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docs: distinguish signal execution and holding times
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ao gong
2026-08-21 21:49:07 +08:00
parent f9b7f2ab1a
commit 15b283bdf9
3 changed files with 24 additions and 15 deletions
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tests/test_portfolio_construction.py
+5 -6
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@@ -91,10 +91,10 @@ def test_scores_to_weight_table_constructs_each_rebalance_independently() -> Non
pd.testing.assert_series_equal(result.iloc[0], changed_result.iloc[0])
def test_factor_scores_flow_directly_into_weight_backtest() -> None:
def test_effective_holding_weights_flow_into_weight_backtest() -> None:
dates = pd.date_range("2026-01-05", periods=3, freq="B")
scores = pd.DataFrame(
{"A": [2.0, 0.0], "B": [1.0, 3.0]},
effective_weights = pd.DataFrame(
{"A": [1.0, 0.0], "B": [0.0, 1.0]},
index=dates[[0, 2]],
)
stock_returns = pd.DataFrame(
@@ -102,11 +102,10 @@ def test_factor_scores_flow_directly_into_weight_backtest() -> None:
index=dates,
)
weights = scores_to_weight_table(scores, top_k=1)
result = run_weight_backtest(weights, stock_returns)
result = run_weight_backtest(effective_weights, stock_returns)
pd.testing.assert_series_equal(result.nav, pd.Series([1.1, 1.1, 1.32], index=dates))
pd.testing.assert_frame_equal(result.weights, weights)
pd.testing.assert_frame_equal(result.weights, effective_weights)
@pytest.mark.parametrize("top_k", [0, -1])