INNER CODE UNIT · Python

min_names

initial-d/ml-quant-trading · src/mlquant/cli/main.py:314

    min_names = max(5, math.ceil((1.0 - mk_cfg.cash_weight) / mk_cfg.weight_cap - 1e-9))
    weights = np.zeros_like(pred)
    for t in range(max(look_back, oos), T - 1):
        tradable = mask[t]
        idx = np.where(tradable)[0]
        if idx.size < min_names:
            continue
        mu = pred[t, idx].astype(np.float64)
        history = rets[t - look_back:t, idx]
        try:
            w = opt.solve(mu, history)
        except Exception as exc:                          # pragma: no cover
            click.echo(f"[warn] solver failed at t={t}: {exc}")
            continue
        weights[t, idx] = w
    torch.save({"weights": torch.from_numpy(weights)}, art / "weights.pt")
    click.echo(f"wrote weights: {weights.shape}")

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