Question about the calculation of 'captured_returns'.

kieranjwood / trading-momentum-transformer

This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.org/pdf/2112.08534.pdf).

https://kieranjwood.github.io/publication/momentum-transformer/

MIT License

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Question about the calculation of 'captured_returns'. #16

Open danbo6 opened 7 months ago

danbo6 commented 7 months ago

Here https://github.com/kieranjwood/trading-momentum-transformer/blob/master/mom_trans/deep_momentum_network.py#L484 you use 'captured_returns = returns * positions', but this 'returns ' is a volatility scaled returns. Should you use the real daily return?