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fix: skip invalid inverse-vol candidates #183

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Merged
Pigbibi merged 1 commit into from
Sep 13, 2026
Merged

fix: skip invalid inverse-vol candidates #183

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9 changes: 7 additions & 2 deletions src/portfolio.py
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Original file line number Diff line number Diff line change
Expand Up @@ -2,6 +2,7 @@

from typing import Iterable

import numpy as np
import pandas as pd


Expand All @@ -16,11 +17,16 @@ def select_portfolio(
if eligible.empty:
return eligible

weighting = weighting.lower()
if weighting in {"inverse_vol", "inverse-vol", "inv_vol"} and "vol20" in eligible.columns:
# Missing risk estimates cannot produce a trusted inverse-vol weight.
# Exclude those candidates before top-N selection so one bad row does
# not turn every selected target weight into NaN.
eligible = eligible.loc[np.isfinite(eligible["vol20"])]
selected = eligible.sort_values(score_column, ascending=False).head(top_n).copy()
if selected.empty:
return selected

weighting = weighting.lower()
if weighting in {"inverse_vol", "inverse-vol", "inv_vol"} and "vol20" in selected.columns:
inverse_vol = 1.0 / selected["vol20"].clip(lower=0.05)
selected["target_weight"] = inverse_vol / inverse_vol.sum()
Expand All @@ -43,4 +49,3 @@ def calculate_turnover(previous_weights: pd.Series, next_weights: pd.Series) ->
previous_weights = previous_weights.reindex(next_weights.index).fillna(0.0)
next_weights = next_weights.reindex(previous_weights.index).fillna(0.0)
return float(0.5 * (next_weights - previous_weights).abs().sum())

12 changes: 12 additions & 0 deletions tests/test_backtest_accounting.py
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Expand Up @@ -109,6 +109,18 @@ def test_valid_frozen_empty_selection_produces_cash(self) -> None:
self.assertEqual(len(result.returns), len(self.dates))
self.assertTrue(result.returns.eq(0).all())

def test_inverse_vol_skips_top_score_with_missing_volatility(self) -> None:
panel = self.panel(("A", "B"))
panel["vol20"] = 0.2
panel.loc[(slice(None), "A"), "final_score"] = 2.0
panel.loc[(slice(None), "A"), "vol20"] = np.nan
panel.loc[(slice(None), "B"), "final_score"] = 1.0
config = {"strategy": {**self.config["strategy"], "weighting": "inverse_vol"}}

result = run_single_backtest(panel, "final_score", config)

self.assertEqual(result.trades["symbol"].tolist(), ["B"])

def test_nonfinite_eligible_scores_are_not_cash(self) -> None:
for bad_score in (np.inf, -np.inf):
with self.subTest(bad_score=bad_score):
Expand Down