Monthly Task RollingGen

[pop0121]

🌟 Feature Description

Is it possible to provide a way to rolling train the model (and consequently, the backtest) at an irregular interval (e.g., weekly or monthly).

Sorry to post it if there is already a way to do it in qlib.

Motivation

• In many scenarios, investors may rebalance the portofolio weekly or monthly.
• A natural way to backtest the model and strategy is to simulate this process, and fine-tune the pre-trained model just before the re-balancing date, based on the latest obervations.
• However, the current version of qlib seems to only support regular interval rolling training (e.g., 20 days), which is not perfectly aligned with the trading calendar.

Alternatives

Additional Notes