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fix(strategy): fix TopkDropoutStrategy to use actual sell order count #2223

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fix(strategy): fix TopkDropoutStrategy to use actual sell order count #2223

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6 changes: 4 additions & 2 deletions qlib/contrib/strategy/signal_strategy.py
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Original file line number Diff line number Diff line change
Expand Up @@ -227,8 +227,6 @@ def filter_stock(li):
else:
raise NotImplementedError(f"This type of input is not supported")

# Get the stock list we really want to buy
buy = today[: len(sell) + self.topk - len(last)]
for code in current_stock_list:
if not self.trade_exchange.is_stock_tradable(
stock_id=code,
Expand Down Expand Up @@ -260,6 +258,10 @@ def filter_stock(li):
)
# update cash
cash += trade_val - trade_cost

# Get the stock list we really want to buy.
# Buy only enough to keep holdings within topk after the sell orders that were actually generated.
buy = today[: max(0, len(sell_order_list) + self.topk - len(last))]
# buy new stock
# note the current has been changed
# current_stock_list = current_temp.get_stock_list()
Expand Down