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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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6
strategies/multi_factor.py
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@@ -49,8 +49,10 @@ class MultiFactorStrategy(Strategy):
value = stock.rolling(self.value_period).min() / stock
# --- Cross-sectional ranking (each row ranked across assets) ---
mom_rank = momentum.rank(axis=1, pct=True, na_option="bottom")
val_rank = value.rank(axis=1, pct=True, na_option="bottom")
# na_option="keep" so NaN stocks (pre-IPO / delisted / masked) stay
# NaN in the composite score instead of being assigned pct=1.0.
mom_rank = momentum.rank(axis=1, pct=True, na_option="keep")
val_rank = value.rank(axis=1, pct=True, na_option="keep")
scores = mom_rank + val_rank # combined score, higher = better
# --- Select top_n assets per row ---