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

Fix portfolio construction NaN handling

Browse Source
This commit is contained in:
Yuxuan Yan
2026-06-10 14:58:06 +08:00
parent 94ab679a75
commit 98a4f99300
7 changed files with 109 additions and 20 deletions
Download Patch File Download Diff File Expand all files Collapse all files
pipeline/portfolio/research.py
+2 -1
View File
@@ -24,7 +24,8 @@ def evaluate_portfolio(positions_df: pd.DataFrame, data_df: pd.DataFrame) -> dic
"""Evaluate target weights as a continuous research portfolio.
Args:
positions_df: POSITION_COLUMNS (uses ``target_weight``).
positions_df: POSITION_COLUMNS (uses ``target_weight``; zero-gross
construction carry dates remain flat in this research view).
data_df: DATA_COLUMNS (uses ``close`` for returns).
Returns: