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Support Highfreq Backtest with the Model/Rule/RL Strategy #408

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Support Highfreq Backtest with the Model/Rule/RL Strategy #408

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d3a1e03
add sample & base class
bxdd Mar 19, 2021
971d6a2
update strategy
bxdd Apr 21, 2021
8979d78
update report & account
bxdd Apr 21, 2021
39deb7d
update env & strategy, add workflow
bxdd Apr 22, 2021
b14efa1
update trade calendar & backtest workflow
bxdd Apr 23, 2021
af0053e
fix bug
bxdd Apr 24, 2021
8920c19
del outdate file
bxdd Apr 26, 2021
86a6f56
trade_account support multi bar report
bxdd Apr 28, 2021
49cdaf8
update port_ana_record
bxdd Apr 28, 2021
f404a03
black format
bxdd Apr 28, 2021
a109df3
fix bug in recorder
bxdd Apr 29, 2021
d297a49
fix bugs
bxdd Apr 30, 2021
e30df11
solve the conflict
bxdd Apr 30, 2021
ae33950
del old strategy
bxdd Apr 30, 2021
7540ecd
fix trade time bug
bxdd May 6, 2021
bc3eada
black format
bxdd May 6, 2021
f7d3096
update the internal bar strategy
bxdd May 6, 2021
621cb24
fix some comments and add docstring
bxdd May 11, 2021
07eaada
fix comments
bxdd May 12, 2021
c703dab
fix rule_strategy reset method
bxdd May 12, 2021
de2658a
fix rule_strategy bug
bxdd May 13, 2021
ea60e60
update rule_startegy & add README, notebook for multi-level trading
bxdd May 13, 2021
eaa719d
optimize rule_strategy performance
bxdd May 14, 2021
dda509d
Update record_temp.py
you-n-g May 19, 2021
26d75b7
Update sample.py
you-n-g May 19, 2021
0c6e505
fix comments
bxdd May 24, 2021
75fcb38
Merge branch 'qlib_highfreq_backtest' of github.com:bxdd/qlib into bx…
bxdd May 24, 2021
ee74489
solve the conflict
bxdd May 24, 2021
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2 changes: 1 addition & 1 deletion qlib/utils/sample.py
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Original file line number Diff line number Diff line change
Expand Up @@ -35,7 +35,7 @@ def parse_freq(freq: str) -> Tuple[int, str]:
raise ValueError(
"freq format is not supported, the freq should be like (n)month/mon, (n)week/w, (n)day/d, (n)minute/min"
)
_count = int(match_obj.group(1) if match_obj.group(1) else "1")
_count = int(match_obj.group(1)) if match_obj.group(1) is None else 1
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@bxdd bxdd May 27, 2021 •
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Should it be int(match_obj.group(1)) if match_obj.group(1) else 1?
Example: If call parse_freq("min"), match_obj.group(1) == ' ' rather than None

_freq = match_obj.group(2)
_freq_format_dict = {
"month": "month",
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