文章回测报错：华泰研报：在XGboost中实现关于有序回归作为损失函数和评价函数
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老师您好，
我学习上面的视频文章，想试运行代码，但运行不下去，没办法回测，是我哪里没有配置对吗？谢谢老师！
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# 我们取前0.6的数据量作为训练集 date = data['date'].unique() date.sort() index = int(len(date)*0.6) split = pd.to_datetime(date[index]).strftime('%Y-%m-%d') train_data = data[data['date']<split] test_data = data[data['date']>=split] # 加载数据 xtrain = np.array(train_data.drop(['date', 'instrument'], axis=1)) ytrain = np.array(train_data['label']) xtest = np.array(test_data.drop(['date', 'instrument'], axis=1)) ytest = np.array(test_data['label']) --------------------------------------------------------------------------- NameError Traceback (most recent call last) Cell In[1], line 2 1 # 我们取前0.6的数据量作为训练集 ----> 2 date = data['date'].unique() 3 date.sort() 4 index = int(len(date)*0.6) NameError: name 'data' is not defined
运行到最后报出以下错误：
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TypeError Traceback (most recent call last) Cell In[20], line 53 49 def m4_after_trading_bigquant_run(context, data): 50 pass ---> 53 m4 = M.hftrade.v2( 54 instruments=instruments, 55 options_data=df, 56 start_date='', 57 end_date='', 58 initialize=m4_initialize_bigquant_run, 59 before_trading_start=m4_before_trading_start_bigquant_run, 60 handle_tick=m4_handle_tick_bigquant_run, 61 handle_data=m4_handle_data_bigquant_run, 62 handle_trade=m4_handle_trade_bigquant_run, 63 handle_order=m4_handle_order_bigquant_run, 64 after_trading=m4_after_trading_bigquant_run, 65 capital_base=1000000, 66 frequency='daily', 67 price_type='真实价格', 68 product_type='股票', 69 before_start_days='0', 70 volume_limit=1, 71 order_price_field_buy='open', 72 order_price_field_sell='open', 73 benchmark='000300.SH', 74 plot_charts=True, 75 disable_cache=False, 76 replay_bdb=False, 77 show_debug_info=False, 78 backtest_only=False 79 ) File module2/common/modulemanagerv2.py:88, in biglearning.module2.common.modulemanagerv2.BigQuantModuleVersion.__call__() File module2/common/moduleinvoker.py:370, in biglearning.module2.common.moduleinvoker.module_invoke() File module2/common/moduleinvoker.py:292, in biglearning.module2.common.moduleinvoker._invoke_with_cache() File module2/common/moduleinvoker.py:253, in biglearning.module2.common.moduleinvoker._invoke_with_cache() File module2/common/moduleinvoker.py:210, in biglearning.module2.common.moduleinvoker._module_run() File module2/modules/hftrade/v2/__init__.py:417, in biglearning.module2.modules.hftrade.v2.__init__.bigquant_run() File module2/modules/hftrade/v2/__init__.py:257, in biglearning.module2.modules.hftrade.v2.__init__.bigquant_run.do_backtest_run() File module2/common/modulemanagerv2.py:88, in biglearning.module2.common.modulemanagerv2.BigQuantModuleVersion.__call__() File module2/common/moduleinvoker.py:370, in biglearning.module2.common.moduleinvoker.module_invoke() File module2/common/moduleinvoker.py:292, in biglearning.module2.common.moduleinvoker._invoke_with_cache() File module2/common/moduleinvoker.py:253, in biglearning.module2.common.moduleinvoker._invoke_with_cache() File module2/common/moduleinvoker.py:212, in biglearning.module2.common.moduleinvoker._module_run() File module2/modules/hfbacktest/v1/__init__.py:613, in biglearning.module2.modules.hfbacktest.v1.__init__.BigQuantModule.run() File module2/modules/hfbacktest/v1/__init__.py:550, in biglearning.module2.modules.hfbacktest.v1.__init__.BigQuantModule.run_algo() File /var/app/enabled/bigtrader2/bigtrader/run_trading.py:650, in run_backtest(start_date, end_date, strategy, strategy_setting, capital_base, product_type, frequency, instruments, options_data, **kwargs) 634 capital_base = kwargs.pop("capital") 636 rt = RunTrading(RunMode.BACKTEST, 637 acct_type=acct_type, 638 account_id=account_id, (...) 648 options_data=options_data, 649 **kwargs) --> 650 return rt.run(**kwargs) File /var/app/enabled/bigtrader2/bigtrader/run_trading.py:401, in RunTrading.run(self, **kwargs) 398 return 400 if self.trading_env.run_mode == RunMode.BACKTEST: --> 401 return self._run_backtest(**kwargs) 402 else: 403 if not self.trading_env.account_id: File /var/app/enabled/bigtrader2/bigtrader/run_trading.py:428, in RunTrading._run_backtest(self, **kwargs) 426 debug_print("run_backtest() running...") 427 t0 = time.time() --> 428 bkt_engine.run() 429 cost_time = round(time.time() - t0, 3) 430 if show_debug_info: File bigtrader/strategy/backtest_engine.py:318, in bigtrader2.bigtrader.strategy.backtest_engine.BacktestEngine.run() File bigtrader/strategy/backtest_engine.py:549, in bigtrader2.bigtrader.strategy.backtest_engine.BacktestEngine.transform() File bigtrader/strategy/backtest_engine.py:518, in bigtrader2.bigtrader.strategy.backtest_engine.BacktestEngine.transform.replay_bars_dt() File bigtrader/event/event_engine.py:88, in bigtrader2.bigtrader.event.event_engine.EventEngine.process_events() File bigtrader/event/event_engine.py:83, in bigtrader2.bigtrader.event.event_engine.EventEngine.process_events() File bigtrader/event/event_engine.py:131, in bigtrader2.bigtrader.event.event_engine.EventEngine._process_without_lock() File bigtrader/strategy/engine.py:197, in bigtrader2.bigtrader.strategy.engine.StrategyEngine.process_bars_event() File bigtrader/strategy/engine.py:617, in bigtrader2.bigtrader.strategy.engine.StrategyEngine._call_strategy_func() File bigtrader/strategy/engine.py:608, in bigtrader2.bigtrader.strategy.engine.StrategyEngine._call_strategy_func() File bigtrader/strategy/strategy_base.py:2221, in bigtrader2.bigtrader.strategy.strategy_base.StrategyBase.call_handle_data() Cell In[20], line 36, in m4_handle_data_bigquant_run(context, data) 34 for ins in instruments: 35 if ins not in holding_list and data.can_trade(context.symbol(ins)) and len(holding_list)<10: ---> 36 context.order_target_percent(context.symbol(ins), 1/10) 37 holding_list.append(ins) File bigtrader/strategy/strategy_base.py:863, in bigtrader2.bigtrader.strategy.strategy_base.StrategyBase.order_target_percent() TypeError: Argument 'symbol' has incorrect type (expected str, got EquityContractData)
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