Fix $volume normalization issue #792
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@2young-2simple-sometimes-naive Thanks for your contribution! |
black formatting
black formatting
black formatting
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Besides, will your results change significantly if you add this patch? |
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The format errors are listed in the CI output. |
Depends on the selection of stocks. My strategy has a lot of low volumes stocks, and the fix does not change the IC/RIC significantly. It turns out the volume info is not that important in my stock pool. |
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It looks great to me. |
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Mar 23, 2023
* Fix $volume normalization issue Fix: microsoft#765 * black formatting black formatting * black formatting black formatting * black formatting black formatting
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Fix: #765
Description
change $volume to $volume+1e-12 such that low volume stocks will not create infinity in features.
Motivation and Context
https://github.com//issues/765 $volume creates infinity for low volume stocks.How Has This Been Tested?
pytest qlib/tests/test_all_pipeline.pyunder upper directory ofqlib.Screenshots of Test Results (if appropriate):
Types of changes