回测报告中跟踪误差年化处理

ricequant · Feb 21, 2023 · beec93f · beec93f
1 parent 3c5a50a
commit beec93f
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Showing 3 changed files with 3 additions and 3 deletions.
diff --git a/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py b/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py
@@ -435,7 +435,7 @@ def tear_down(self, code, exception=None):
             "weekly_sharpe": weekly_risk.sharpe,
             "weekly_sortino": weekly_risk.sortino,
             "weekly_information_ratio": weekly_risk.information_ratio,
-            "weekly_tracking_error": weekly_risk.tracking_error,
+            "weekly_tracking_error": weekly_risk.annual_tracking_error,
             "weekly_max_drawdown": weekly_risk.max_drawdown,
             "weekly_win_rate": weekly_risk.win_rate,
             "weekly_volatility": weekly_risk.annual_volatility,

diff --git a/rqalpha/mod/rqalpha_mod_sys_analyser/report/report.py b/rqalpha/mod/rqalpha_mod_sys_analyser/report/report.py
@@ -38,7 +38,7 @@ def _yearly_indicators(
 ):
     data = {field: [] for field in [
         "year", "returns", "benchmark_returns", "active_returns", "active_max_drawdown",
-        "active_max_drawdown_days", "sharpe_ratio", "information_ratio", "tracking_error",
+        "active_max_drawdown_days", "sharpe_ratio", "information_ratio", "annual_tracking_error",
         "weekly_excess_win_rate", "monthly_excess_win_rate"
     ]}
 
@@ -72,7 +72,7 @@ def _yearly_indicators(
         data["active_max_drawdown_days"].append((max_dd.end_date - max_dd.start_date).days)
         data["sharpe_ratio"].append(risk.sharpe)
         data["information_ratio"].append(risk.information_ratio)
-        data["tracking_error"].append(risk.tracking_error)
+        data["annual_tracking_error"].append(risk.annual_tracking_error)
         data["weekly_excess_win_rate"].append(weekly_excess_win_rate)
         data["monthly_excess_win_rate"].append(monthly_excess_win_rate)
     return data

diff --git a/rqalpha/mod/rqalpha_mod_sys_analyser/report/templates/summary.xlsx b/rqalpha/mod/rqalpha_mod_sys_analyser/report/templates/summary.xlsx