mirror of
https://github.com/microsoft/qlib.git
synced 2026-07-03 11:00:57 +08:00
120 lines
4.1 KiB
Python
120 lines
4.1 KiB
Python
# Copyright (c) Microsoft Corporation.
|
|
# Licensed under the MIT License.
|
|
|
|
import unittest
|
|
import qlib
|
|
from qlib.backtest import backtest, order
|
|
from qlib.tests import TestAutoData
|
|
from qlib.backtest.order import TradeDecisionWO, TradeRangeByTime
|
|
import pandas as pd
|
|
from pathlib import Path
|
|
|
|
|
|
class FileStrTest(TestAutoData):
|
|
|
|
TEST_INST = "SH600519"
|
|
|
|
def init_qlib(self):
|
|
provider_uri_day = "/nfs_data1/stock_data/huaxia_1d_qlib"
|
|
provider_uri_1min = "/nfs_data1/stock_data/huaxia_1min_qlib"
|
|
provider_uri_map = {"1min": provider_uri_1min, "day": provider_uri_day}
|
|
|
|
client_config = {
|
|
"calendar_provider": {
|
|
"class": "LocalCalendarProvider",
|
|
"module_path": "qlib.data.data",
|
|
"kwargs": {
|
|
"backend": {
|
|
"class": "FileCalendarStorage",
|
|
"module_path": "qlib.data.storage.file_storage",
|
|
"kwargs": {"provider_uri_map": provider_uri_map},
|
|
}
|
|
},
|
|
},
|
|
"feature_provider": {
|
|
"class": "LocalFeatureProvider",
|
|
"module_path": "qlib.data.data",
|
|
"kwargs": {
|
|
"backend": {
|
|
"class": "FileFeatureStorage",
|
|
"module_path": "qlib.data.storage.file_storage",
|
|
"kwargs": {"provider_uri_map": provider_uri_map},
|
|
}
|
|
},
|
|
},
|
|
}
|
|
qlib.init(provider_uri=provider_uri_day, **client_config, expression_cache=None, dataset_cache=None)
|
|
|
|
def test_file_str(self):
|
|
freq = "1min"
|
|
inst = ["SH600000", "SH600011"]
|
|
start_time = "2020-01-01"
|
|
end_time = "2020-01-15 15:00"
|
|
|
|
strategy_config = {
|
|
"class": "RandomOrderStrategy",
|
|
"module_path": "qlib.contrib.strategy.rule_strategy",
|
|
"kwargs": {
|
|
"trade_range": TradeRangeByTime("9:30", "15:00"),
|
|
"sample_ratio": 1.0,
|
|
"volume_ratio": 0.01,
|
|
"market": inst,
|
|
},
|
|
}
|
|
position_dict = {
|
|
"cash": 100000000,
|
|
"SH600000": {"amount": 100},
|
|
"SH600011": {"amount": 101},
|
|
}
|
|
backtest_config = {
|
|
"start_time": start_time,
|
|
"end_time": end_time,
|
|
"account": position_dict,
|
|
"benchmark": None, # benchmark is not required here for trading
|
|
"exchange_kwargs": {
|
|
"freq": freq,
|
|
"limit_threshold": 0.095,
|
|
"deal_price": "close",
|
|
"open_cost": 0.0005,
|
|
"close_cost": 0.0015,
|
|
"min_cost": 5,
|
|
"codes": inst,
|
|
},
|
|
"pos_type": "Position", # Position with infinitive position
|
|
}
|
|
executor_config = {
|
|
"class": "NestedExecutor",
|
|
"module_path": "qlib.backtest.executor",
|
|
"kwargs": {
|
|
"time_per_step": "day",
|
|
"inner_executor": {
|
|
"class": "SimulatorExecutor",
|
|
"module_path": "qlib.backtest.executor",
|
|
"kwargs": {
|
|
"time_per_step": freq,
|
|
"generate_report": False,
|
|
"verbose": False,
|
|
# "verbose": True,
|
|
"indicator_config": {
|
|
"show_indicator": False,
|
|
},
|
|
},
|
|
},
|
|
"inner_strategy": {
|
|
"class": "TWAPStrategy",
|
|
"module_path": "qlib.contrib.strategy.rule_strategy",
|
|
},
|
|
"track_data": True,
|
|
"generate_report": True,
|
|
"indicator_config": {
|
|
"show_indicator": True,
|
|
},
|
|
},
|
|
}
|
|
self.init_qlib()
|
|
backtest(executor=executor_config, strategy=strategy_config, **backtest_config)
|
|
|
|
|
|
if __name__ == "__main__":
|
|
unittest.main()
|