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Fix backtest (#719)

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* modify FileStorage to support multiple freqs

* modify backtest's sample documentation

* change the logging level of read data exception from error to debug

* fix the backtest exception when volume is 0 or np.nan

* fix test_storage.py

* add backtest_daily

* modify backtest_daily's docstring

* add __repr__/__str__ to Position

* fix the bug of nested_decision_execution example

Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
This commit is contained in:
Pengrong Zhu
2021-12-07 19:04:23 +08:00
committed by GitHub
parent 84103c7d43
commit c276de4040
19 changed files with 663 additions and 232 deletions
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8
qlib/backtest/exchange.py
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@@ -231,7 +231,7 @@ class Exchange:
self.extra_quote["limit_buy"] = False
self.logger.warning("No limit_buy set for extra_quote. All stock will be able to be bought.")
assert set(self.extra_quote.columns) == set(self.quote_df.columns) - {"$change"}
self.quote_df = pd.concat([self.quote_df, extra_quote], sort=False, axis=0)
self.quote_df = pd.concat([self.quote_df, self.extra_quote], sort=False, axis=0)
LT_TP_EXP = "(exp)" # Tuple[str, str]
LT_FLT = "float" # float
@@ -736,7 +736,11 @@ class Exchange:
# TODO: the adjusted cost ratio can be overestimated as deal_amount will be clipped in the next steps
trade_val = order.deal_amount * trade_price
adj_cost_ratio = self.impact_cost * (trade_val / total_trade_val) ** 2
if not total_trade_val or np.isnan(total_trade_val):
# TODO: assert trade_val == 0, f"trade_val != 0, total_trade_val: {total_trade_val}; order info: {order}"
adj_cost_ratio = self.impact_cost
else:
adj_cost_ratio = self.impact_cost * (trade_val / total_trade_val) ** 2
if order.direction == Order.SELL:
cost_ratio = self.close_cost + adj_cost_ratio