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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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15
tests/storage_tests/test_storage.py
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@@ -75,7 +75,7 @@ class TestStorage(TestAutoData):
"""
instrument = InstrumentStorage(market="csi300", provider_uri=self.provider_uri)
instrument = InstrumentStorage(market="csi300", provider_uri=self.provider_uri, freq="day")
for inst, spans in instrument.data.items():
assert isinstance(inst, str) and isinstance(
@@ -88,7 +88,7 @@ class TestStorage(TestAutoData):
print(f"instrument['SH600000']: {instrument['SH600000']}")
instrument = InstrumentStorage(market="csi300", provider_uri="not_found")
instrument = InstrumentStorage(market="csi300", provider_uri="not_found", freq="day")
with self.assertRaises(ValueError):
print(instrument.data)
@@ -163,8 +163,9 @@ class TestStorage(TestAutoData):
feature = FeatureStorage(instrument="SH600004", field="close", freq="day", provider_uri="not_fount")
assert feature[0] == (None, None), "FeatureStorage does not exist, feature[i] should return `(None, None)`"
assert feature[:].empty, "FeatureStorage does not exist, feature[:] should return `pd.Series(dtype=np.float32)`"
assert (
feature.data.empty
), "FeatureStorage does not exist, feature.data should return `pd.Series(dtype=np.float32)`"
with self.assertRaises(ValueError):
print(feature[0])
with self.assertRaises(ValueError):
print(feature[:].empty)
with self.assertRaises(ValueError):
print(feature.data.empty)