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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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20
qlib/workflow/record_temp.py
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@@ -254,13 +254,19 @@ class PortAnaRecord(SignalRecord):
for report_dep, (report_normal, positions_normal) in enumerate(report_list):
if report_dict is None:
if self.risk_analysis_dep == report_dep:
warnings.warn(f"the report in dep {risk_analysis_dep} is None, please set the corresponding env with `generate_report==True`")
warnings.warn(
f"the report in dep {risk_analysis_dep} is None, please set the corresponding env with `generate_report==True`"
)
continue
self.recorder.save_objects(**{f"report_normal_{report_dep}.pkl": report_normal}, artifact_path=PortAnaRecord.get_path())
self.recorder.save_objects(**{f"positions_norma_{report_dep}l.pkl": positions_normal}, artifact_path=PortAnaRecord.get_path())
self.recorder.save_objects(
**{f"report_normal_{report_dep}.pkl": report_normal}, artifact_path=PortAnaRecord.get_path()
)
self.recorder.save_objects(
**{f"positions_norma_{report_dep}l.pkl": positions_normal}, artifact_path=PortAnaRecord.get_path()
)
# analysis
self.risk_analysis_dep == report_dep:
if self.risk_analysis_dep == report_dep:
analysis = dict()
analysis["excess_return_without_cost"] = risk_analysis(report_normal["return"] - report_normal["bench"])
analysis["excess_return_with_cost"] = risk_analysis(
@@ -270,7 +276,9 @@ class PortAnaRecord(SignalRecord):
# log metrics
self.recorder.log_metrics(**flatten_dict(analysis_df["risk"].unstack().T.to_dict()))
# save results
self.recorder.save_objects(**{f"port_analysis.pkl_{report_dep}": analysis_df}, artifact_path=PortAnaRecord.get_path())
self.recorder.save_objects(
**{f"port_analysis.pkl_{report_dep}": analysis_df}, artifact_path=PortAnaRecord.get_path()
)
logger.info(
f"Portfolio analysis record 'port_analysis_{report_dep}.pkl' has been saved as the artifact of the Experiment {self.recorder.experiment_id}"
)