Skip to content

Commit

Permalink
Refine backtest codes (microsoft#1120)
Browse files Browse the repository at this point in the history 
* Refine backtest code

* Keep working

* Minor

* Resolve PR comments

* Fix import error

* Fix import error
  • Loading branch information
@lihuoran
lihuoran authored Jun 10, 2022
1 parent eb4f4bc commit cf48cc9
Show file tree
Hide file tree
Showing 15 changed files with 784 additions and 484 deletions.
131 changes: 77 additions & 54 deletions qlib/backtest/__init__.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -2,24 +2,29 @@
# Licensed under the MIT License.

from __future__ import annotations

import copy
from typing import List, Tuple, Union, TYPE_CHECKING
from pathlib import Path
from typing import TYPE_CHECKING, Generator, List, Optional, Tuple, Union

import pandas as pd

from .account import Account
from .report import Indicator, PortfolioMetrics

if TYPE_CHECKING:
from ..strategy.base import BaseStrategy
from .executor import BaseExecutor
from .decision import BaseTradeDecision
from .position import Position

from ..config import C
from ..log import get_module_logger
from ..utils import init_instance_by_config
from .backtest import backtest_loop, collect_data_loop
from .decision import Order
from .exchange import Exchange
from .backtest import backtest_loop
from .backtest import collect_data_loop
from .position import Position
from .utils import CommonInfrastructure
from .decision import Order
from ..utils import init_instance_by_config
from ..log import get_module_logger
from ..config import C

# make import more user-friendly by adding `from qlib.backtest import STH`

Expand All @@ -28,26 +33,34 @@


def get_exchange(
exchange=None,
freq="day",
start_time=None,
end_time=None,
codes="all",
subscribe_fields=[],
open_cost=0.0015,
close_cost=0.0025,
min_cost=5.0,
limit_threshold=None,
exchange: Union[str, dict, object, Path] = None,
freq: str = "day",
start_time: Union[pd.Timestamp, str] = None,
end_time: Union[pd.Timestamp, str] = None,
codes: Union[list, str] = "all",
subscribe_fields: list = [],
open_cost: float = 0.0015,
close_cost: float = 0.0025,
min_cost: float = 5.0,
limit_threshold: Union[Tuple[str, str], float, None] = None,
deal_price: Union[str, Tuple[str], List[str]] = None,
**kwargs,
):
) -> Exchange:
"""get_exchange
Parameters
----------
# exchange related arguments
exchange: Exchange().
exchange: Exchange(). It could be None or any types that are acceptable by `init_instance_by_config`.
freq: str
frequency of data.
start_time: Union[pd.Timestamp, str]
closed start time for backtest.
end_time: Union[pd.Timestamp, str]
closed end time for backtest.
codes: list|str
list stock_id list or a string of instruments (i.e. all, csi500, sse50)
subscribe_fields: list
subscribe fields.
open_cost : float
Expand All @@ -57,8 +70,6 @@ def get_exchange(
min_cost : float
min transaction cost. It is an absolute amount of cost instead of a ratio of your order's deal amount.
e.g. You must pay at least 5 yuan of commission regardless of your order's deal amount.
trade_unit : int
Included in kwargs. Please refer to the docs of `__init__` of `Exchange`
deal_price: Union[str, Tuple[str], List[str]]
The `deal_price` supports following two types of input
- <deal_price> : str
Expand Down Expand Up @@ -101,10 +112,14 @@ def get_exchange(


def create_account_instance(
start_time, end_time, benchmark: str, account: Union[float, int, dict], pos_type: str = "Position"
start_time: Union[pd.Timestamp, str],
end_time: Union[pd.Timestamp, str],
benchmark: str,
account: Union[float, int, dict],
pos_type: str = "Position",
) -> Account:
"""
# TODO: is very strange pass benchmark_config in the account(maybe for report)
# TODO: is very strange pass benchmark_config in the account (maybe for report)
# There should be a post-step to process the report.
Parameters
Expand Down Expand Up @@ -132,6 +147,8 @@ def create_account_instance(
key "cash" means initial cash.
key "stock1" means the information of first stock with amount and price(optional).
...
pos_type: str
Postion type.
"""
if isinstance(account, (int, float)):
pos_kwargs = {"init_cash": account}
Expand Down Expand Up @@ -159,15 +176,15 @@ def create_account_instance(


def get_strategy_executor(
start_time,
end_time,
strategy: BaseStrategy,
executor: BaseExecutor,
start_time: Union[pd.Timestamp, str],
end_time: Union[pd.Timestamp, str],
strategy: Union[str, dict, object, Path],
executor: Union[str, dict, object, Path],
benchmark: str = "SH000300",
account: Union[float, int, Position] = 1e9,
exchange_kwargs: dict = {},
pos_type: str = "Position",
):
) -> Tuple[BaseStrategy, BaseExecutor]:

