mirror of
https://github.com/webclinic017/drift.git
synced 2026-07-27 18:57:55 +00:00
Mark Aron Szulyovszky
b5ddee8dce
* feat(HPO): added `run_hpo` script * fix(Linter): ran * feat(HPO): removed any reference to sweep (superseeded by optuna) * fix(HPO): optimize for sharpe * fix(Config): removed glassnode data, save trials from hpo * feat(Labelling): added three-balanced method works again * fix(BetSizing): set the correct class labels * fix(HPO): powerset should return what's expected, added two new normalization methods * fix(Linter): ran * fix(DataLoader): sort the dataframe when fetching data * fix(Config): only take z-score of other assets
108 lines
2.9 KiB
Python
108 lines
2.9 KiB
Python
import numpy as np
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import pandas as pd
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from training.walk_forward import walk_forward_train, walk_forward_inference
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from models.base import Model
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from utils.evaluate import evaluate_predictions
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from sklearn.base import BaseEstimator, ClassifierMixin
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from labeling.labellers.utils import discretize_binary
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no_of_rows = 100
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def __generate_even_odd_test_data(no_of_rows) -> tuple[pd.DataFrame, pd.Series]:
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"""Test data, where X[n][any_column] == 1 if n is even, else 0"""
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no_columns = 6
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X = [[-1 if row % 2 == 0 else 1] * no_columns for row in range(no_of_rows)]
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assert X[0][0] == -1
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assert X[1][0] == 1
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assert X[2][0] == -1
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assert X[3][0] == 1
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X = pd.DataFrame(X)
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y = [-1 if (row + 1) % 2 == 0 else 1 for row in range(no_of_rows)]
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assert y[0] == 1
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assert y[1] == -1
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assert y[2] == 1
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assert y[3] == -1
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y = pd.Series(y)
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return X, y
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class EvenOddStubModel(BaseEstimator, ClassifierMixin, Model):
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"""
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A deteministic model that can predict the future with 100% accuracy
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It verifies that the X[n][any_column] == 1 if n is even,
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"""
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data_transformation = "original"
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only_column = None
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predict_window_size = "single_timestamp"
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def __init__(self, window_length) -> None:
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super().__init__()
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self.window_length = window_length
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def fit(self, X, y):
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assert len(X) == self.window_length
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for i in range(len(X)):
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assert y[i] == -1 if X[i][0] == 1 else 1
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def predict(self, X):
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return np.array([-1 if row[0] == 1 else 1 for row in X])
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def predict_proba(self, X):
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return np.array([[row[0] + 1, 0] for row in X])
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def test_evaluation():
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X, y = __generate_even_odd_test_data(no_of_rows)
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window_length = 10
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retrain_every = 10
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model = EvenOddStubModel(window_length=window_length)
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model_over_time = walk_forward_train(
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model=model,
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X=X,
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y=y,
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forward_returns=y,
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expanding_window=False,
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window_size=window_length,
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retrain_every=retrain_every,
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from_index=None,
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transformations_over_time=[],
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)
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predictions, _ = walk_forward_inference(
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model_name="test",
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model_over_time=model_over_time,
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transformations_over_time=[],
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X=X,
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expanding_window=False,
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window_size=window_length,
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retrain_every=retrain_every,
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class_labels=[0, 1],
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from_index=None,
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)
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# verify if predictions are the same as y
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for i in range(window_length + 2, no_of_rows):
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assert predictions[i] == y[i]
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fake_forward_returns = y * 0.1
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processed_predictions_to_match_returns = predictions * 0.1
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result = evaluate_predictions(
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forward_returns=fake_forward_returns,
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y_pred=processed_predictions_to_match_returns,
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y_true=y,
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discretize_func=discretize_binary,
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labels=[1, -1],
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transaction_costs=0.002,
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)
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assert result["accuracy"] == 100.0
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