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fix comments & add VAStrategy & add trade indicator

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This commit is contained in:
bxdd
2021-06-14 21:32:18 +08:00
parent 46d253b457 40416d8c30
commit f78e90171b
31 changed files with 1536 additions and 385 deletions
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76
qlib/workflow/record_temp.py
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@@ -17,7 +17,7 @@ from ..log import get_module_logger
from ..utils import flatten_dict
from ..utils.resam import parse_freq
from ..strategy.base import BaseStrategy
from ..contrib.eva.alpha import calc_ic, calc_long_short_return
from ..contrib.eva.alpha import calc_ic, calc_long_short_return, calc_long_short_prec
logger = get_module_logger("workflow", logging.INFO)
@@ -302,7 +302,7 @@ class PortAnaRecord(RecordTemp):
define the executor class as well as the kwargs.
config["backtest"] : dict
define the backtest kwargs.
risk_analysis_freq : int
risk_analysis_freq : str|List[str]
risk analysis freq of report
"""
super().__init__(recorder=recorder, **kwargs)
@@ -310,8 +310,11 @@ class PortAnaRecord(RecordTemp):
self.strategy_config = config["strategy"]
self.executor_config = config["executor"]
self.backtest_config = config["backtest"]
_count, _freq = parse_freq(risk_analysis_freq)
self.risk_analysis_freq = f"{_count}{_freq}"
if isinstance(risk_analysis_freq, str):
risk_analysis_freq = [risk_analysis_freq]
self.risk_analysis_freq = [
"{0}{1}".format(*parse_freq(_analysis_freq)) for _analysis_freq in risk_analysis_freq
]
self.report_freq = self._get_report_freq(self.executor_config)
def _get_report_freq(self, executor_config):
@@ -336,34 +339,35 @@ class PortAnaRecord(RecordTemp):
**{f"positions_normal_{report_freq}.pkl": positions_normal}, artifact_path=PortAnaRecord.get_path()
)
if self.risk_analysis_freq not in report_dict:
warnings.warn(
f"the freq {self.risk_analysis_freq} report is not found, please set the corresponding env with `generate_report==True`"
)
else:
report_normal, _ = report_dict.get(self.risk_analysis_freq)
analysis = dict()
analysis["excess_return_without_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"], freq=self.risk_analysis_freq
)
analysis["excess_return_with_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"] - report_normal["cost"], freq=self.risk_analysis_freq
)
analysis_df = pd.concat(analysis) # type: pd.DataFrame
# log metrics
self.recorder.log_metrics(**flatten_dict(analysis_df["risk"].unstack().T.to_dict()))
# save results
self.recorder.save_objects(
**{f"port_analysis_{report_freq}.pkl": analysis_df}, artifact_path=PortAnaRecord.get_path()
)
logger.info(
f"Portfolio analysis record 'port_analysis_{report_freq}.pkl' has been saved as the artifact of the Experiment {self.recorder.experiment_id}"
)
# print out results
pprint("The following are analysis results of the excess return without cost.")
pprint(analysis["excess_return_without_cost"])
pprint("The following are analysis results of the excess return with cost.")
pprint(analysis["excess_return_with_cost"])
for _analysis_freq in self.risk_analysis_freq:
if _analysis_freq not in report_dict:
warnings.warn(
f"the freq {_analysis_freq} report is not found, please set the corresponding env with `generate_report==True`"
)
else:
report_normal, _ = report_dict.get(_analysis_freq)
analysis = dict()
analysis["excess_return_without_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"], freq=_analysis_freq
)
analysis["excess_return_with_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"] - report_normal["cost"], freq=_analysis_freq
)
analysis_df = pd.concat(analysis) # type: pd.DataFrame
# log metrics
self.recorder.log_metrics(**flatten_dict(analysis_df["risk"].unstack().T.to_dict()))
# save results
self.recorder.save_objects(
**{f"port_analysis_{report_freq}.pkl": analysis_df}, artifact_path=PortAnaRecord.get_path()
)
logger.info(
f"Portfolio analysis record 'port_analysis_{report_freq}.pkl' has been saved as the artifact of the Experiment {self.recorder.experiment_id}"
)
# print out results
pprint("The following are analysis results of the excess return without cost.")
pprint(analysis["excess_return_without_cost"])
pprint("The following are analysis results of the excess return with cost.")
pprint(analysis["excess_return_with_cost"])
def list(self):
list_path = []
@@ -374,6 +378,10 @@ class PortAnaRecord(RecordTemp):
PortAnaRecord.get_path(f"positions_normal_{_freq}.pkl"),
]
)
if _freq == self.risk_analysis_freq:
list_path.append(PortAnaRecord.get_path(f"port_analysis_{_freq}.pkl"))
for _analysis_freq in self.risk_analysis_freq:
if _analysis_freq in self.report_freq:
list_path.append(PortAnaRecord.get_path(f"port_analysis_{_analysis_freq}.pkl"))
else:
warnings.warn(f"{_analysis_freq} is not found")
return list_path