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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.
The text was updated successfully, but these errors were encountered:
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)".
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.
The text was updated successfully, but these errors were encountered: