a bug in TopkDropoutStrategy
Open
Nobody has claimed this yet.
bug
- Dominant language
- Python
- Stars
- 48.7k
- Forks
- 7.7k
- PR merge metrics
- No merged PRs in 30d
Description
Risk_degree should be applied to the whole account, not just cash. It's OK at the inception of the portfolio when cash is equal to the whole account value, but after that, it's not OK anymore.
Contributor guide
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First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start in qlib/contrib/strategy/strategy.py at the TopkDropoutStrategy logic referenced near line 389, and trace how risk_degree is calculated from cash and account value. Confirm the intended account-wide behavior described in the issue, then verify that risk_degree is no longer limited to cash and add or run relevant regression coverage if available.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python
- Domain
- fintech-quant
- Issue type
- Bug
- Difficulty
- 3/5
- Estimated time
- 1-2 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 45/100