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滚动窗口问题 #7

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M1A2SEPTUSKII opened this issue Mar 9, 2024 · 1 comment
Open

滚动窗口问题 #7

M1A2SEPTUSKII opened this issue Mar 9, 2024 · 1 comment

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@M1A2SEPTUSKII
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我数学不太好，但是不是有很多因子的计算是从给定的起始日期开始滚动计算的？比如计算2020-06-01的因子值，按alphas.py的默认截取日期是从2019-01-01开始滚动计算，如果我改成从2019-06-01开始计算，是不是因子的值就有变化了？甚至起始时间可以无限往前延伸，只要有数据？
@M1A2SEPTUSKII
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提这个问题主要是我想用尽可能短的时间窗口计算因子，但我发现缩短起始日期后的因子和原来的因子对不上了

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