账户初始资金cash及最小成本min_cost面值与购买力存在差异
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- Python
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Description
qlib提供的雅虎财经数据，是经过首日收盘价缩放（股票上市第一天收盘价调整为1）的后复权数据。
在回测过程中，使用后复权价进行买卖，会导致账户初始资金cash及最小成本min_cost面值与购买力不一致的问题。
举例：
假设账户初始资金cash = 100000, 股票stock_1的真实收盘价为10，复权之后为100。
如果按照真实收盘价，可以购买10000股，而按照复权价只能购买到1000股。虽然在回测交易过程中，现金和股价都是用后复权价格进行交易，不会存在这个问题，但是账户初始现金没有经过复权因子处理，其面值和购买力显然存在偏差。
另外，最小交易成本min_cost是一个固定值，也会存在类似问题。如代码 trade_cost = max(trade_val * cost_ratio, self.min_cost)
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Research direction
Start by tracing how Yahoo Finance back-adjusted prices affect account initialization, especially cash and min_cost, then inspect the trade_cost calculation shown in the issue. Compare purchasing power under real and adjusted prices; done means initial cash and the minimum trading cost are consistent with the adjusted-price scale during backtests.
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Assessment
- Tech stack
- python
- Domain
- fintech-quant
- Issue type
- Bug
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 35/100