mirror of
https://github.com/webclinic017/drift.git
synced 2026-07-28 19:27:47 +00:00
Mark Aron Szulyovszky
9d47ee942d
* feat(Project): use 5 minute data, running training in parallel, sped up cusum filter by 10x with numba * fix(WalkForward): inference mini-batch parallelization * fix(WalkForward): don't use the parallel version of any of the functions * feat(CI): download the data required * fix(Project): 5min_crypto folder added * fix(Evaluate): make sure we have numerical stability in returns * feat(Models): use SKLearn models directly to enable composability * feat(Inference): batched inference now working, added forecasting_horizon * fix(Inference): works again * fix(Inference) * chore(Models): remove unused Ensemble model * fix(Labeller): don't just forward shift returns, also take the sum of the data happened until then * Update test.yml
108 lines
2.8 KiB
Python
108 lines
2.8 KiB
Python
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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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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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'''
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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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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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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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no_of_classes='two',
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discretize=True
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)
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assert result['accuracy'] == 100.0
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