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optimize rule_strategy performance

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bxdd
2021-05-14 15:50:27 +08:00
parent ea60e608ba
commit eaa719df17
2 changed files with 62 additions and 18 deletions
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4
qlib/contrib/backtest/executor.py
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@@ -74,11 +74,12 @@ class BaseTradeCalendar:
return self.calendar[calendar_index - 1], self.calendar[calendar_index] - pd.Timedelta(seconds=1) return self.calendar[calendar_index - 1], self.calendar[calendar_index] - pd.Timedelta(seconds=1)
def finished(self): def finished(self):
return self.trade_index >= self.trade_len - 1 return self.trade_index >= self.trade_len
def step(self): def step(self):
if self.finished(): if self.finished():
raise RuntimeError(f"this env has completed its task, please reset it if you want to call it!") raise RuntimeError(f"this env has completed its task, please reset it if you want to call it!")
# trade count += 1
self.trade_index = self.trade_index + 1 self.trade_index = self.trade_index + 1
@@ -165,6 +166,7 @@ class SplitExecutor(BaseExecutor):
trading strategy in each trading bar trading strategy in each trading bar
trade_exchange : Exchange trade_exchange : Exchange
exchange that provides market info exchange that provides market info
- If `trade_exchange` is None, self.trade_exchange will be set with common_faculty
""" """
super(SplitExecutor, self).__init__( super(SplitExecutor, self).__init__(
step_bar=step_bar, step_bar=step_bar,

76
qlib/contrib/strategy/rule_strategy.py
View File

@@ -2,7 +2,7 @@ import copy
import warnings import warnings
import numpy as np import numpy as np
import pandas as pd import pandas as pd
from typing import Union
from ...utils.sample import sample_feature from ...utils.sample import sample_feature
from ...data.data import D from ...data.data import D
@@ -13,6 +13,8 @@ from ..backtest.faculty import common_faculty
class TWAPStrategy(RuleStrategy, OrderEnhancement): class TWAPStrategy(RuleStrategy, OrderEnhancement):
"""TWAP Strategy for trading"""
def __init__( def __init__(
self, self,
step_bar, step_bar,
@@ -22,6 +24,15 @@ class TWAPStrategy(RuleStrategy, OrderEnhancement):
trade_order_list=[], trade_order_list=[],
**kwargs, **kwargs,
): ):
"""
Parameters
----------
trade_exchange : Exchange, optional
exchange that provides market info, by default None
- If `trade_exchange` is None, self.trade_exchange will be set with common_faculty
trade_order_list : list, optional
order list to trade, which the strategy will trade in [start_time , end_time] , by default []
"""
super(TWAPStrategy, self).__init__(step_bar, start_time, end_time, **kwargs) super(TWAPStrategy, self).__init__(step_bar, start_time, end_time, **kwargs)
self.trade_exchange = common_faculty.trade_exchange if trade_exchange is None else trade_exchange self.trade_exchange = common_faculty.trade_exchange if trade_exchange is None else trade_exchange
self.trade_order_list = trade_order_list self.trade_order_list = trade_order_list
@@ -51,19 +62,19 @@ class TWAPStrategy(RuleStrategy, OrderEnhancement):
_order_amount = None _order_amount = None
if _amount_trade_unit is None: if _amount_trade_unit is None:
_order_amount = self.trade_amount[(order.stock_id, order.direction)] / ( _order_amount = self.trade_amount[(order.stock_id, order.direction)] / (
self.trade_len - self.trade_index self.trade_len - self.trade_index + 1
) )
if self.trade_amount[(order.stock_id, order.direction)] >= _amount_trade_unit: if self.trade_amount[(order.stock_id, order.direction)] >= _amount_trade_unit:
trade_unit_cnt = int(self.trade_amount[(order.stock_id, order.direction)] // _amount_trade_unit) trade_unit_cnt = int(self.trade_amount[(order.stock_id, order.direction)] // _amount_trade_unit)
_order_amount = ( _order_amount = (
(trade_unit_cnt + self.trade_len - self.trade_index - 1) (trade_unit_cnt + self.trade_len - self.trade_index)
// (self.trade_len - self.trade_index) // (self.trade_len - self.trade_index + 1)
* _amount_trade_unit * _amount_trade_unit
) )
if order.direction == order.SELL: if order.direction == order.SELL:
if self.trade_amount[(order.stock_id, order.direction)] > 1e-5 and ( if self.trade_amount[(order.stock_id, order.direction)] > 1e-5 and (
_order_amount is None or self.trade_index == self.trade_len - 1 _order_amount is None or self.trade_index == self.trade_len
