Use next-open returns for research eval

2026-06-12 18:41:18 +08:00
parent 16b4988f16
commit 3c58a1372e
10 changed files with 552 additions and 270 deletions
@@ -540,13 +540,13 @@ def test_evaluate_portfolio_keys_no_ic():
 def test_evaluate_portfolio_excludes_signal_without_forward_return():
    dates = pd.date_range("2024-01-01", periods=3)
    data = pd.DataFrame([
-        {"symbol_id": sym, "date": d, "close": price}
+        {"symbol_id": sym, "date": d, "open": price, "close": price}
        for d, prices in zip(dates, [(100.0, 100.0), (100.0, 100.0), (200.0, 100.0)])
        for sym, price in zip(("sh600000", "sz000001"), prices)
    ])
    positions = pd.DataFrame({
        "symbol_id": ["sh600000", "sz000001", "sh600000", "sz000001"],
-        "date": [dates[1], dates[1], dates[2], dates[2]],
+        "date": [dates[0], dates[0], dates[1], dates[1]],
        "portfolio_name": ["run1"] * 4,
        "target_weight": [0.5, -0.5, -0.5, 0.5],
        "target_value": [500.0, -500.0, -500.0, 500.0],