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fix OPDT_backtest bugs

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Mingzhe Han
2021-02-24 13:44:20 +08:00
parent 1f28044d84
commit e6dfccce2f
4 changed files with 12 additions and 13 deletions
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14
examples/trade/observation/obs_rule.py
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@@ -71,24 +71,22 @@ class RuleObs(BaseObs):
if time == -1:
predictions += [0.0] * size
else:
predictions += df.iloc[size * time : size * (time + 1)].reshape(-1).tolist()
predictions += df[size * time : size * (time + 1)].reshape(-1).tolist()
elif feature["type"] == "daily":
predictions += df.reshape(-1)[:size].tolist()
elif feature["type"] == "range":
# if feature.startswith('oracle'):
# predictions += df.iloc[:, (time + 1) : size + (time + 1)].reshape(-1).tolist()
if time == -1:
predictions += [0.0] * size
else:
predictions += df.iloc[time : size + time].reshape(-1).tolist()
predictions += df[time : size + time].reshape(-1).tolist()
elif feature["type"] == "interval":
if len(df.iloc[interval * size : (interval + 1) * size].reshape(-1)) == size:
predictions += df.iloc[interval * size : (interval + 1) * size].reshape(-1).tolist()
if len(df[interval * size : (interval + 1) * size].reshape(-1)) == size:
predictions += df[interval * size : (interval + 1) * size].reshape(-1).tolist()
else:
predictions += [0.0] * size
elif feature["type"] == "step":
if len(df.iloc[size * (time + 1) : size * (time + 2)].reshape(-1)) == size:
predictions += df.iloc[size * (time + 1) : size * (time + 2)].reshape(-1).tolist()
if len(df[size * (time + 1) : size * (time + 2)].reshape(-1)) == size:
predictions += df[size * (time + 1) : size * (time + 2)].reshape(-1).tolist()
else:
predictions += [0.0] * size