What is the specific meaning of "label"? Does it mean buying at tomorrow's closing price and then selling at the closing price the day after tomorrow?

[touhoufan2024]

Do these trades need to be completed before the market closes?

[SunsetWolf]

Hi, @touhoufan2024

LABEL usually refers to the future return that the model is trying to predict. Ref($close, -2)/Ref($close, -1) - 1 means the return of buying at tomorrow’s close and selling at the close the day after tomorrow. This is only a target used for model training—it doesn’t imply that real trades must be executed exactly before the close.

[FireParadise]

@SunsetWolf

请教一下大佬，如果要实现“以今日收盘价买入，明日收盘价卖出”的基于Alpha158的回测，以XGBoost工作流为例，除了设置label为 Ref($close, -1)/Ref($close, 0) - 1 ，还需要做哪些适应性修改呢