diff --git "a/troubleshoot_day_model.ipynb" "b/troubleshoot_day_model.ipynb" --- "a/troubleshoot_day_model.ipynb" +++ "b/troubleshoot_day_model.ipynb" @@ -2,45 +2,39 @@ "cells": [ { "cell_type": "code", - "execution_count": 1, + "execution_count": 61, "metadata": {}, "outputs": [], "source": [ "import pandas as pd\n", "import numpy as np\n", - "from model_day import get_data, walk_forward_validation_seq" + "from model_intra import get_data, walk_forward_validation_seq" ] }, { "cell_type": "code", - "execution_count": 2, + "execution_count": 62, "metadata": {}, "outputs": [ { "name": "stderr", "output_type": "stream", "text": [ - "getting econ tickers: 100%|██████████| 3/3 [00:00<00:00, 6.56it/s]\n", - "Getting release dates: 100%|██████████| 8/8 [00:01<00:00, 5.08it/s]\n", - "Making indicators: 100%|██████████| 8/8 [00:00<00:00, 2664.11it/s]\n", - "Merging econ data: 100%|██████████| 8/8 [00:00<00:00, 1010.95it/s]\n" + "getting econ tickers: 100%|██████████| 3/3 [00:00<00:00, 6.07it/s]\n", + "Getting release dates: 100%|██████████| 8/8 [00:01<00:00, 4.53it/s]\n", + "Making indicators: 100%|██████████| 8/8 [00:00<00:00, 3997.43it/s]\n", + "Found cached dataset text (C:/Users/WINSTON-ITX/.cache/huggingface/datasets/boomsss___text/boomsss--spx_intra-e0e5e7af8fd43022/0.0.0/cb1e9bd71a82ad27976be3b12b407850fe2837d80c22c5e03a28949843a8ace2)\n", + "Merging econ data: 100%|██████████| 8/8 [00:00<00:00, 999.12it/s]\n" ] } ], "source": [ - "data, df_final, final_row = get_data()" + "data, df_final, final_row = get_data(2)" ] }, { "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": 4, + "execution_count": 63, "metadata": {}, "outputs": [], "source": [ @@ -52,21 +46,23 @@ }, { "cell_type": "code", - "execution_count": 5, + "execution_count": 64, "metadata": {}, "outputs": [ { "name": "stderr", "output_type": "stream", "text": [ - "LR Model: 100%|██████████| 1195/1195 [00:03<00:00, 347.11it/s]\n", - "d:\\Projects\\gamedayspx\\model_day.py:88: SettingWithCopyWarning: \n", + "LR Model: 100%|██████████| 1126/1126 [00:03<00:00, 332.50it/s]\n", + "d:\\Projects\\gamedayspx\\model_intra.py:97: SettingWithCopyWarning:\n", + "\n", + "\n", "A value is trying to be set on a copy of a slice from a DataFrame.\n", "Try using .loc[row_indexer,col_indexer] = value instead\n", "\n", "See the caveats in the documentation: https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#returning-a-view-versus-a-copy\n", - " for_merge['RegrModelOut'] = for_merge['RegrModelOut'] > 0\n", - "CLF Model: 100%|██████████| 1095/1095 [00:08<00:00, 129.89it/s]\n" + "\n", + "CLF Model: 100%|██████████| 1026/1026 [00:07<00:00, 141.65it/s]\n" ] } ], @@ -76,7 +72,7 @@ }, { "cell_type": "code", - "execution_count": 6, + "execution_count": 65, "metadata": {}, "outputs": [], "source": [ @@ -105,6 +101,7 @@ "hi_thres = 0.6 # res1.loc[middle_quantiles, 'Predicted'].max()\n", "\n", "roc_auc_score_all = roc_auc_score(res1['True'].astype(int), res1['Predicted'].values)\n", + "roc_auc_score_calib = roc_auc_score(res1.dropna(subset='CalibGreenProba')['True'].astype(int), res1.dropna(subset='CalibGreenProba')['CalibGreenProba'].values)\n", "precision_score_all = precision_score(res1['True'].astype(int), res1['Predicted'] > 0.5)\n", "recall_score_all = recall_score(res1['True'].astype(int), res1['Predicted'] > 0.5)\n", "len_all = len(res1)\n", @@ -112,6 +109,7 @@ "res2_filtered = res1.loc[(res1['Predicted'] > hi_thres) | (res1['Predicted'] <= lo_thres)]\n", "\n", "roc_auc_score_hi = roc_auc_score(res2_filtered['True'].astype(int), res2_filtered['Predicted'].values)\n", + "roc_auc_score_hi_calib = roc_auc_score(res2_filtered.dropna(subset='CalibGreenProba')['True'].astype(int), res2_filtered.dropna(subset='CalibGreenProba')['CalibGreenProba'].values)\n", "precision_score_hi = precision_score(res2_filtered['True'].astype(int), res2_filtered['Predicted'] > 0.5)\n", "recall_score_hi = recall_score(res2_filtered['True'].astype(int), res2_filtered['Predicted'] > 0.5)\n", "len_hi = len(res2_filtered)\n", @@ -120,6 +118,7 @@ " index=[\n", " 'N',\n", " 'ROC AUC',\n", + " 'Calib. AUC',\n", " 'Precision',\n", " 'Recall'\n", " ],\n", @@ -130,6 +129,7 @@ " data = [\n", " [len_all, len_hi],\n", " [roc_auc_score_all, roc_auc_score_hi],\n", + " [roc_auc_score_calib, roc_auc_score_hi_calib],\n", " [precision_score_all, precision_score_hi],\n", " [recall_score_all, recall_score_hi]\n", " ]\n", @@ -167,7 +167,7 @@ }, { "cell_type": "code", - "execution_count": 7, + "execution_count": 66, "metadata": {}, "outputs": [ { @@ -193,188 +193,244 @@ " \n", " True\n", " Predicted\n", + " CalibPredicted\n", + " CalibGreenProba\n", " Accuracy\n", " HTML\n", " \n", - " \n", - " index\n", - " \n", - " \n", - " \n", - " \n", - " \n", " \n", " \n", " \n", - " 2023-09-08\n", - " True\n", - " 0.757584\n", - " ✅\n", - " &#9989;\n", - " \n", - " \n", " 2023-09-11\n", " False\n", - " 0.300308\n", + " 0.207403\n", + " 0.2350\n", + " 0.120567\n", " ✅\n", " &#9989;\n", " \n", " \n", " 2023-09-12\n", " True\n", - " 0.542126\n", + " 0.568866\n", + " 0.6140\n", + " 0.556391\n", " 🟨\n", " &#11036;\n", " \n", " \n", " 2023-09-13\n", " True\n", - 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+ "zerolinewidth": 2 + } + } + }, + "title": { + "text": "OHLC Chart with Predictions (Right/Wrong)" + }, + "xaxis": { + "range": [ + "2023-07-28T00:00:00", + "2023-10-06T00:00:00" + ], + "rangebreaks": [ + { + "bounds": [ + "sat", + "mon" + ] + } + ], + "rangeslider": { + "visible": false + }, + "title": { + "text": "Date" + } + }, + "yaxis": { + "range": [ + 4166.4501953125, + 4594.22021484375 + ], + "title": { + "text": "Price" + } + } + } + } + }, + "metadata": {}, + "output_type": "display_data" + } + ], "source": [ "import pandas as pd\n", "import plotly.graph_objs as go\n", @@ -550,11 +9729,28 @@ "fig.show()\n" ] }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [] + }, { "cell_type": "code", - "execution_count": null, + "execution_count": 70, "metadata": {}, - "outputs": [], + "outputs": [ + { + "ename": "NameError", + "evalue": "name 'XXX' is not defined", + "output_type": "error", + "traceback": [ + "\u001b[1;31m---------------------------------------------------------------------------\u001b[0m", + "\u001b[1;31mNameError\u001b[0m Traceback (most recent call last)", + "\u001b[1;32md:\\Projects\\gamedayspx\\troubleshoot_day_model.ipynb Cell 11\u001b[0m line \u001b[0;36m\u001b[1;34m()\u001b[0m\n\u001b[1;32m----> 1\u001b[0m XXX\n", + "\u001b[1;31mNameError\u001b[0m: name 'XXX' is not defined" + ] + } + ], "source": [ "XXX" ]