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support empty benchmark

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Empty benchmark could accelerate the learning process
This commit is contained in:
Young
2021-07-26 06:14:57 +00:00
parent 9bf8c999e6
commit bdebe12cf2
6 changed files with 45 additions and 39 deletions
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3
qlib/backtest/__init__.py
View File

@@ -8,9 +8,9 @@ from .account import Account
if TYPE_CHECKING:
from ..strategy.base import BaseStrategy
from .executor import BaseExecutor
from .position import Position
from .exchange import Exchange
from .executor import BaseExecutor
from .backtest import backtest_loop
from .backtest import collect_data_loop
from .order import Order
@@ -155,6 +155,7 @@ def get_strategy_executor(
# - for avoiding recursive import
# - typing annotations is not reliable
from ..strategy.base import BaseStrategy
from .executor import BaseExecutor
trade_account = create_account_instance(
start_time=start_time, end_time=end_time, benchmark=benchmark, account=account, pos_type=pos_type

21
qlib/backtest/account.py
View File

@@ -75,17 +75,7 @@ class Account:
):
self._pos_type = pos_type
self._port_metr_enabled = port_metr_enabled
self.init_vars(init_cash, position_dict, freq, benchmark_config)
def is_port_metr_enabled(self):
"""
Is portfolio-based metrics enabled.
"""
return self._port_metr_enabled and not self.current.skip_update()
def init_vars(self, init_cash, position_dict, freq: str, benchmark_config: dict):
# init cash
self.init_cash = init_cash
self.current: BasePosition = init_instance_by_config(
{
@@ -100,8 +90,19 @@ class Account:
self.accum_info = AccumulatedInfo()
self.report = None
self.positions = {}
# in of reset ignore None values
self.benchmark_config = benchmark_config
self.freq = freq
self.reset(freq=freq, benchmark_config=benchmark_config, init_report=True)
def is_port_metr_enabled(self):
"""
Is portfolio-based metrics enabled.
"""
return self._port_metr_enabled and not self.current.skip_update()
def reset_report(self, freq, benchmark_config):
# portfolio related metrics
if self.is_port_metr_enabled():

20
qlib/backtest/exchange.py
View File

@@ -512,7 +512,7 @@ class Exchange:
def _get_factor_or_raise_erorr(self, factor: float = None, stock_id: str = None, start_time=None, end_time=None):
"""Please refer to the docs of get_amount_of_trade_unit"""
if factor is None:
if stock_id is not None and start_time is not None and end_time is not None :
if stock_id is not None and start_time is not None and end_time is not None:
factor = self.get_factor(stock_id=stock_id, start_time=start_time, end_time=end_time)
else:
raise ValueError(f"`factor` and (`stock_id`, `start_time`, `end_time`) can't both be None")
@@ -537,15 +537,16 @@ class Exchange:
the end time of trading range
"""
if not self.trade_w_adj_price and self.trade_unit is not None:
factor = self._get_factor_or_raise_erorr(factor=factor,
stock_id=stock_id,
start_time=start_time,
end_time=end_time)
factor = self._get_factor_or_raise_erorr(
factor=factor, stock_id=stock_id, start_time=start_time, end_time=end_time
)
return self.trade_unit / factor
else:
return None
def round_amount_by_trade_unit(self, deal_amount, factor: float = None, stock_id: str = None, start_time=None, end_time=None):
def round_amount_by_trade_unit(
self, deal_amount, factor: float = None, stock_id: str = None, start_time=None, end_time=None
):
"""Parameter
Please refer to the docs of get_amount_of_trade_unit
@@ -555,10 +556,9 @@ class Exchange:
"""
if not self.trade_w_adj_price and self.trade_unit is not None:
# the minimal amount is 1. Add 0.1 for solving precision problem.
factor = self._get_factor_or_raise_erorr(factor=factor,
stock_id=stock_id,
start_time=start_time,
end_time=end_time)
factor = self._get_factor_or_raise_erorr(
factor=factor, stock_id=stock_id, start_time=start_time, end_time=end_time
)
return (deal_amount * factor + 0.1) // self.trade_unit * self.trade_unit / factor
return deal_amount

5
qlib/backtest/report.py
View File

@@ -80,11 +80,12 @@ class Report:
def init_bench(self, freq=None, benchmark_config=None):
if freq is not None:
self.freq = freq
if benchmark_config is not None:
self.benchmark_config = benchmark_config
self.benchmark_config = benchmark_config
self.bench = self._cal_benchmark(self.benchmark_config, self.freq)
def _cal_benchmark(self, benchmark_config, freq):
if benchmark_config is None:
return None
benchmark = benchmark_config.get("benchmark", CSI300_BENCH)
if benchmark is None:
return None

32
qlib/contrib/strategy/rule_strategy.py
View File

@@ -63,9 +63,9 @@ class TWAPStrategy(BaseStrategy):
stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time
):
continue
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(stock_id=order.stock_id,
start_time=order.start_time,
end_time=order.end_time)
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(
stock_id=order.stock_id, start_time=order.start_time, end_time=order.end_time
)
_order_amount = None
# considering trade unit
if _amount_trade_unit is None:
@@ -169,9 +169,9 @@ class SBBStrategyBase(BaseStrategy):
self.trade_trend[order.stock_id] = _pred_trend
continue
# get amount of one trade unit
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(stock_id=order.stock_id,
start_time=order.start_time,
end_time=order.end_time)
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(
stock_id=order.stock_id, start_time=order.start_time, end_time=order.end_time
)
if _pred_trend == self.TREND_MID:
_order_amount = None
# considering trade unit
@@ -471,9 +471,9 @@ class ACStrategy(BaseStrategy):
if sig_sam is None or np.isnan(sig_sam):
# no signal, TWAP
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(stock_id=order.stock_id,
start_time=order.start_time,
end_time=order.end_time)
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(
stock_id=order.stock_id, start_time=order.start_time, end_time=order.end_time
)
if _amount_trade_unit is None:
# divide the order into equal parts, and trade one part
_order_amount = self.trade_amount[order.stock_id] / (trade_len - trade_step)
@@ -494,10 +494,9 @@ class ACStrategy(BaseStrategy):
np.sinh(kappa * (trade_len - trade_step)) - np.sinh(kappa * (trade_len - trade_step - 1))
) / np.sinh(kappa * trade_len)
_order_amount = order.amount * amount_ratio
_order_amount = self.trade_exchange.round_amount_by_trade_unit(_order_amount,
stock_id=order.stock_id,
start_time=order.start_time,
end_time=order.end_time)
_order_amount = self.trade_exchange.round_amount_by_trade_unit(
_order_amount, stock_id=order.stock_id, start_time=order.start_time, end_time=order.end_time
)
if order.direction == order.SELL:
# sell all amount at last
@@ -584,8 +583,11 @@ class FileOrderStrategy(BaseStrategy):
"""
def __init__(
self, file: Union[IO, str, Path, pd.DataFrame],
trade_range: Union[Tuple[int, int], TradeRange] = None, *args, **kwargs
self,
file: Union[IO, str, Path, pd.DataFrame],
trade_range: Union[Tuple[int, int], TradeRange] = None,
*args,
**kwargs,
):
"""

3
qlib/strategy/base.py
View File

@@ -2,9 +2,10 @@
# Licensed under the MIT License.
from __future__ import annotations
from typing import TYPE_CHECKING
if TYPE_CHECKING:
from qlib.backtest.exchange import Exchange
from qlib.backtest.position import BasePosition
from qlib.backtest.position import BasePosition
from typing import List, Tuple, Union
from ..model.base import BaseModel