zhaoli/tac-exp-dev
0
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

start experiment 78 (exp/78-scheduled-algo-retrain-on-2026-09-18-tac)

Browse Source
This commit is contained in:
zhaoli
2026-09-21 12:02:16 +00:00
parent f9c8fbe945
commit 278d9830af
14 changed files with 33 additions and 21 deletions
Download Patch File Download Diff File Expand all files Collapse all files
code/tac-qlib/tac_qlib/contrib/strategy/weekly_rebalance.py
+28 -7
View File
@@ -37,11 +37,20 @@ class WeeklyRebalanceDropoutStrategy(TopkDropoutStrategy):
forbid_all_trade_at_limit : same as ``TopkDropoutStrategy``.
hold_band_pct : skip order for a name whose deviation from target weight is
below this fraction of the target (no-trade buffer band).
rebalance_every_n_weeks : rebalance every N ISO weeks instead of every week
(default 1 = weekly; 2 = biweekly). Ignored when
``rebalance_every_n_days`` is set.
rebalance_every_n_days : rebalance every N trading days (daily when N=1).
When set, overrides the weekly gating logic entirely.
"""
def __init__(self, *, topk, n_drop, hold_band_pct: float = DEFAULT_HOLD_BAND_PCT, **kwargs):
def __init__(self, *, topk, n_drop, hold_band_pct: float = DEFAULT_HOLD_BAND_PCT,
rebalance_every_n_weeks: int = 1,
rebalance_every_n_days: int = 0, **kwargs):
super().__init__(topk=topk, n_drop=n_drop, **kwargs)
self.hold_band_pct = hold_band_pct
self.rebalance_every_n_weeks = rebalance_every_n_weeks
self.rebalance_every_n_days = rebalance_every_n_days
@staticmethod
def _iso_week(ts) -> tuple:
@@ -53,13 +62,25 @@ class WeeklyRebalanceDropoutStrategy(TopkDropoutStrategy):
trade_step = self.trade_calendar.get_trade_step()
trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
cur_week = self._iso_week(trade_start_time)
prev_week = getattr(self, "_last_week", None)
self._last_week = cur_week
if self.rebalance_every_n_days > 0:
# daily gating: count trading steps since last rebalance
step_num = trade_step
if hasattr(self, "_last_rebal_step"):
if (step_num - self._last_rebal_step) < self.rebalance_every_n_days:
return TradeDecisionWO([], self)
self._last_rebal_step = step_num
else:
cur_week = self._iso_week(trade_start_time)
prev_week = getattr(self, "_last_week", None)
self._last_week = cur_week
if prev_week is not None and prev_week == cur_week:
# not the first trading day of this ISO week -> hold
return TradeDecisionWO([], self)
if prev_week is not None and prev_week == cur_week:
return TradeDecisionWO([], self)
if self.rebalance_every_n_weeks > 1:
week_num = cur_week[1]
if prev_week is not None and (week_num % self.rebalance_every_n_weeks) != 1:
return TradeDecisionWO([], self)
pred_start_time, pred_end_time = self.trade_calendar.get_step_time(trade_step, shift=1)
pred_score = self.signal.get_signal(start_time=pred_start_time, end_time=pred_end_time)