refactor: implement deterministic budget allocation in SoftTopkStrategy #2077
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@microsoft-github-policy-service agree |
Author
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Hi @SunsetWolf, sorry for the message. I noticed you’ve been active on recent fixes. Just a friendly ping on this PR. I’ve checked the CI and all tests have passed. Is there any additional information or changes needed from my side to move this forward? Thanks for your time!" |
you-n-g
reviewed
Jan 20, 2026
| order_generator_cls_or_obj=OrderGenWInteract, | ||
| max_sold_weight=1.0, | ||
| trade_impact_limit=None, | ||
| priority="IMPACT_FIRST", |
Collaborator
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I think we don't have to define an extra parameter.
Setting max_sold_weight=1.0 indicates COMPLIANCE_FIRST
Author
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Thanks for the suggestion. I removed the unnecessary parameter and now only use trade_impact_limit/max_sold_weight to control the cap. Logic and tests have been updated accordingly.
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Description
This PR refactors the
SoftTopkStrategyto address the non-deterministic weight allocation issue during portfolio rebalancing.Motivation and Context
final_stock_weightwas incorrectly handled when the number of held stocks exceededtopk(common whentrade_impact_limitprevents immediate liquidation of old positions).How Has This Been Tested?
pytest qlib/tests/test_all_pipeline.pyunder upper directory ofqlib.Screenshots of Test Results (if appropriate):
Types of changes