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Migrate backtest logic from NT (#1263)

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* Backtest migration

* Minor bug fix in test

* Reorganize file to avoid loop import

* Fix test SAOE bug

* Remove unnecessary names

* Resolve PR comments; remove private classes;

* Fix CI error

* Resolve PR comments

* Refactor data interfaces

* Remove convert_instance_config and change config

* Pylint issue

* Pylint issue

* Fix tempfile warning

* Resolve PR comments

* Add more comments
This commit is contained in:
Huoran Li
2022-09-19 14:54:26 +08:00
committed by GitHub
parent e762548295
commit bee05f56ef
19 changed files with 794 additions and 118 deletions
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8
qlib/backtest/__init__.py
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@@ -114,7 +114,7 @@ def get_exchange(
def create_account_instance(
start_time: Union[pd.Timestamp, str],
end_time: Union[pd.Timestamp, str],
benchmark: str,
benchmark: Optional[str],
account: Union[float, int, dict],
pos_type: str = "Position",
) -> Account:
@@ -163,7 +163,9 @@ def create_account_instance(
init_cash=init_cash,
position_dict=position_dict,
pos_type=pos_type,
benchmark_config={
benchmark_config={}
if benchmark is None
else {
"benchmark": benchmark,
"start_time": start_time,
"end_time": end_time,
@@ -176,7 +178,7 @@ def get_strategy_executor(
end_time: Union[pd.Timestamp, str],
strategy: Union[str, dict, object, Path],
executor: Union[str, dict, object, Path],
benchmark: str = "SH000300",
benchmark: Optional[str] = "SH000300",
account: Union[float, int, dict] = 1e9,
exchange_kwargs: dict = {},
pos_type: str = "Position",