为什么我的zipline schedule_function不为每月时间表工作?回测总是每天运行 &

Question

我正在尝试在zipline 1.4.1中安排我的rebalance功能，但是不是按月计划运行，而是每天运行。

实际代码:

#%%
import zipline.api as zapi
from zipline import run_algorithm
import pandas as pd
#%%
def initialize(context):
zapi.schedule_function(
rebalance,
algo.date_rules.month_start(),
algo.time_rules.market_open(hours=2)
)
def rebalance(context, data):
print(f"rebalancing at {zapi.get_datetime()}")
def analyze(context, perf):
print('We are now analyzing')
#%%
start_date = pd.Timestamp('2010-1-3', tz='UTC')
end_date = pd.Timestamp('2010-4-3', tz='UTC')
result = run_algorithm(
start = start_date,
end = end_date,
initialize=initialize,
handle_data=rebalance,
# benchmark_returns=benchmarkReturns,
capital_base= 10000,
analyze=analyze,
data_frequency='daily',
bundle='csv-bundle')

val结果:

rebalancing at 2010-01-04 21:00:00+00:00
rebalancing at 2010-01-04 21:00:00+00:00
rebalancing at 2010-01-05 21:00:00+00:00
rebalancing at 2010-01-06 21:00:00+00:00
rebalancing at 2010-01-07 21:00:00+00:00
rebalancing at 2010-01-08 21:00:00+00:00
rebalancing at 2010-01-11 21:00:00+00:00
rebalancing at 2010-01-12 21:00:00+00:00
rebalancing at 2010-01-13 21:00:00+00:00
rebalancing at 2010-01-14 21:00:00+00:00
rebalancing at 2010-01-15 21:00:00+00:00
rebalancing at 2010-01-19 21:00:00+00:00
rebalancing at 2010-01-20 21:00:00+00:00
rebalancing at 2010-01-21 21:00:00+00:00
rebalancing at 2010-01-22 21:00:00+00:00
rebalancing at 2010-01-25 21:00:00+00:00
rebalancing at 2010-01-26 21:00:00+00:00
rebalancing at 2010-01-27 21:00:00+00:00
rebalancing at 2010-01-28 21:00:00+00:00
rebalancing at 2010-01-29 21:00:00+00:00
rebalancing at 2010-02-01 21:00:00+00:00
rebalancing at 2010-02-01 21:00:00+00:00
rebalancing at 2010-02-02 21:00:00+00:00
rebalancing at 2010-02-03 21:00:00+00:00
rebalancing at 2010-02-04 21:00:00+00:00
rebalancing at 2010-02-05 21:00:00+00:00
rebalancing at 2010-02-08 21:00:00+00:00

我尝试将zipline降级到1.3.0版本，得到了相同的结果。有人有同样的问题吗?有什么办法解决这个问题吗?感谢您的回复。

Answer 1

我有同样的问题。我不认为schedule_function与zipline工作。run_algorithm

我通过创建一个函数来解决这个问题:

def monthly_cal(cal_name,start,end):
xnys=get_calendar(cal_name)
xnys_cal= xnys.sessions_in_range(start,end)
df=pd.DataFrame(index=xnys_cal)
df['month']=pd.DatetimeIndex(df.index).month
trading_days=df['month'][df['month'] != df['month'].shift(-1)].index
return trading_days

并在初始化 中加载

context.available_dates=monthly_cal('XNYS',start,end)

并在handle_data中检查此条件如果context.get_datetime().date() in context.available_dates: