滚动步长step和再平衡间隔。
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Description
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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Research direction
Start with examples/benchmarks_dynamic/baseline/rolling_benchmark.py and trace how step, horizon, and test-set length are passed into the rolling and backtesting workflow. Run the example and inspect its rebalance behavior; done means supporting a 20-day rolling and prediction interval with a one-day test segment and rebalancing only once per interval.
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Assessment
- Tech stack
- python
- Domain
- fintech-quant
- Issue type
- Feature
- Difficulty
- 3/5
- Estimated time
- 1-2 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100