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35794846ff
* Refine several todos * CI issues * Remove Dropna limitation of `quote_df` in Exchange (#1334) * Remove Dropna limitation of `quote_df` of Exchange * Impreove docstring * Fix type error when expression is specified (#1335) * Refine fill_missing_data() * Remove several TODO comments * Add back env for interpreters * Change Literal import * Resolve PR comments * Move to SAOEState * Add Trainer.get_policy_state_dict() * Mypy issue Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
111 lines
3.9 KiB
Python
111 lines
3.9 KiB
Python
# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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from __future__ import annotations
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from typing import Dict, TYPE_CHECKING, Generator, Optional, Tuple, Union, cast
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import pandas as pd
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from qlib.backtest.decision import BaseTradeDecision
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from qlib.backtest.report import Indicator
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if TYPE_CHECKING:
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from qlib.strategy.base import BaseStrategy
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from qlib.backtest.executor import BaseExecutor
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from tqdm.auto import tqdm
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from ..utils.time import Freq
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PORT_METRIC = Dict[str, Tuple[pd.DataFrame, dict]]
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INDICATOR_METRIC = Dict[str, Tuple[pd.DataFrame, Indicator]]
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def backtest_loop(
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start_time: Union[pd.Timestamp, str],
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end_time: Union[pd.Timestamp, str],
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trade_strategy: BaseStrategy,
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trade_executor: BaseExecutor,
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) -> Tuple[PORT_METRIC, INDICATOR_METRIC]:
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"""backtest function for the interaction of the outermost strategy and executor in the nested decision execution
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please refer to the docs of `collect_data_loop`
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Returns
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-------
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portfolio_dict: PORT_METRIC
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it records the trading portfolio_metrics information
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indicator_dict: INDICATOR_METRIC
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it computes the trading indicator
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"""
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return_value: dict = {}
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for _decision in collect_data_loop(start_time, end_time, trade_strategy, trade_executor, return_value):
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pass
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portfolio_dict = cast(PORT_METRIC, return_value.get("portfolio_dict"))
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indicator_dict = cast(INDICATOR_METRIC, return_value.get("indicator_dict"))
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return portfolio_dict, indicator_dict
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def collect_data_loop(
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start_time: Union[pd.Timestamp, str],
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end_time: Union[pd.Timestamp, str],
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trade_strategy: BaseStrategy,
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trade_executor: BaseExecutor,
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return_value: dict = None,
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) -> Generator[BaseTradeDecision, Optional[BaseTradeDecision], None]:
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"""Generator for collecting the trade decision data for rl training
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Parameters
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----------
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start_time : Union[pd.Timestamp, str]
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closed start time for backtest
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**NOTE**: This will be applied to the outmost executor's calendar.
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end_time : Union[pd.Timestamp, str]
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closed end time for backtest
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**NOTE**: This will be applied to the outmost executor's calendar.
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E.g. Executor[day](Executor[1min]), setting `end_time == 20XX0301` will include all the minutes on 20XX0301
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trade_strategy : BaseStrategy
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the outermost portfolio strategy
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trade_executor : BaseExecutor
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the outermost executor
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return_value : dict
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used for backtest_loop
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Yields
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-------
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object
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trade decision
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"""
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trade_executor.reset(start_time=start_time, end_time=end_time)
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trade_strategy.reset(level_infra=trade_executor.get_level_infra())
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with tqdm(total=trade_executor.trade_calendar.get_trade_len(), desc="backtest loop") as bar:
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_execute_result = None
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while not trade_executor.finished():
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_trade_decision: BaseTradeDecision = trade_strategy.generate_trade_decision(_execute_result)
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_execute_result = yield from trade_executor.collect_data(_trade_decision, level=0)
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trade_strategy.post_exe_step(_execute_result)
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bar.update(1)
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trade_strategy.post_upper_level_exe_step()
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if return_value is not None:
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all_executors = trade_executor.get_all_executors()
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portfolio_dict: PORT_METRIC = {}
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indicator_dict: INDICATOR_METRIC = {}
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for executor in all_executors:
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key = "{}{}".format(*Freq.parse(executor.time_per_step))
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if executor.trade_account.is_port_metr_enabled():
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portfolio_dict[key] = executor.trade_account.get_portfolio_metrics()
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indicator_df = executor.trade_account.get_trade_indicator().generate_trade_indicators_dataframe()
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indicator_obj = executor.trade_account.get_trade_indicator()
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indicator_dict[key] = (indicator_df, indicator_obj)
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return_value.update({"portfolio_dict": portfolio_dict, "indicator_dict": indicator_dict})
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