From f947a2fdef294ec927466ec7a287da83604c0bc8 Mon Sep 17 00:00:00 2001 From: Charles Young Date: Mon, 22 Feb 2021 15:15:51 +0800 Subject: [PATCH] Correct two mistakes in annotation. --- qlib/model/base.py | 3 ++- qlib/portfolio/optimizer.py | 3 ++- 2 files changed, 4 insertions(+), 2 deletions(-) diff --git a/qlib/model/base.py b/qlib/model/base.py index a7001f0a6..3708298d5 100644 --- a/qlib/model/base.py +++ b/qlib/model/base.py @@ -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) diff --git a/qlib/portfolio/optimizer.py b/qlib/portfolio/optimizer.py index 391242127..75c6c51f5 100644 --- a/qlib/portfolio/optimizer.py +++ b/qlib/portfolio/optimizer.py @@ -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)