): ):
_order_amount = self.trade_amount[(order.stock_id, order.direction)] _order_amount = self.trade_amount[(order.stock_id, order.direction)]
@@ -99,6 +110,15 @@ class SBBStrategyBase(RuleStrategy, OrderEnhancement):
trade_order_list=[], trade_order_list=[],
**kwargs, **kwargs,
): ):
"""
Parameters
----------
trade_exchange : Exchange, optional
exchange that provides market info, by default None
- If `trade_exchange` is None, self.trade_exchange will be set with common_faculty
trade_order_list : list, optional
order list to trade, which the strategy will trade in [start_time , end_time] , by default []
"""
super(SBBStrategyBase, self).__init__(step_bar, start_time, end_time, **kwargs) super(SBBStrategyBase, self).__init__(step_bar, start_time, end_time, **kwargs)
self.trade_exchange = common_faculty.trade_exchange if trade_exchange is None else trade_exchange self.trade_exchange = common_faculty.trade_exchange if trade_exchange is None else trade_exchange
self.trade_order_list = trade_order_list self.trade_order_list = trade_order_list
@@ -144,18 +164,18 @@ class SBBStrategyBase(RuleStrategy, OrderEnhancement):
_order_amount = None _order_amount = None
if _amount_trade_unit is None: if _amount_trade_unit is None:
_order_amount = self.trade_amount[(order.stock_id, order.direction)] / ( _order_amount = self.trade_amount[(order.stock_id, order.direction)] / (
self.trade_len - self.trade_index self.trade_len - self.trade_index + 1
) )
elif self.trade_amount[(order.stock_id, order.direction)] >= _amount_trade_unit: elif self.trade_amount[(order.stock_id, order.direction)] >= _amount_trade_unit:
trade_unit_cnt = int(self.trade_amount[(order.stock_id, order.direction)] // _amount_trade_unit) trade_unit_cnt = int(self.trade_amount[(order.stock_id, order.direction)] // _amount_trade_unit)
_order_amount = ( _order_amount = (
(trade_unit_cnt + self.trade_len - self.trade_index - 1) (trade_unit_cnt + self.trade_len - self.trade_index)
// (self.trade_len - self.trade_index) // (self.trade_len - self.trade_index + 1)
* _amount_trade_unit * _amount_trade_unit
) )
if order.direction == order.SELL: if order.direction == order.SELL:
if self.trade_amount[(order.stock_id, order.direction)] > 1e-5 and ( if self.trade_amount[(order.stock_id, order.direction)] > 1e-5 and (
_order_amount is None or self.trade_index == self.trade_len - 1 _order_amount is None or self.trade_index == self.trade_len
): ):
_order_amount = self.trade_amount[(order.stock_id, order.direction)] _order_amount = self.trade_amount[(order.stock_id, order.direction)]
@@ -176,19 +196,19 @@ class SBBStrategyBase(RuleStrategy, OrderEnhancement):
_order_amount = ( _order_amount = (
2 2
* self.trade_amount[(order.stock_id, order.direction)] * self.trade_amount[(order.stock_id, order.direction)]
/ (self.trade_len - self.trade_index + 1) / (self.trade_len - self.trade_index + 2)
) )
elif self.trade_amount[(order.stock_id, order.direction)] >= _amount_trade_unit: elif self.trade_amount[(order.stock_id, order.direction)] >= _amount_trade_unit:
trade_unit_cnt = int(self.trade_amount[(order.stock_id, order.direction)] // _amount_trade_unit) trade_unit_cnt = int(self.trade_amount[(order.stock_id, order.direction)] // _amount_trade_unit)
_order_amount = ( _order_amount = (
(trade_unit_cnt + self.trade_len - self.trade_index) (trade_unit_cnt + self.trade_len - self.trade_index + 1)
// (self.trade_len - self.trade_index + 1) // (self.trade_len - self.trade_index + 2)
* 2 * 2
* _amount_trade_unit * _amount_trade_unit
) )
if order.direction == order.SELL: if order.direction == order.SELL:
if self.trade_amount[(order.stock_id, order.direction)] >= 1e-5 and ( if self.trade_amount[(order.stock_id, order.direction)] >= 1e-5 and (
_order_amount is None or self.trade_index == self.trade_len - 1 _order_amount is None or self.trade_index == self.trade_len
): ):
_order_amount = self.trade_amount[(order.stock_id, order.direction)] _order_amount = self.trade_amount[(order.stock_id, order.direction)]
@@ -235,7 +255,7 @@ class SBBStrategyBase(RuleStrategy, OrderEnhancement):
class SBBStrategyEMA(SBBStrategyBase): class SBBStrategyEMA(SBBStrategyBase):
""" """
(S)elect the (B)etter one among every two adjacent trading (B)ars to sell or buy with (EMA). (S)elect the (B)etter one among every two adjacent trading (B)ars to sell or buy with (EMA) signal.
