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fix: normalize inverse-vol weights in float64 #184

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

fix: normalize inverse-vol weights in float64 #184

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4 changes: 3 additions & 1 deletion src/portfolio.py
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Original file line number Diff line number Diff line change
Expand Up @@ -28,7 +28,9 @@ def select_portfolio(
return selected

if weighting in {"inverse_vol", "inverse-vol", "inv_vol"} and "vol20" in selected.columns:
inverse_vol = 1.0 / selected["vol20"].clip(lower=0.05)
# Compute normalized weights in float64 so downcast research inputs
# cannot make a fully invested portfolio round above the strict guard.
inverse_vol = 1.0 / selected["vol20"].astype(np.float64).clip(lower=0.05)
selected["target_weight"] = inverse_vol / inverse_vol.sum()
else:
selected["target_weight"] = 1.0 / len(selected)
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15 changes: 15 additions & 0 deletions tests/test_backtest_accounting.py
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Original file line number Diff line number Diff line change
Expand Up @@ -7,6 +7,8 @@
import pandas as pd

from src.backtest import run_single_backtest
from src.portfolio import select_portfolio
from src.utils import clean_numeric_frame


class BacktestAccountingTests(unittest.TestCase):
Expand Down Expand Up @@ -121,6 +123,19 @@ def test_inverse_vol_skips_top_score_with_missing_volatility(self) -> None:

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

def test_inverse_vol_float32_weights_remain_fully_invested(self) -> None:
panel = self.panel(("A", "B"))
panel["final_score"] = np.tile([2.0, 1.0], len(self.dates))
panel["vol20"] = np.tile([0.13621539, 0.6013158], len(self.dates))
panel = clean_numeric_frame(panel)
config = {"strategy": {**self.config["strategy"], "top_n": 2, "weighting": "inverse_vol"}}

selected = select_portfolio(panel.xs(self.dates[0], level="date"), "final_score", 2, "inverse_vol")
self.assertEqual(selected["target_weight"].dtype, np.dtype("float64"))
self.assertLessEqual(float(selected["target_weight"].sum()), 1.0 + 1e-12)
result = run_single_backtest(panel, "final_score", config)
self.assertFalse(result.returns.empty)

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