Label calculation

[igor17400]

❓ Questions and Help

In the following documentation it says the following

In the Alpha158, Qlib uses the label Ref($close, -2)/Ref($close, -1) - 1 that means the change from T+1 to T+2, rather than Ref($close, -1)/$close - 1, of which the reason is that when getting the T day close price of a china stock, the stock can be bought on T+1 day and sold on T+2 day.

However, in Aplha360 should we use the same equation - Ref($close, -2)/Ref($close, -1) - 1 - for label? Or should we use Ref($close, -1)/$close - 1 ?

In this other page from the documentation it says,

• For ic

The Pearson correlation coefficient series between label and prediction score. In the above example, the label is formulated as Ref($close, -1)/$close - 1. Please refer to Data Feature for more details.

Are those two formulas related? Shouldn't them be the same?

[you-n-g]

Thanks for your reporting. @SunsetWolf will fix this BUG.

[igor17400]

@you-n-g and @SunsetWolf if it is of any help I can fix this documentation. I just need to undersand what exactly is wrong.

Is it the IC definition? Or the equation that should be used in Aplha360 which should be Ref($close, -1)/$close - 1 ?

[SunsetWolf]

Sorry for taking so long to reply to you, I have made changes to this issue in this PR.

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