fix(strategy): use get_risk_degree() in TopkDropoutStrategy for position sizing - #2331
Open
Akshay Kumar Hudedmani (akshaykumarhudedmani) wants to merge 1 commit into
Conversation
Author
|
@microsoft-github-policy-service agree |
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Description
Fixes #2276.
TopkDropoutStrategy.generate_trade_decisionwas sizing new buys using the raw attributeself.risk_degreeinstead of callingself.get_risk_degree(trade_step). This prevented subclasses from implementing market timing by overridingget_risk_degree(). This PR replacesself.risk_degreewithself.get_risk_degree(trade_step).Motivation and Context
Fixes #2276. Using the getter allows subclasses to dynamically adjust the risk degree over time, which is the documented way to implement market timing.
How Has This Been Tested?
pytest qlib/tests/test_all_pipeline.pyunder upper directory ofqlib.Screenshots of Test Results (if appropriate):
Pipeline test passed successfully.
Types of changes