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bxdd
2021-01-19 01:06:17 +09:00
committed by you-n-g
parent 65d8af41e7
commit cc214a3462
2 changed files with 14 additions and 6 deletions
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11
qlib/contrib/backtest/__init__.py
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@@ -16,6 +16,7 @@ from ...config import C
logger = get_module_logger("backtest caller") logger = get_module_logger("backtest caller")
def get_strategy( def get_strategy(
strategy=None, strategy=None,
topk=50, topk=50,
@@ -61,7 +62,6 @@ def get_strategy(
an initialized strategy object an initialized strategy object
""" """
# There will be 3 ways to return a strategy. # There will be 3 ways to return a strategy.
if strategy is None: if strategy is None:
# 1) create strategy with param `strategy` # 1) create strategy with param `strategy`
@@ -72,6 +72,7 @@ def get_strategy(
} }
logger.info("Create new strategy ") logger.info("Create new strategy ")
from .. import strategy as strategy_pool from .. import strategy as strategy_pool
str_cls = getattr(strategy_pool, str_cls_dict.get(str_type)) str_cls = getattr(strategy_pool, str_cls_dict.get(str_type))
strategy = str_cls( strategy = str_cls(
topk=topk, topk=topk,
@@ -86,6 +87,7 @@ def get_strategy(
strategy = init_instance_by_config(strategy) strategy = init_instance_by_config(strategy)
from ..strategy.strategy import BaseStrategy from ..strategy.strategy import BaseStrategy
# else: nothing happens. 3) Use the strategy directly # else: nothing happens. 3) Use the strategy directly
if not isinstance(strategy, BaseStrategy): if not isinstance(strategy, BaseStrategy):
raise TypeError("Strategy not supported") raise TypeError("Strategy not supported")
@@ -193,12 +195,13 @@ def get_executor(
:class: BaseExecutor :class: BaseExecutor
an initialized BaseExecutor object an initialized BaseExecutor object
""" """
# There will be 3 ways to return a executor. # There will be 3 ways to return a executor.
if executor is None: if executor is None:
# 1) create executor with param `executor` # 1) create executor with param `executor`
logger.info("Create new executor ") logger.info("Create new executor ")
from ..online.executor import SimulatorExecutor from ..online.executor import SimulatorExecutor
executor = SimulatorExecutor(trade_exchange=trade_exchange, verbose=verbose) executor = SimulatorExecutor(trade_exchange=trade_exchange, verbose=verbose)
elif isinstance(executor, (dict, str)): elif isinstance(executor, (dict, str)):
# 2) create executor with config # 2) create executor with config
@@ -206,11 +209,13 @@ def get_executor(
executor = init_instance_by_config(executor) executor = init_instance_by_config(executor)
from ..online.executor import BaseExecutor from ..online.executor import BaseExecutor
# 3) Use the executor directly # 3) Use the executor directly
if not isinstance(executor, BaseExecutor): if not isinstance(executor, BaseExecutor):
raise TypeError("Executor not supported") raise TypeError("Executor not supported")
return executor return executor
# This is the API for compatibility for legacy code # This is the API for compatibility for legacy code
def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, return_order=False, **kwargs): def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, return_order=False, **kwargs):
"""This function will help you set a reasonable Exchange and provide default value for strategy """This function will help you set a reasonable Exchange and provide default value for strategy
@@ -316,4 +321,4 @@ def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, ret
positions = report_dict.get("positions") positions = report_dict.get("positions")
report_dict.update({"positions": {k: p.position for k, p in positions.items()}}) report_dict.update({"positions": {k: p.position for k, p in positions.items()}})
return report_dict return report_dict

9
qlib/contrib/evaluate.py
View File

@@ -45,7 +45,6 @@ def risk_analysis(r, N=252):
return res return res
# This is the API for compatibility for legacy code # This is the API for compatibility for legacy code
def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, **kwargs): def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, **kwargs):
"""This function will help you set a reasonable Exchange and provide default value for strategy """This function will help you set a reasonable Exchange and provide default value for strategy
@@ -120,8 +119,12 @@ def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, **k
whether to print log. whether to print log.
""" """
warnings.warn("this function is deprecated, please use backtest function in qlib.contrib.backtest", DeprecationWarning) warnings.warn(
report_dict = backtest_func(pred=pred, account=account, shift=shift, benchmark=benchmark, verbose=verbose, return_order=False, **kwargs) "this function is deprecated, please use backtest function in qlib.contrib.backtest", DeprecationWarning
)
report_dict = backtest_func(
pred=pred, account=account, shift=shift, benchmark=benchmark, verbose=verbose, return_order=False, **kwargs
)
return report_dict.get("report_df"), report_dict.get("positions") return report_dict.get("report_df"), report_dict.get("positions")