stockregression's Issues
Wrong long part and short part store
We are computing and storing information for long and short parts of the day d, not d+1.
StockRegression/utils/ranking.py
Line 39 in 7bc5aef
Do not fill with 0, and drop nulls
Line 60 in 7bc5aef
Please remove this part of code, no need yet.
Its purpose is for portfolio rebalancing and transaction costs. Meaning if we want to see the actual holding of a stock.
In other words, if we predict that we need to buy/sell stock A at day d and the same stock A is going to be at day d+1 that means that we are not actually doing 4 transactions and we do just 2 transactions at the beginning of day d and at the end of day d+1.
StockRegression/utils/ranking.py
Line 39 in 7bc5aef
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