# NOTE:
# - for avoiding recursive import
Expand All @@ -176,7 +193,11 @@ def get_strategy_executor(
from .executor import BaseExecutor # pylint: disable=C0415

trade_account = create_account_instance(
start_time=start_time, end_time=end_time, benchmark=benchmark, account=account, pos_type=pos_type
start_time=start_time,
end_time=end_time,
benchmark=benchmark,
account=account,
pos_type=pos_type,
)

exchange_kwargs = copy.copy(exchange_kwargs)
Expand All @@ -196,29 +217,31 @@ def get_strategy_executor(


def backtest(
start_time,
end_time,
strategy,
executor,
benchmark="SH000300",
account=1e9,
exchange_kwargs={},
start_time: Union[pd.Timestamp, str],
end_time: Union[pd.Timestamp, str],
strategy: Union[str, dict, object, Path],
executor: Union[str, dict, object, Path],
benchmark: str = "SH000300",
account: Union[float, int, Position] = 1e9,
exchange_kwargs: dict = {},
pos_type: str = "Position",
):
"""initialize the strategy and executor, then backtest function for the interaction of the outermost strategy and executor in the nested decision execution
) -> Tuple[PortfolioMetrics, Indicator]:
"""initialize the strategy and executor, then backtest function for the interaction of the outermost strategy and
executor in the nested decision execution
Parameters
----------
start_time : pd.Timestamp|str
start_time : Union[pd.Timestamp, str]
closed start time for backtest
**NOTE**: This will be applied to the outmost executor's calendar.
end_time : pd.Timestamp|str
end_time : Union[pd.Timestamp, str]
closed end time for backtest
**NOTE**: This will be applied to the outmost executor's calendar.
E.g. Executor[day](Executor[1min]), setting `end_time == 20XX0301` will include all the minutes on 20XX0301
strategy : Union[str, dict, BaseStrategy]
for initializing outermost portfolio strategy. Please refer to the docs of init_instance_by_config for more information.
executor : Union[str, dict, BaseExecutor]
strategy : Union[str, dict, object, Path]
for initializing outermost portfolio strategy. Please refer to the docs of init_instance_by_config for more
information.
executor : Union[str, dict, object, Path]
for initializing the outermost executor.
benchmark: str
the benchmark for reporting.
Expand Down Expand Up @@ -257,16 +280,16 @@ def backtest(


def collect_data(
start_time,
end_time,
strategy,
executor,
benchmark="SH000300",
account=1e9,
exchange_kwargs={},
start_time: Union[pd.Timestamp, str],
end_time: Union[pd.Timestamp, str],
strategy: Union[str, dict, object, Path],
executor: Union[str, dict, object, Path],
benchmark: str = "SH000300",
account: Union[float, int, Position] = 1e9,
exchange_kwargs: dict = {},
pos_type: str = "Position",
return_value: dict = None,
):
) -> Generator[object, None, None]:
"""initialize the strategy and executor, then collect the trade decision data for rl training
please refer to the docs of the backtest for the explanation of the parameters
Expand All @@ -291,7 +314,7 @@ def collect_data(

def format_decisions(
decisions: List[BaseTradeDecision],
) -> Tuple[str, List[Tuple[BaseTradeDecision, Union[Tuple, None]]]]:
) -> Optional[Tuple[str, List[Tuple[BaseTradeDecision, Union[Tuple, None]]]]]:
"""
format the decisions collected by `qlib.backtest.collect_data`
The decisions will be organized into a tree-like structure.
Expand Down Expand Up @@ -326,4 +349,4 @@ def format_decisions(
return res


__all__ = ["Order"]
__all__ = ["Order", "backtest"]
Loading

0 comments on commit cf48cc9

Please sign in to comment.