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bxdd
2021-03-25 19:59:22 +08:00
parent 68246b3b6d
commit e119c8576c
1 changed files with 26 additions and 16 deletions
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18
examples/rolling_process_data/workflow.py
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@@ -13,6 +13,7 @@ from qlib.contrib.data.handler import Alpha158
from qlib.utils import exists_qlib_data, init_instance_by_config from qlib.utils import exists_qlib_data, init_instance_by_config
from qlib.tests.data import GetData from qlib.tests.data import GetData
class RollingDataWorkflow(object): class RollingDataWorkflow(object):
MARKET = "csi300" MARKET = "csi300"
@@ -73,7 +74,7 @@ class RollingDataWorkflow(object):
"fit_end_time": datetime(*train_end_time), "fit_end_time": datetime(*train_end_time),
"data_loader_kwargs": { "data_loader_kwargs": {
"handler_config": pre_handler, "handler_config": pre_handler,
} },
}, },
}, },
"segments": { "segments": {
@@ -95,9 +96,18 @@ class RollingDataWorkflow(object):
"end_time": datetime(test_end_time[0] + 1, *test_end_time[1:]), "end_time": datetime(test_end_time[0] + 1, *test_end_time[1:]),
}, },
segment_kwargs={ segment_kwargs={
"train": (datetime(train_start_time[0] + 1, *train_start_time[1:]), datetime(train_end_time[0], *train_end_time[1:])), "train": (
"valid": (datetime(valid_start_time[0] + 1, *valid_start_time[1:]), datetime(valid_end_time[0], *valid_end_time[1:])), datetime(train_start_time[0] + 1, *train_start_time[1:]),
"test": (datetime(test_start_time[0] + 1, *test_start_time[1:]), datetime(test_end_time[0], *test_end_time[1:])), datetime(train_end_time[0], *train_end_time[1:]),
),
"valid": (
datetime(valid_start_time[0] + 1, *valid_start_time[1:]),
datetime(valid_end_time[0], *valid_end_time[1:]),
),
"test": (
datetime(test_start_time[0] + 1, *test_start_time[1:]),
datetime(test_end_time[0], *test_end_time[1:]),
),
}, },
) )