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Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy

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v-mingzhehan
2021-06-22 07:07:07 +00:00
parent 7525854bed ab97e82484
commit d226ac8c32
4 changed files with 28 additions and 13 deletions
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14
examples/nested_decision_execution/workflow.py
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@@ -20,7 +20,7 @@ class NestedDecisonExecutionWorkflow:
benchmark = "SH000300"
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2021-05-28",
"end_time": "2020-12-31",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": market,
@@ -54,7 +54,7 @@ class NestedDecisonExecutionWorkflow:
"segments": {
"train": ("2007-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2020-09-01", "2021-05-28"),
"test": ("2020-01-01", "2020-12-31"),
},
},
},
@@ -79,12 +79,8 @@ class NestedDecisonExecutionWorkflow:
},
},
"inner_strategy": {
"class": "SBBStrategyEMA",
"class": "TWAPStrategy",
"module_path": "qlib.contrib.strategy.rule_strategy",
"kwargs": {
"freq": "day",
"instruments": market,
},
},
"track_data": True,
"generate_report": True,
@@ -94,8 +90,8 @@ class NestedDecisonExecutionWorkflow:
},
},
"backtest": {
"start_time": "2020-09-20",
"end_time": "2021-05-28",
"start_time": "2020-01-01",
"end_time": "2020-12-31",
"account": 100000000,
"benchmark": benchmark,
"exchange_kwargs": {