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Code Activity

Correct two mistakes in annotation.

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This commit is contained in:
Charles Young
2021-02-22 15:15:51 +08:00
parent dc4aa67503
commit f947a2fdef
2 changed files with 4 additions and 2 deletions
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3
qlib/model/base.py
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@@ -44,7 +44,8 @@ class Model(BaseModel):
# get weights
try:
wdf_train, wdf_valid = dataset.prepare(["train", "valid"], col_set=["weight"],
data_key=DataHandlerLP.DK_L, w_train, w_valid = wdf_train["weight"], wdf_valid["weight"]
data_key=DataHandlerLP.DK_L)
w_train, w_valid = wdf_train["weight"], wdf_valid["weight"]
except KeyError as e:
w_train = pd.DataFrame(np.ones_like(y_train.values), index=y_train.index)
w_valid = pd.DataFrame(np.ones_like(y_valid.values), index=y_valid.index)

3
qlib/portfolio/optimizer.py
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@@ -292,7 +292,7 @@ class EnhancedIndexingOptimizer(BaseOptimizer):
delta: float = 0.4,
bench_dev: float = 0.01,
inds_dev: float = 0.01,
scale_alpha=True,
scale_alpha: bool = True,
verbose: bool = False,
warm_start: str = DO_NOT_START_FROM,
max_iters: int = 10000,
@@ -303,6 +303,7 @@ class EnhancedIndexingOptimizer(BaseOptimizer):
delta (float): turnover rate limit
bench_dev (float): benchmark deviation limit
inds_dev (float): industry deviation limit
scale_alpha (bool): if to scale alpha to match the volatility of the covariance matrix
verbose (bool): if print detailed information about the solver
warm_start (str): whether try to warm start (`w0`/`benchmark`/``)
(https://www.cvxpy.org/tutorial/advanced/index.html#warm-start)