fix: correct WMA calculation to use nansum instead of nanmean#2109
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Ayush10 wants to merge 1 commit intomicrosoft:mainfrom
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fix: correct WMA calculation to use nansum instead of nanmean#2109Ayush10 wants to merge 1 commit intomicrosoft:mainfrom
Ayush10 wants to merge 1 commit intomicrosoft:mainfrom
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…oft#1993) The weighted_mean function normalizes weights to sum to 1, so np.nanmean (which divides by count) produces incorrect results. Use np.nansum instead, consistent with the EMA implementation.
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Summary
Closes #1993
The
weighted_meanfunction inWMA._load_internal(qlib/data/ops.py) normalizes weights to sum to 1 viaw = w / w.sum(), then incorrectly usesnp.nanmean(w * x)which divides by the element count again. The correct function isnp.nansum(w * x)since the weights already sum to 1.This is consistent with how
EMA.exp_weighted_meanis implemented (which already usesnp.nansum).Before
After
Test Plan