""" """
def __init__( def __init__(
@@ -249,6 +269,15 @@ class SBBStrategyEMA(SBBStrategyBase):
freq="day", freq="day",
**kwargs, **kwargs,
): ):
"""
Parameters
----------
instruments : str, optional
instruments of EMA signal, by default "csi300"
freq : str, optional
freq of EMA signal, by default "day"
Note: `freq` may be different from `steb_bar`
"""
super(SBBStrategyEMA, self).__init__(step_bar, start_time, end_time, trade_exchange, trade_order_list, **kwargs) super(SBBStrategyEMA, self).__init__(step_bar, start_time, end_time, trade_exchange, trade_order_list, **kwargs)
if instruments is None: if instruments is None:
warnings.warn("`instruments` is not set, will load all stocks") warnings.warn("`instruments` is not set, will load all stocks")
@@ -257,13 +286,25 @@ class SBBStrategyEMA(SBBStrategyBase):
self.instruments = D.instruments(instruments) self.instruments = D.instruments(instruments)
self.freq = freq self.freq = freq
def reset(self, start_time=None, end_time=None, **kwargs): def reset(self, start_time: Union[str, pd.Timestamp] = None, end_time: Union[str, pd.Timestamp] = None, **kwargs):
"""
Reset EMA signal for trading
Parameters
----------
start_time : Union[str, pd.Timestamp], optional
start time for trading, also used to calculate the start time of EMA signal, by default None
end_time : Union[str, pd.Timestamp], optional
end time for trading, also used to calculate the end time of EMA signal, by default None
"""
super(SBBStrategyEMA, self).reset(start_time=start_time, end_time=end_time, **kwargs) super(SBBStrategyEMA, self).reset(start_time=start_time, end_time=end_time, **kwargs)
if self.start_time and self.end_time and (start_time or end_time): if self.start_time and self.end_time and (start_time or end_time):
fields = ["EMA($close, 10)-EMA($close, 20)"] fields = ["EMA($close, 10)-EMA($close, 20)"]
signal_start_time, _ = self._get_calendar_time(trade_index=self.trade_index, shift=1) signal_start_time, _ = self._get_calendar_time(trade_index=1, shift=1)
_, signal_end_time = self._get_calendar_time(trade_index=self.trade_len, shift=1)
signal_df = D.features( signal_df = D.features(
self.instruments, fields, start_time=signal_start_time, end_time=self.end_time, freq=self.freq self.instruments, fields, start_time=signal_start_time, end_time=signal_end_time, freq=self.freq
) )
signal_df = convert_index_format(signal_df) signal_df = convert_index_format(signal_df)
signal_df.columns = ["signal"] signal_df.columns = ["signal"]
@@ -272,6 +313,7 @@ class SBBStrategyEMA(SBBStrategyBase):
self.signal[stock_id] = stock_val self.signal[stock_id] = stock_val
def _pred_price_trend(self, stock_id, pred_start_time=None, pred_end_time=None): def _pred_price_trend(self, stock_id, pred_start_time=None, pred_end_time=None):
if stock_id not in self.signal: if stock_id not in self.signal:
return self.TREND_MID return self.TREND_MID
else: else: