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Potential error in RT@1 calculation. #3

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jainkshitij opened this issue Jan 4, 2019 · 1 comment
Open

Potential error in RT@1 calculation. #3

jainkshitij opened this issue Jan 4, 2019 · 1 comment

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@jainkshitij
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jainkshitij commented Jan 4, 2019 •
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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
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fulifeng commented Jan 7, 2019

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).

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