backtest #855
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你好，当我运行以下代码时，
from pprint import pprint
import qlib
import pandas as pd
from qlib.utils.time import Freq
from qlib.utils import flatten_dict
from qlib.backtest import backtest, executor
from qlib.contrib.evaluate import risk_analysis
from qlib.contrib.strategy import TopkDropoutStrategy
if __name__ == "__main__":
qlib.init(provider_uri=r"qlib_cn_data")
df = pd.read_csv(r"backtest_result.csv")
df["datetime"] = pd.to_datetime(df["datetime"])
df = df.set_index(["datetime", "instrument"])
pred_score = df["score"]
CSI300_BENCH = "SH000300"
FREQ = "day"
STRATEGY_CONFIG = {
"topk": 50,
"n_drop": 5,
"signal": pred_score,
}
EXECUTOR_CONFIG = {
"time_per_step": "day",
"generate_portfolio_metrics": True,
"verbose": True,
}
backtest_config = {
"start_time": "2021-06-15",
"end_time": "2021-12-10",
"account": 100000000,
"benchmark": CSI300_BENCH,
"exchange_kwargs": {
"freq": FREQ,
"limit_threshold": 0.095,
"deal_price": "close",
"open_cost": 0.0005,
"close_cost": 0.0015,
"min_cost": 5,
},
}
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"] - report_normal["cost"], freq=analysis_freq
)
analysis_df = pd.concat(analysis) # type: pd.DataFrame
# log metrics
analysis_dict = flatten_dict(analysis_df["risk"].unstack().T.to_dict())
# print out results
pprint(f"The following are analysis results of benchmark return({analysis_freq}).")
pprint(risk_analysis(report_normal["bench"], freq=analysis_freq))
pprint(f"The following are analysis results of the excess return without cost({analysis_freq}).")
pprint(analysis["excess_return_without_cost"])
pprint(f"The following are analysis results of the excess return with cost({analysis_freq}).")
pprint(analysis["excess_return_with_cost"])
出现以下的报错：
[76700:MainThread](2022-01-17 18:51:32,751) INFO - qlib.Initialization - [config.py:403] - default_conf: client.
[76700:MainThread](2022-01-17 18:51:34,792) WARNING - qlib.Initialization - [config.py:428] - redis connection failed(host=127.0.0.1 port=6379), DiskExpressionCache and DiskDatasetCache will not be used!
[76700:MainThread](2022-01-17 18:51:34,793) WARNING - qlib.Initialization - [__init__.py:64] - auto_path is False, please make sure None is mounted
[76700:MainThread](2022-01-17 18:51:36,389) INFO - qlib.Initialization - [__init__.py:74] - qlib successfully initialized based on client settings.
[76700:MainThread](2022-01-17 18:51:36,389) INFO - qlib.Initialization - [__init__.py:76] - data_path={'__DEFAULT_FREQ': WindowsPath('qlib_backtest')}
[76700:MainThread](2022-01-17 18:51:36,893) WARNING - qlib.data - [data.py:613] - load calendar error: freq=day, future=True; return current calendar!
[76700:MainThread](2022-01-17 18:51:36,893) WARNING - qlib.data - [data.py:616] - You can get future calendar by referring to the following document: https://github.com/microsoft/qlib/blob/main/scripts/data_collector/contrib/README.md
[76700:MainThread](2022-01-17 18:51:36,894) ERROR - qlib.workflow - [utils.py:38] - An exception has been raised[ValueError: can't find a freq from [] that can resample to day!].
ValueError: can't find a freq from [] that can resample to day!
File "qlib_backtest.py", line 51, in <module>
executor_obj = executor.SimulatorExecutor(**EXECUTOR_CONFIG)
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\backtest\executor.py", line 497, in __init__
super(SimulatorExecutor, self).__init__(
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\backtest\executor.py", line 113, in __init__
self.reset(start_time=start_time, end_time=end_time, common_infra=common_infra)
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\backtest\executor.py", line 164, in reset
self.level_infra.reset_cal(freq=self.time_per_step, start_time=start_time, end_time=end_time)
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\backtest\utils.py", line 239, in reset_cal
trade_calendar=TradeCalendarManager(freq, start_time=start_time, end_time=end_time, level_infra=self)
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\backtest\utils.py", line 44, in __init__
self.reset(freq=freq, start_time=start_time, end_time=end_time)
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\backtest\utils.py", line 58, in reset
_calendar = Cal.calendar(freq=freq, future=True)
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\data\data.py", line 90, in calendar
_calendar, _calendar_index = self._get_calendar(freq, future)
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\data\data.py", line 171, in _get_calendar
_calendar = np.array(self.load_calendar(freq, future))
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\data\data.py", line 619, in load_calendar
backend_obj = self.backend_obj(freq=freq, future=False).data
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\data\storage\file_storage.py", line 123, in data
self.check()
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\data\storage\file_storage.py", line 72, in check
if not self.uri.exists():
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\data\storage\file_storage.py", line 119, in uri
return self.dpm.get_data_uri(self._freq_file).joinpath(f"{self.storage_name}s", self.file_name)
File "D:\ProgramData\Miniconda3\lib\site-packages\qlib\data\storage\file_storage.py", line 100, in _freq_file
raise ValueError(f"can't find a freq from {self.support_freq} that can resample to {self.freq}!")
请问这是什么原因导致的呢？