fix: 导出脚本因子前向填充对齐到展示日历

- 先定义 common_dates = equity_curve.index
- 再执行 factor_df.reindex(common_dates, method='ffill')
- 修复境外市场放假时动量显示为 None 的问题
This commit is contained in:
2026-05-25 02:30:58 +08:00
parent 959a863b5e
commit 0ef0623538

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@@ -137,19 +137,21 @@ def main():
# 9. 构建逐日明细
print("[9] 构建逐日明细...")
# 获取展示日历
common_dates = equity_curve.index
# 因子数据DataFrame 格式)
factor_df = pd.DataFrame(factors)
# 将因子对齐到 A 股交易日历(前向填充)
# 将因子对齐到实际展示日历(前向填充)
# 因子已经在原始数据上计算完成,这里只是将结果对齐到展示日历
factor_df_aligned = factor_df.reindex(trading_calendar, method='ffill')
factor_df_aligned = factor_df.reindex(common_dates, method='ffill')
# 持仓状态跟踪
holdings_state = {} # {code: {'entry_date': str, 'entry_price': float}}
prev_holdings = set()
days_list = []
common_dates = equity_curve.index
# 获取配置信息
bond_code = strategy.bond_code if strategy.use_dynamic_threshold else None