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update the internal bar strategy

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bxdd
2021-05-07 00:10:44 +08:00
parent bc3eada02d
commit f7d30960c1
4 changed files with 150 additions and 66 deletions
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26
examples/highfreq/backtest/workflow.py
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@@ -83,7 +83,7 @@ if __name__ == "__main__":
"class": "TopkDropoutStrategy",
"module_path": "qlib.contrib.strategy.model_strategy",
"kwargs": {
"step_bar": "day",
"step_bar": "week",
"model": model,
"dataset": dataset,
"topk": 50,
@@ -91,12 +91,28 @@ if __name__ == "__main__":
},
},
"env": {
"class": "SimulatorEnv",
"class": "SplitEnv",
"module_path": "qlib.contrib.backtest.env",
"kwargs": {
"step_bar": "day",
"verbose": True,
"generate_report": True,
"step_bar": "week",
"sub_env": {
"class": "SimulatorEnv",
"module_path": "qlib.contrib.backtest.env",
"kwargs": {
"step_bar": "day",
"verbose": True,
"generate_report": True,
},
},
"sub_strategy": {
"class": "SBBStrategyEMA",
"module_path": "qlib.contrib.strategy.rule_strategy",
"kwargs": {
"step_bar": "day",
"freq": "day",
"instruments": market,
},
},
},
},
"backtest": {