Fix the empty price_s case and self.instruments in SBBStrategyEMA. (#…

…1677) * Fix the empty price_s case and self.instruments in SBBStrategyEMA. * Update qlib/contrib/strategy/rule_strategy.py * Update qlib/contrib/strategy/rule_strategy.py --------- Co-authored-by: you-n-g <[email protected]> Co-authored-by: Linlang <[email protected]>
microsoft · Dec 26, 2024 · 23d9d5a · 23d9d5a
1 parent 7ce97c9
commit 23d9d5a
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diff --git a/qlib/backtest/report.py b/qlib/backtest/report.py
@@ -427,6 +427,10 @@ def _get_base_vol_pri(
         # NOTE ~(price_s < 1e-08) is different from price_s >= 1e-8
         #   ~(np.nan < 1e-8) -> ~(False)  -> True
 
+        # if price_s is empty
+        if price_s.empty:
+            return None, None
+
         assert isinstance(price_s, idd.SingleData)
         if agg == "vwap":
             volume_s = trade_exchange.get_volume(inst, trade_start_time, trade_end_time, method=None)

diff --git a/qlib/contrib/strategy/rule_strategy.py b/qlib/contrib/strategy/rule_strategy.py
@@ -326,8 +326,10 @@ def __init__(
         if instruments is None:
             warnings.warn("`instruments` is not set, will load all stocks")
             self.instruments = "all"
-        if isinstance(instruments, str):
+        elif isinstance(instruments, str):
             self.instruments = D.instruments(instruments)
+        elif isinstance(instruments, List):
+            self.instruments = instruments
         self.freq = freq
         super(SBBStrategyEMA, self).__init__(
             outer_trade_decision, level_infra, common_infra, trade_exchange=trade_exchange, **kwargs