@@ -112,7 +112,7 @@ if __name__ == "__main__":
"min_cost": 5, "min_cost": 5,
}, },
} }
with R.start(experiment_name="highfreq_backtest"): with R.start(experiment_name="highfreq_backtest"):
R.log_params(**flatten_dict(task)) R.log_params(**flatten_dict(task))
model.fit(dataset) model.fit(dataset)
@@ -126,4 +126,4 @@ if __name__ == "__main__":
# backtest. If users want to use backtest based on their own prediction, # backtest. If users want to use backtest based on their own prediction,
# please refer to https://qlib.readthedocs.io/en/latest/component/recorder.html#record-template. # please refer to https://qlib.readthedocs.io/en/latest/component/recorder.html#record-template.
par = PortAnaRecord(recorder, port_analysis_config, "day") par = PortAnaRecord(recorder, port_analysis_config, "day")
par.generate() par.generate()

9
qlib/contrib/strategy/rule_strategy.py
View File

@@ -19,9 +19,7 @@ class TWAPStrategy(RuleStrategy, TradingEnhancement):
trade_exchange=None, trade_exchange=None,
**kwargs, **kwargs,
): ):
super(TWAPStrategy, self).__init__( super(TWAPStrategy, self).__init__(step_bar, start_time, end_time, trade_exchange=trade_exchange, **kwargs)
step_bar, start_time, end_time, trade_exchange=trade_exchange, **kwargs
)
def reset(self, trade_order_list=None, trade_exchange=None, **kwargs): def reset(self, trade_order_list=None, trade_exchange=None, **kwargs):
super(TWAPStrategy, self).reset(**kwargs) super(TWAPStrategy, self).reset(**kwargs)
@@ -58,6 +56,7 @@ class SBBStrategyBase(RuleStrategy, TradingEnhancement):
TREND_MID = 0 TREND_MID = 0
TREND_SHORT = 1 TREND_SHORT = 1
TREND_LONG = 2 TREND_LONG = 2
def __init__( def __init__(
self, self,
step_bar, step_bar,
@@ -66,9 +65,7 @@ class SBBStrategyBase(RuleStrategy, TradingEnhancement):
trade_exchange=None, trade_exchange=None,
**kwargs, **kwargs,
): ):
super(SBBStrategyBase, self).__init__( super(SBBStrategyBase, self).__init__(step_bar, start_time, end_time, trade_exchange=trade_exchange, **kwargs)
step_bar, start_time, end_time, trade_exchange=trade_exchange, **kwargs
)
def reset(self, trade_order_list=None, trade_exchange=None, **kwargs): def reset(self, trade_order_list=None, trade_exchange=None, **kwargs):
super(SBBStrategyBase, self).reset(**kwargs) super(SBBStrategyBase, self).reset(**kwargs)