Potential error in RT@1 calculation.

fulifeng / Temporal_Relational_Stock_Ranking

Code for paper "Temporal Relational Ranking for Stock Prediction"

https://arxiv.org/pdf/1809.09441.pdf

GNU Affero General Public License v3.0

445 stars 167 forks source link

Potential error in RT@1 calculation. #3

Open jainkshitij opened 5 years ago

jainkshitij commented 5 years ago

Why are the bt variables in the evaluator.py (bt_long, bt_long5, bt_long10) initialized as 1.0. They should have been initialized as 0.0.

fulifeng commented 5 years ago

It's not an issue. We subtract 1.0 before report performance. The consideration of not initializing it with 0.0 is the potential of running back-testing where the total money changes along the testing days (money decreases if you loss money at the beginning).