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

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wangwenxi.handsome
2021-07-15 13:38:38 +00:00
parent aae4b02ab8 d907817ce9
commit f295497e2c
1 changed files with 3 additions and 3 deletions
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6
qlib/backtest/report.py
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@@ -520,7 +520,7 @@ class Indicator:
return pa_order return pa_order
return (pa_order > 0).astype(int).sum() / pa_order.count() return (pa_order > 0).astype(int).sum() / pa_order.count()
def _cal_trade_amount(self): def _cal_deal_amount(self):
return self.order_indicator["deal_amount"].abs().sum() return self.order_indicator["deal_amount"].abs().sum()
def _cal_trade_value(self): def _cal_trade_value(self):
@@ -536,13 +536,13 @@ class Indicator:
fulfill_rate = self._cal_trade_fulfill_rate(method=ffr_config.get("weight_method", "mean")) fulfill_rate = self._cal_trade_fulfill_rate(method=ffr_config.get("weight_method", "mean"))
price_advantage = self._cal_trade_price_advantage(method=pa_config.get("weight_method", "mean")) price_advantage = self._cal_trade_price_advantage(method=pa_config.get("weight_method", "mean"))
positive_rate = self._cal_trade_positive_rate() positive_rate = self._cal_trade_positive_rate()
trade_amount = self._cal_trade_amount() deal_amount = self._cal_deal_amount()
trade_value = self._cal_trade_value() trade_value = self._cal_trade_value()
order_count = self._cal_trade_order_count() order_count = self._cal_trade_order_count()
self.trade_indicator["ffr"] = fulfill_rate self.trade_indicator["ffr"] = fulfill_rate
self.trade_indicator["pa"] = price_advantage self.trade_indicator["pa"] = price_advantage
self.trade_indicator["pos"] = positive_rate self.trade_indicator["pos"] = positive_rate
self.trade_indicator["amount"] = trade_amount self.trade_indicator["deal_amount"] = deal_amount
self.trade_indicator["value"] = trade_value self.trade_indicator["value"] = trade_value
self.trade_indicator["count"] = order_count self.trade_indicator["count"] = order_count
if show_indicator: if show_indicator: