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Jactus
2020-10-29 13:22:49 +08:00
parent 490dbd908b
commit da9d1c8ac6
20 changed files with 290 additions and 251 deletions
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6
qlib/contrib/evaluate.py
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@@ -159,11 +159,11 @@ def get_exchange(
if deal_price[0] != "$":
deal_price = "$" + deal_price
if extract_codes:
codes = sorted(pred.index.get_level_values('instrument').unique())
codes = sorted(pred.index.get_level_values("instrument").unique())
else:
codes = "all" # TODO: We must ensure that 'all.txt' includes all the stocks
dates = sorted(pred.index.get_level_values('datetime').unique())
dates = sorted(pred.index.get_level_values("datetime").unique())
dates = np.append(dates, get_date_range(dates[-1], shift=shift))
exchange = Exchange(
@@ -298,7 +298,7 @@ def long_short_backtest(
"short": short_returns(excess),
"long_short": long_short_returns}
"""
if get_level_index(pred, level='datetime') == 1:
if get_level_index(pred, level="datetime") == 1:
pred = pred.swaplevel().sort_index()
if trade_unit is None: