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fix: preserve NaNs in cross-sectional ranks

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Gahow Wang
2026-04-18 16:14:25 +08:00
parent aa053605de
commit 40ec3b828a
3 changed files with 18 additions and 8 deletions
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10
strategies/momentum_quality.py
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@@ -46,9 +46,13 @@ class MomentumQualityStrategy(Strategy):
inv_dd = rolling_max_dd(data, self.quality_window)
# --- Cross-sectional ranking ---
mom_rank = momentum.rank(axis=1, pct=True, na_option="bottom")
con_rank = consistency.rank(axis=1, pct=True, na_option="bottom")
dd_rank = inv_dd.rank(axis=1, pct=True, na_option="bottom")
# na_option="keep" so NaN stocks stay NaN in the composite. With
# "bottom" + default ascending=True, NaN entries receive pct=1.0 and
# the additive composite ends up maximal for NaN rows, silently
# selecting pre-IPO / delisted names as "top".
mom_rank = momentum.rank(axis=1, pct=True, na_option="keep")
con_rank = consistency.rank(axis=1, pct=True, na_option="keep")
dd_rank = inv_dd.rank(axis=1, pct=True, na_option="keep")
# Composite: momentum 50%, consistency 25%, drawdown 25%
scores = 0.50 * mom_rank + 0.25 * con_rank + 0.25 * dd_rank