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mirror of https://github.com/microsoft/qlib.git synced 2026-07-01 01:51:18 +08:00

update rolling process

This commit is contained in:
bxdd
2021-03-25 16:14:22 +08:00
parent 1fcfe8e4ba
commit f6dc25b229
5 changed files with 192 additions and 11 deletions

View File

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from qlib.data.dataset.handler import DataHandlerLP
from qlib.data.dataset.loader import DataLoaderDH
from qlib.contrib.data.handler import check_transform_proc
class RollingDataHandler(DataHandlerLP):
def __init__(
self,
start_time=None,
end_time=None,
infer_processors=[],
learn_processors=[],
fit_start_time=None,
fit_end_time=None,
data_loader_kwargs={}
):
infer_processors = check_transform_proc(infer_processors, fit_start_time, fit_end_time)
learn_processors = check_transform_proc(learn_processors, fit_start_time, fit_end_time)
data_loader = {
"class": "DataLoaderDH",
"kwargs": {
**data_loader_kwargs
},
}
super().__init__(
instruments=None,
start_time=start_time,
end_time=end_time,
data_loader=data_loader,
infer_processors=infer_processors,
learn_processors=learn_processors,
)