fix: mask degenerate windows in Rsquare expanding path (N=0) - #2341
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Near-constant input made var(y) ~= 0, so the expanding rsquare kernel leaked inf / garbage values. The NaN guard (isclose(std, 0)) existed only on the rolling branch; mirror it on the expanding branch. Fixes microsoft#2297
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@microsoft-github-policy-service agree |
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xv (itsadrianxv)
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LGTM
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Thanks for the LGTM xv (@itsadrianxv)! Happy to address any remaining review notes — the fix and the regression tests are ready for CI once approved. |
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What
Mirrors the existing near-constant-window NaN guard from the rolling branch onto the expanding (N == 0) branch of Rsquare in qlib/data/ops.py.
Near-constant input makes �ar(y) ~= 0, so expanding_rsquare (kernel:
um / sqrt(var_x * var_y)) leaks inf / garbage values on the expanding path, while the rolling path already masks those windows:
`python
rolling branch (already guarded):
series.loc[np.isclose(_series.rolling(self.N, min_periods=1).std(), 0, atol=2e-05)] = np.nan
`
This PR applies the equivalent guard with expanding(min_periods=1).std() on the N == 0 branch.
Tests
Added ests/ops/test_rsquare.py:
The tests use a mocked feature (no data download / no qlib.init needed).
Fixes #2297