import numpy as np import pandas as pd from training.walk_forward import walk_forward_train_test from models.base import Model no_of_rows = 100 def __generate_incremental_test_data(no_of_rows) -> tuple[pd.DataFrame, pd.Series]: ''' Test data, where X[n][any_column] == y[n]+1 ''' no_columns = 6 X = [[row] * no_columns for row in range(no_of_rows)] assert X[0][0] == 0 assert X[1][0] == 1 assert X[2][0] == 2 assert X[3][0] == 3 X = pd.DataFrame(X) y = [row+1 for row in range(no_of_rows)] assert y[0] == 1 assert y[1] == 2 assert y[2] == 3 y = pd.Series(y) return X, y class IncrementingStubModel(Model): ''' A deteministic model that can predict the future with 100% accuracy It verifies that the X[n][any_column]+1 == y[n] ''' data_scaling = "unscaled" only_column = None predict_window_size = 'single_timestamp' def __init__(self, window_length) -> None: super().__init__() self.window_length = window_length def fit(self, X, y): assert len(X) == self.window_length for i in range(len(X)): assert X[i][0] + 1 == y[i] def predict(self, X): return (X[0][0] + 1, np.array([])) def clone(self): return self def get_name(self) -> str: return 'test' def initialize_network(self, input_dim: int, output_dim: int): pass def test_walk_forward_train_test(): X, y = __generate_incremental_test_data(no_of_rows) window_length = 10 model = IncrementingStubModel(window_length = window_length) scaler = None models, predictions, probs = walk_forward_train_test( model_name='test', model=model, X=X, y=y, target_returns=y, expanding_window=False, window_size=window_length, retrain_every=10, scaler=scaler) # verify if predictions are the same as y for i in range(window_length+2, no_of_rows): assert predictions[i] == y[i]