royy/chinese-equity-quant
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Use next-open returns for research eval

Browse Source
This commit is contained in:
Yuxuan Yan
2026-06-12 18:41:18 +08:00
parent 16b4988f16
commit 3c58a1372e
10 changed files with 552 additions and 270 deletions
Download Patch File Download Diff File Expand all files Collapse all files
pipeline/portfolio/construct.py
+3 -3
View File
@@ -7,9 +7,9 @@ across dates (positions are stateful, unlike alphas/combos), discretizing and
repairing each day's target into a tradable integer book.
Return-convention note: weights here are *target allocations*. The research
evaluation in :mod:`pipeline.portfolio.research` marks them close-to-close on the
*next* period (no look-ahead); the execution simulator marks the actually-filled
book at the next open. See those modules for details.
evaluation in :mod:`pipeline.portfolio.research` marks them from next open to
the following open (no look-ahead); the execution simulator marks the
actually-filled book at the next open. See those modules for details.
"""
from __future__ import annotations