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Benchmark (#114)
* Init todo * Evaluation & dataset * Generate new data * dataset generation * add the result * Analysis * Factor update * Updates * Reformat analysis.py * CI fix --------- Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
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cyncyw
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import json
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import pickle
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import pandas as pd
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from pathlib import Path
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import matplotlib.pyplot as plt
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import seaborn as sns
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from rdagent.components.benchmark.eval_method import FactorImplementEval
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from rdagent.components.benchmark.conf import BenchmarkSettings
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class BenchmarkAnalyzer:
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def __init__(self, settings):
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self.settings = settings
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self.index_map = self.load_index_map()
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def load_index_map(self):
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index_map = {}
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with open(self.settings.bench_data_path, "r") as file:
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factor_dict = json.load(file)
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for factor_name, data in factor_dict.items():
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index_map[factor_name] = (factor_name, data["Category"], data["Difficulty"])
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return index_map
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def load_data(self, file_path):
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file_path = Path(file_path)
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if not (file_path.is_file() and file_path.suffix == ".pkl"):
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raise ValueError("Invalid file path")
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with file_path.open("rb") as f:
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res = pickle.load(f)
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return res
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def process_results(self, results):
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final_res = {}
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for experiment, path in results.items():
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data = self.load_data(path)
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summarized_data = FactorImplementEval.summarize_res(data)
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processed_data = self.analyze_data(summarized_data)
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final_res[experiment] = processed_data.iloc[-1, :]
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return final_res
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def reformat_succ_rate(self, display_df):
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new_idx = []
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display_df = display_df[display_df.index.isin(self.index_map.keys())]
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for idx in display_df.index:
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new_idx.append(self.index_map[idx])
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display_df.index = pd.MultiIndex.from_tuples(
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new_idx,
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names=["Factor", "Category", "Difficulty"],
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)
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display_df = display_df.swaplevel(0, 2).swaplevel(0, 1).sort_index(axis=0)
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return display_df.sort_index(key=lambda x: [{"Easy": 0, "Medium": 1, "Hard": 2, "New Discovery": 3}.get(i, i) for i in x])
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def result_all_key_order(self, x):
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order_v = []
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for i in x:
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order_v.append(
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{
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"avg. Run successful rate": 0,
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"avg. Format successful rate": 1,
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"avg. Correlation (value only)": 2,
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"max. Correlation": 3,
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"max. accuracy": 4,
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"avg. accuracy": 5,
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}.get(i, i),
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)
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return order_v
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def analyze_data(self, sum_df):
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index = [
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"FactorSingleColumnEvaluator",
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"FactorOutputFormatEvaluator",
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"FactorRowCountEvaluator",
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"FactorIndexEvaluator",
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"FactorMissingValuesEvaluator",
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"FactorEqualValueCountEvaluator",
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"FactorCorrelationEvaluator",
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"run factor error",
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]
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sum_df = sum_df.reindex(index, axis=0)
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sum_df_clean = sum_df.T.groupby(level=0).apply(lambda x: x.reset_index(drop=True))
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run_error = sum_df_clean["run factor error"].unstack().T.fillna(False).astype(bool)
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succ_rate = ~run_error
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succ_rate = succ_rate.mean(axis=0).to_frame("success rate")
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succ_rate_f = self.reformat_succ_rate(succ_rate)
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succ_rate_f
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sum_df_clean["FactorRowCountEvaluator"]
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format_issue = (
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sum_df_clean["FactorRowCountEvaluator"] & sum_df_clean["FactorIndexEvaluator"]
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)
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eval_series = format_issue.unstack()
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succ_rate = eval_series.T.fillna(False).astype(bool) # false indicate failure
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format_succ_rate = succ_rate.mean(axis=0).to_frame("success rate")
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format_succ_rate_f = self.reformat_succ_rate(format_succ_rate)
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corr = sum_df_clean["FactorCorrelationEvaluator"] * format_issue
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corr = corr.unstack().T.mean(axis=0).to_frame("corr(only success)")
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corr_res = self.reformat_succ_rate(corr)
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corr_max = sum_df_clean["FactorCorrelationEvaluator"] * format_issue
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corr_max = corr_max.unstack().T.max(axis=0).to_frame("corr(only success)")
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corr_max_res = self.reformat_succ_rate(corr_max)
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value_max = sum_df_clean["FactorMissingValuesEvaluator"] * format_issue
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value_max = value_max.unstack().T.max(axis=0).to_frame("max_value")
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value_max_res = self.reformat_succ_rate(value_max)
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value_avg = (
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(sum_df_clean["FactorMissingValuesEvaluator"] * format_issue)
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.unstack()
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.T.mean(axis=0)
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.to_frame("avg_value")
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)
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value_avg_res = self.reformat_succ_rate(value_avg)
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result_all = pd.concat(
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{
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"avg. Correlation (value only)": corr_res.iloc[:, 0],
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"avg. Format successful rate": format_succ_rate_f.iloc[:, 0],
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"avg. Run successful rate": succ_rate_f.iloc[:, 0],
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"max. Correlation": corr_max_res.iloc[:, 0],
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"max. accuracy": value_max_res.iloc[:, 0],
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"avg. accuracy": value_avg_res.iloc[:, 0],
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},
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axis=1,
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)
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df = result_all.sort_index(axis=1, key=self.result_all_key_order)
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print(df)
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# Calculate the mean of each column
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mean_values = df.fillna(0.0).mean()
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mean_df = pd.DataFrame(mean_values).T
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# Assign the MultiIndex to the DataFrame
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mean_df.index = pd.MultiIndex.from_tuples([("-", "-", "Average")], names=["Factor", "Category", "Difficulty"])
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# Append the mean values to the end of the dataframe
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df_w_mean = pd.concat([df, mean_df]).astype("float")
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return df_w_mean
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class Plotter:
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@staticmethod
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def change_fs(font_size):
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plt.rc("font", size=font_size)
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plt.rc("axes", titlesize=font_size)
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plt.rc("axes", labelsize=font_size)
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plt.rc("xtick", labelsize=font_size)
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plt.rc("ytick", labelsize=font_size)
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plt.rc("legend", fontsize=font_size)
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plt.rc("figure", titlesize=font_size)
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@staticmethod
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def plot_data(data, file_name):
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plt.figure(figsize=(10, 6))
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sns.barplot(x="index", y="b", hue="a", data=data)
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plt.xlabel("Method")
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plt.ylabel("Value")
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plt.title("Comparison of Different Methods")
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plt.savefig(file_name)
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if __name__ == "__main__":
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settings = BenchmarkSettings()
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benchmark = BenchmarkAnalyzer(settings)
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results = {
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"1 round experiment": "git_ignore_folder/eval_results/res_promptV220240724-060037.pkl",
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}
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final_results = benchmark.process_results(results)
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final_results_df = pd.DataFrame(final_results)
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Plotter.change_fs(20)
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plot_data = final_results_df.drop(["max. accuracy", "avg. accuracy"], axis=0).T
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plot_data = plot_data.reset_index().melt("index", var_name="a", value_name="b")
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Plotter.plot_data(plot_data, "rdagent/app/quant_factor_benchmark/comparison_plot.png")
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