from utils.evaluate import discretize_threeway_threshold, evaluate_predictions from utils.helpers import random_string, equal_except_nan, drop_until_first_valid_index from training.primary_model import train_primary_model from feature_selection.feature_selection import select_features import pandas as pd from models.model_map import default_feature_selector_regression, default_feature_selector_classification from models.base import Model from utils.encapsulation import Single_Model def train_meta_labeling_model( target_asset: str, X_pca: pd.DataFrame, input_predictions: pd.Series, y: pd.Series, target_returns: pd.Series, models: list[tuple[str, Model]], data_config: dict, model_config: dict, training_config: dict, model_suffix: str ) -> tuple[pd.Series, pd.Series, pd.DataFrame, list[Single_Model]]: discretize = discretize_threeway_threshold(0.33) discretized_predictions = input_predictions.apply(discretize) meta_y: pd.Series = pd.concat([discretized_predictions, y], axis=1).apply(equal_except_nan, axis = 1) print("Feature Selection started") backup_model = default_feature_selector_regression if data_config['method'] == 'regression' else default_feature_selector_classification meta_feature_selection_input_X, meta_feature_selection_input_y = drop_until_first_valid_index(X_pca, meta_y) feature_selection_output = select_features(X = meta_feature_selection_input_X, y = meta_feature_selection_input_y, model = models[0][1], n_features_to_select = training_config['n_features_to_select'], backup_model = backup_model, scaling = training_config['scaler']) meta_selected_features_X = X_pca[feature_selection_output.columns] meta_X = pd.concat([meta_selected_features_X, input_predictions, discretized_predictions], axis = 1) _, meta_preds, meta_probabilities, all_models_single_asset = train_primary_model( ticker_to_predict = "prediction_correct", original_X = meta_X, X = meta_X, y = meta_y, target_returns = target_returns, models = models, method = 'classification', expanding_window = training_config['expanding_window_meta_labeling'], sliding_window_size = training_config['sliding_window_size_meta_labeling'], retrain_every = training_config['retrain_every'], scaler = training_config['scaler'], no_of_classes = 'two', level = 'meta_labeling', print_results = False ) if len(models) > 1: meta_preds = meta_preds.mean(axis = 1) bet_size = meta_probabilities[meta_probabilities.columns[1::2]].mean(axis = 1) else: bet_size = meta_probabilities.iloc[:,1] avg_predictions_with_sizing = input_predictions * bet_size avg_predictions_with_sizing.rename("model_" + target_asset + "_" + model_suffix, inplace=True) meta_result = evaluate_predictions( model_name = "Meta", target_returns = target_returns, y_pred = avg_predictions_with_sizing, y_true = y, method = 'classification', no_of_classes = 'two', print_results = True, discretize=False ) meta_result.rename("model_" + target_asset + "_" + model_suffix, inplace=True) return meta_result, avg_predictions_with_sizing, meta_probabilities, all_models_single_asset