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Merge branch 'main' into main

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you-n-g
2020-11-14 17:17:02 +08:00
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parent 7a79028a72 16f2b5d821
commit c06914eb39
10 changed files with 230 additions and 86 deletions
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5
qlib/contrib/strategy/strategy.py
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@@ -239,7 +239,6 @@ class TopkDropoutStrategy(BaseStrategy, ListAdjustTimer):
sell_order_list = []
buy_order_list = []
# load score
cash = current_temp.get_cash()
current_stock_list = current_temp.get_stock_list()
last = score_series.reindex(current_stock_list).sort_values(ascending=False).index
today = (
@@ -276,8 +275,6 @@ class TopkDropoutStrategy(BaseStrategy, ListAdjustTimer):
if trade_exchange.check_order(sell_order):
sell_order_list.append(sell_order)
trade_val, trade_cost, trade_price = trade_exchange.deal_order(sell_order, position=current_temp)
# update cash
cash += trade_val - trade_cost
# sold
del self.stock_count[code]
else:
@@ -293,7 +290,7 @@ class TopkDropoutStrategy(BaseStrategy, ListAdjustTimer):
# buy new stock
# note the current has been changed
current_stock_list = current_temp.get_stock_list()
value = cash * self.risk_degree / len(buy) if len(buy) > 0 else 0
value = current_temp.get_cash() * self.risk_degree / len(buy) if len(buy) > 0 else 0
# open_cost should be considered in the real trading environment, while the backtest in evaluate.py does not consider it
# as the aim of demo is to accomplish same strategy as evaluate.py, so comment out this line