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在这个例子https://github.com/microsoft/qlib/blob/main/examples/benchmarks_dynamic/baseline/rolling_benchmark.py中, 滚动步长step是20天,预测长度horizon是20天。 每次滚动中,测试集长度也是20天(估计是由horizon决定的),也就这20天中每天都在再平衡,不知我的理解对否。
而我想要的是每次滚动中,滚动步长20天,预测长度是20天,但测试集长度为1天,也就是我想每20天再平衡一次。这相当于实盘中,每20天做一次训练和预测和调仓。也就是两次再平衡调仓间隔20天,间隔中间不调仓。不知怎样实现这个要求。
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在这个例子https://github.com/microsoft/qlib/blob/main/examples/benchmarks_dynamic/baseline/rolling_benchmark.py中,
滚动步长step是20天,预测长度horizon是20天。
每次滚动中,测试集长度也是20天(估计是由horizon决定的),也就这20天中每天都在再平衡,不知我的理解对否。
而我想要的是每次滚动中,滚动步长20天,预测长度是20天,但测试集长度为1天,也就是我想每20天再平衡一次。这相当于实盘中,每20天做一次训练和预测和调仓。也就是两次再平衡调仓间隔20天,间隔中间不调仓。不知怎样实现这个要求。
The text was updated successfully, but these errors were encountered: