Return target

[harryzhangOG]

Hi, thanks for releasing the code.

May I ask why the target was defined as follows:

https://github.com/DulyHao/AlphaForge/blob/master/alphagen_generic/features.py#L12

why do we need a predict the 21-day-period vwap instead of 1-day stock return? Thanks.

[Tionofzl]

The original paper stated as follows:

because it (the label) more closely reflects real-world scenarios, although it may lead to changes in the metrics.

From an empirical perspective, VWAP has lower noise, making it more predictive.

As for more specific reasons, please wait for the author's response.