fix metric calculation error

microsoft · Sep 2, 2021 · 5003e49 · 5003e49
1 parent 5f0ee6c
commit 5003e49
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Showing 4 changed files with 35 additions and 5 deletions.
diff --git a/qlib/backtest/high_performance_ds.py b/qlib/backtest/high_performance_ds.py
@@ -528,6 +528,9 @@ def apply(self, func: Callable):
     def reindex(self, index, fill_value):
         return self.__class__(self.metric.reindex(index, fill_value=fill_value))
 
+    def __repr__(self):
+        return repr(self.metric)
+
 
 class PandasOrderIndicator(BaseOrderIndicator):
     """
@@ -567,6 +570,9 @@ def sum_all_indicators(order_indicator, indicators: list, metrics: Union[str, Li
                 tmp_metric = tmp_metric.add(indicator.data[metric], fill_value)
             order_indicator.assign(metric, tmp_metric.metric)
 
+    def __repr__(self):
+        return repr(self.data)
+
 
 class NumpyOrderIndicator(BaseOrderIndicator):
     """
@@ -605,3 +611,6 @@ def sum_all_indicators(order_indicator, indicators: list, metrics: Union[str, Li
             for indicator in indicators:
                 tmp_metric = tmp_metric.add(indicator.data[metric], fill_value)
             order_indicator.data[metric] = tmp_metric
+
+    def __repr__(self):
+        return repr(self.data)
diff --git a/qlib/backtest/report.py b/qlib/backtest/report.py
@@ -11,7 +11,7 @@
 
 from qlib.backtest.exchange import Exchange
 from qlib.backtest.order import BaseTradeDecision, Order, OrderDir
-from .high_performance_ds import PandasOrderIndicator, NumpyOrderIndicator, SingleMetric
+from .high_performance_ds import BaseOrderIndicator, PandasOrderIndicator, NumpyOrderIndicator, SingleMetric
 from ..tests.config import CSI300_BENCH
 from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data
 from .order import IdxTradeRange
@@ -255,7 +255,7 @@ def __init__(self, order_indicator_cls=NumpyOrderIndicator):
 
         # order indicator is metrics for a single order for a specific step
         self.order_indicator_his = OrderedDict()
-        self.order_indicator = self.order_indicator_cls()
+        self.order_indicator: BaseOrderIndicator = self.order_indicator_cls()
 
         # trade indicator is metrics for all orders for a specific step
         self.trade_indicator_his = OrderedDict()
@@ -265,7 +265,7 @@ def __init__(self, order_indicator_cls=NumpyOrderIndicator):
 
     # def reset(self, trade_calendar: TradeCalendarManager):
     def reset(self):
-        self.order_indicator = self.order_indicator_cls()
+        self.order_indicator: BaseOrderIndicator = self.order_indicator_cls()
         self.trade_indicator = OrderedDict()
         # self._trade_calendar = trade_calendar
 

diff --git a/qlib/utils/index_data.py b/qlib/utils/index_data.py
@@ -280,7 +280,7 @@ def __call__(self, other):
         self_data_method = getattr(self.obj.data, self.method_name)
 
         if isinstance(other, (int, float, np.number)):
-            return self.obj.__class__(self_data_method(other))
+            return self.obj.__class__(self_data_method(other), *self.obj.indices)
         elif isinstance(other, self.obj.__class__):
             other_aligned = self.obj._align_indices(other)
             return self.obj.__class__(self_data_method(other_aligned.data), *self.obj.indices)
@@ -450,6 +450,12 @@ def mean(self, axis=None):
     def isna(self):
         return self.__class__(np.isnan(self.data), *self.indices)
 
+    def fillna(self, value=0.0, inplace: bool = False):
+        if inplace:
+            self.data = np.nan_to_num(self.data, nan=value)
+        else:
+            return self.__class__(np.nan_to_num(self.data, nan=value), *self.indices)
+
     def count(self):
         return len(self.data[~np.isnan(self.data)])
 
@@ -507,6 +513,8 @@ def reindex(self, index: Index, fill_value=np.NaN):
         ----------
         new_index : list
             new index
+        fill_value:
+            what value to fill if index is missing
 
         Returns
         -------
@@ -531,7 +539,7 @@ def add(self, other: "SingleData", fill_value=0):
         common_index, _ = common_index.sort()
         tmp_data1 = self.reindex(common_index, fill_value)
         tmp_data2 = other.reindex(common_index, fill_value)
-        return tmp_data1 + tmp_data2
+        return tmp_data1.fillna(fill_value) + tmp_data2.fillna(fill_value)
 
     def to_dict(self):
         """convert SingleData to dict.

diff --git a/tests/misc/test_index_data.py b/tests/misc/test_index_data.py
@@ -99,6 +99,19 @@ def test_ops(self):
         sd1 = idd.SingleData([1, 2, 3, 4], index=["foo", "bar", "f", "g"])
         sd2 = idd.SingleData([1, 2, 3, 4], index=["foo", "bar", "f", "g"])
         print(sd1 + sd2)
+        new_sd = sd2 * 2
+        self.assertTrue(new_sd.index == sd2.index)
+
+        sd1 = idd.SingleData([1, 2, None, 4], index=["foo", "bar", "f", "g"])
+        sd2 = idd.SingleData([1, 2, 3, None], index=["foo", "bar", "f", "g"])
+        self.assertTrue(np.isnan((sd1 + sd2).iloc[3]))
+        self.assertTrue(sd1.add(sd2).sum() == 13)
+
+    def test_todo(self):
+        pass
+        # here are some examples which do not affect the current system, but it is weird not to support it
+        # sd2 = idd.SingleData([1, 2, 3, 4], index=["foo", "bar", "f", "g"])
+        # 2 * sd2
 
 
 if __name__ == "__main__":