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bxdd
2021-04-29 02:29:29 +08:00
parent 49cdaf8f5d
commit f404a031f3
16 changed files with 275 additions and 172 deletions
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30
examples/highfreq/backtest/workflow.py
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@@ -28,7 +28,7 @@ if __name__ == "__main__":
###################################
# train model
###################################
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
@@ -70,7 +70,7 @@ if __name__ == "__main__":
},
},
}
# model initialization
# model initialization
model = init_instance_by_config(task["model"])
dataset = init_instance_by_config(task["dataset"])
model.fit(dataset)
@@ -78,7 +78,7 @@ if __name__ == "__main__":
trade_start_time = "2017-01-31"
trade_end_time = "2018-01-31"
backtest_config={
backtest_config = {
"strategy": {
"class": "TopkDropoutStrategy",
"module_path": "qlib.contrib.strategy.model_strategy",
@@ -90,7 +90,7 @@ if __name__ == "__main__":
"n_drop": 5,
},
},
"env":{
"env": {
"class": "SplitEnv",
"module_path": "qlib.contrib.backtest.env",
"kwargs": {
@@ -101,7 +101,7 @@ if __name__ == "__main__":
"kwargs": {
"step_bar": "day",
"verbose": True,
}
},
},
"sub_strategy": {
"class": "SBBStrategyEMA",
@@ -110,11 +110,11 @@ if __name__ == "__main__":
"step_bar": "day",
"freq": "day",
"instruments": "csi300",
}
}
}
},
},
},
},
"backtest":{
"backtest": {
"start_time": trade_start_time,
"end_time": trade_end_time,
"verbose": False,
@@ -125,8 +125,14 @@ if __name__ == "__main__":
"open_cost": 0.0005,
"close_cost": 0.0015,
"min_cost": 5,
}
},
}
report_dict = backtest(start_time=trade_start_time, end_time=trade_end_time, **backtest_config, account=1e8, deal_price="$close", verbose=False)
report_dict = backtest(
start_time=trade_start_time,
end_time=trade_end_time,
**backtest_config,
account=1e8,
deal_price="$close",
verbose=False,
)