An error when I do 30min trade.
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bug
- Dominant language
- Python
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Description
ValueError: can't find a freq from [Freq(30min)] that can resample to 1min!
code:
###################################
# prediction, backtest & analysis
###################################
port_analysis_config = {
"executor": {
"class": "SimulatorExecutor",
"module_path": "qlib.backtest.executor",
"kwargs": {
"time_per_step": "30min",
"generate_portfolio_metrics": True,
},
},
"strategy": {
"class": "TopkDropoutStrategy",
"module_path": "qlib.contrib.strategy.signal_strategy",
"kwargs": {
"model": model,
"dataset": dataset,
"topk": 10,
"n_drop": 5,
},
},
"backtest": {
"start_time": "2024-08-01 00:00:00",
"end_time": "2024-10-30 23:59:59",
"account": 10000,
"benchmark": benchmark,
"exchange_kwargs": {
"freq": "30min",
"limit_threshold": 0.095,
"deal_price": "close",
"open_cost": 0.0005,
"close_cost": 0.0015,
"min_cost": 5,
},
},
}
# backtest and analysis
with R.start(experiment_name="backtest_analysis"):
recorder = R.get_recorder(recorder_id=rid, experiment_name="train_model")
model = recorder.load_object("trained_model")
# prediction
recorder = R.get_recorder()
ba_rid = recorder.id
sr = SignalRecord(model, dataset, recorder)
sr.generate()
# backtest & analysis
par = PortAnaRecord(recorder, port_analysis_config, "day")
par.generate()
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Research direction
Reproduce the failure with the shown port_analysis_config, then trace how PortAnaRecord and SimulatorExecutor handle the 30min exchange frequency and day analysis. Inspect the resampling path around the reported ValueError; done means the supported behavior or limitation is established and covered by an appropriate regression test or documentation.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python
- Domain
- fintech-quant
- Issue type
- Bug
- Difficulty
- 3/5
- Estimated time
- 1-2 days
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 32/100