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#1801·qlib

如何在回测中设置区域?

作者: TompaBay创建于 2024年6月2日更新于 2026年9月28日
标签question

if name == "main": qlib.init(provider_uri=r"../../benchmark/us_data/qlib_data/") score_df = pd.read_csv("../gbrt.csv") score_df['instrument'] = score_df['instrument'].astype(str) print(score_df) start = "2023-01-01" end = "2023-12-31" score_df = score_df[(score_df['datetime'] >= start) & (score_df['datetime'] <= end)] score_df.sort_values(by=['datetime', 'instrument'], inplace=True)

score_df["datetime"] = pd.to_datetime(score_df["datetime"])
pred_score = score_df.set_index(["datetime", "instrument"])["score"]
SP500_BENCH = "SPX"
FREQ = "day"
STRATEGY_CONFIG = {
    "topk": 50,
    "n_drop": 10,
    "signal": pred_score,
    
    # "class": "TopkDropoutStrategy",
    # "module_path": "qlib.contrib.strategy",
    # "kwargs": {"signal": pred_score, "topk": 50, "n_drop": 5},
            
}

EXECUTOR_CONFIG = {
    "time_per_step": "day",
    "generate_portfolio_metrics": True,
    "verbose": True,
    #  "class": "SimulatorExecutor",
    #     "module_path": "qlib.backtest.executor",
    #     "kwargs": {
    #         "time_per_step": "day",
    #         "generate_portfolio_metrics": True,
    #     },
}

backtest_config = {
    "start_time": start,
    "end_time": end,
    "account": 100000000,
    "benchmark": SP500_BENCH,
    "exchange_kwargs": {
        "trade_unit": 1,
        "freq": FREQ,
        "limit_threshold": None,
        "deal_price": "close",
        "open_cost": 0.0000229,
        "close_cost": 0,
        "min_cost": 0.01,
    },
}

strategy_obj = TopkDropoutStrategy(**STRATEGY_CONFIG)
executor_obj = executor.SimulatorExecutor(**EXECUTOR_CONFIG)

portfolio_metric_dict, indicator_dict = backtest(executor=executor_obj, strategy=strategy_obj, **backtest_config)
analysis_freq = "{0}{1}".format(*Freq.parse(FREQ))

report_normal, positions_normal = portfolio_metric_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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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"] + positions_normal * report_normal["open_cost"],
    freq=analysis_freq
)

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["

内容来源: microsoft/qlib

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