为什么我的zipline schedule_function不能用于每月计划？backtest总是每天运行

Question

我正在尝试在zipline 1.4.1中安排我的重新平衡功能，然而，我的回测是每天运行，而不是按月运行。

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')

回测结果：

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，得到了同样的结果。有没有人有同样的问题？有什么办法解决这个问题吗？感谢您的好意回复。

Answer 1

我也有同样的问题。我不认为schedule_function和zipline一起工作。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

并将其加载到初始化中

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

如果handle_data中的context.get_datetime().date()存在以下情况，则在context.available_dates中检查此条件：