About skipping label 0 when constructing dataset

[XBR-1111]

Firstly, thank you for sharing your code and data.
However, when loading data, the code just skips samples with label 0, whose next-day return is between -0.5% and 0.55%. It's not good especially for test set. For unknown data in test set, It actually have 3 labels, and the code destroys the distribution of test data.
I just wonder whether my understand is correct.

[fulifeng]

Yes, this is not a good way to construct label. But this is a hard choice. During my rejected submission, there are comments like "Should follow the same setting as previous work (StockNet)".