|
|
| import os
|
| import time
|
| import copy
|
| from abc import ABCMeta, abstractmethod
|
| from backtest_framework.factor_generator import FactorGenerator
|
| from backtest_framework.print_type import PrintType as p
|
| import sys
|
| from wby_utils.config.Config import Config
|
|
|
|
|
| class StrategyBase(metaclass=ABCMeta):
|
| def __init__(self, factorName, config_path):
|
| config = Config(config_path)
|
| self.dataApi = FactorGenerator(factorName, config)
|
|
|
| def run(self):
|
| tic_time = time.time()
|
|
|
| if self.dataApi.multiSave == False:
|
| self.dataApi.loadDerivativeFactorToGlobal(self.dataApi.factorName)
|
|
|
| self.dataApi.getStartTradeDate()
|
| self.dataApi.getEndTradeDate()
|
|
|
| trade_date = self.dataApi.getAllData("trade_date_int")
|
|
|
| for i in range(self.dataApi.startDateFlag,
|
| self.dataApi.endDateFlag + 1):
|
| start_time = time.time()
|
|
|
| self.dataApi.setLpp(i)
|
| self.strategy()
|
| self.dataApi.barCount += 1
|
|
|
| end_time = time.time()
|
| p.timer_print(
|
| sys._getframe().f_code.co_filename,
|
| sys._getframe().f_code.co_name,
|
| " " + self.dataApi.factorName + " 因子运行至" + str(trade_date[i][0]) + "，单日截面计算耗时" + str(
|
| end_time - start_time) + '秒！')
|
|
|
| if self.dataApi.multiSave == False:
|
| self.dataApi.saveGlobal(self.dataApi.factorName)
|
|
|
| toc_time = time.time()
|
|
|
| p.timer_print(
|
| sys._getframe().f_code.co_filename,
|
| sys._getframe().f_code.co_name,
|
| self.dataApi.factorName + "因子生成程序运行完毕，计算总计耗时" + str(toc_time - tic_time) + '秒！')
|
|
|
| @abstractmethod
|
| def strategy(self):
|
| """
|
| 策略的具体实现, 需要重载
|
| """
|
| pass
|
|
|
| def get_factor_name(file_name):
|
| return os.path.basename(file_name).split('.')[0]
|
|
|
| @abstractmethod
|
| def get_pre_factor_name() -> list:
|
| pass
|
|
|
