from utils.evaluate import discretize_threeway_threshold, evaluate_predictions from utils.helpers import equal_except_nan from training.primary_model import train_primary_model import pandas as pd from models.model_map import default_feature_selector_classification, default_feature_selector_regression from models.base import Model from reporting.types import Reporting from typing import Union, Optional def train_meta_labeling_model( target_asset: str, X: 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, from_index: Optional[int], preloaded_models: Optional[list[tuple[str, pd.Series, list[pd.Series]]]] = None ) -> tuple[pd.Series, pd.Series, pd.DataFrame, list[Reporting.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) meta_X = pd.concat([X, input_predictions, discretized_predictions], axis = 1) _, meta_preds, meta_probabilities, all_models_single_asset = train_primary_model( ticker_to_predict = "prediction_correct", 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'], from_index = from_index, scaler = training_config['scaler'], no_of_classes = 'two', level = 'meta_labeling', print_results = False, preloaded_models = preloaded_models ) 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