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69bb755f37
* refactor: implement deterministic budget allocation in SoftTopkStrategy * style: fix formatting issues using black * fix: remove unused imports and pass pylint * refactor: simplify SoftTopkStrategy impact limit * style: relocate test files per maintainer request
39 lines
1.0 KiB
Python
39 lines
1.0 KiB
Python
import pandas as pd
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import pytest
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from qlib.contrib.strategy.cost_control import SoftTopkStrategy
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class MockPosition:
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def __init__(self, weights):
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self.weights = weights
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def get_stock_weight_dict(self, only_stock=True):
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return self.weights
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def create_test_strategy(topk, risk_degree, impact_limit):
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strat = SoftTopkStrategy.__new__(SoftTopkStrategy)
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strat.topk = topk
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strat.risk_degree = risk_degree
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strat.trade_impact_limit = impact_limit
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return strat
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@pytest.mark.parametrize(
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("impact_limit", "expected_fill"),
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[
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(0.1, 0.1),
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(1.0, 0.475),
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],
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)
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def test_soft_topk_cold_start_impact_limit(impact_limit, expected_fill):
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scores = pd.Series({"C": 0.9, "D": 0.8, "A": 0.1, "B": 0.1})
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current_pos = MockPosition({})
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strat = create_test_strategy(topk=2, risk_degree=0.95, impact_limit=impact_limit)
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res = strat.generate_target_weight_position(scores, current_pos, None, None)
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assert abs(res["C"] - expected_fill) < 1e-8
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assert abs(res["D"] - expected_fill) < 1e-8
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