R/postscriptum_intraday.R
In MislavSag/alphar:
library(mlr3)
library(data.table)
library(AzureStor)
# SET UP ------------------------------------------------------------------
# globals
MLR3SAVEPATH = "F:/mlr3output/intraday"
blob_key = "0M4WRlV0/1b6b3ZpFKJvevg4xbC/gaNBcdtVZW+zOZcRi0ZLfOm1v/j2FZ4v+o8lycJLu1wVE6HT+ASt0DdAPQ=="
endpoint = "https://snpmarketdata.blob.core.windows.net/"
BLOBENDPOINT = storage_endpoint(endpoint, key=blob_key)
# utils
id_cols = c("symbol", "date", "yearmonthid", "..row_id")
# set files with benchmarks
results_files = file.info(list.files(MLR3SAVEPATH, full.names = TRUE))
bmr_files = rownames(results_files)
# if duplicated lst first, vice versa
if (any(duplicated(gsub("-\\d+\\.rds", "", bmr_files)))) {
results_files$path_fold = gsub("-\\d+\\.rds", "", rownames(results_files))
results_files = results_files[order(results_files$path_fold, results_files$ctime), ]
bmr_files = results_files[(!duplicated(results_files[, c("path_fold")], fromLast = TRUE)), ]
bmr_files = rownames(bmr_files)
}
# arrange files
bmr_files_rank = rank(as.integer(gsub(".*/|-\\d+\\.rds", "", bmr_files)))
bmr_files = bmr_files[bmr_files_rank]
# extract needed information from banchmark objects
predictions_l = list()
for (i in 1:length(bmr_files)) {
# debug
# i = 1
print(i)
# get bmr object
bmr = readRDS(bmr_files[i])
bmr_dt = as.data.table(bmr)
# get backends
task_names = unlist(lapply(bmr_dt$task, function(x) x$id))
learner_names = unlist(lapply(bmr_dt$learner, function(x) gsub(".*removeconstants_3.regr.|.tuned", "", x$id)))
backs = lapply(bmr_dt$task, function(task) {
x = task$backend$data(cols = c(id_cols, "eps_diff", "nincr", "nincr_2y", "nincr_3y"),
rows = 1:bmr_dt$task[[1]]$nrow)
})
backs = lapply(seq_along(backs), function(i) cbind(task = task_names[[i]],
learner = learner_names[[i]],
backs[[i]]))
lapply(backs, setnames, "..row_id", "row_ids")
# get predictions
predictions = lapply(bmr_dt$prediction, function(x) as.data.table(x))
names(predictions)[1] = "ranger"
names(predictions)[2] = "xgboost"
predictions = rbindlist(predictions, id = "learner")
# add meta
predictions = cbind(cv = stringr::str_extract(gsub(".*/", "", bmr_files[i]), "\\d+"),
predictions)
# predictions
predictions_l[[i]] = predictions
}
# hit ratio
# predictions_dt = rbindlist(lapply(bmrs, function(x) x$predictions), idcol = "fold")
predictions_dt = rbindlist(predictions_l)
predictions_dt = predictions_dt[truth == 0, truth := -.0000001]
predictions_dt[, `:=`(
truth_sign = as.factor(sign(truth)),
response_sign = as.factor(sign(response))
)]
setorderv(predictions_dt, c("cv", "learner"))
predictions_dt[, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.0000001, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response < -0.0000001, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.0001, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response < -0.0001, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.0005, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response < -0.0005, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.0007, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response < -0.0007, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.001, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.0001]
predictions_dt[response < -0.0005]
# hit ratio with positive surprise
predictions_dt[, mlr3measures::acc(truth_sign, response_sign), by = .(cv, task_name, eps_diff > 0)]
predictions_dt[response > 0.1, mlr3measures::acc(truth_sign, response_sign), by = .(cv, task_name, eps_diff > 0)]
predictions_dt[response > 0.5, mlr3measures::acc(truth_sign, response_sign), by = .(cv, task_name, eps_diff > 0)]
predictions_dt[response > 1, mlr3measures::acc(truth_sign, response_sign), by = .(cv, task_name, eps_diff > 0)]
# hit ratio with positive surprise nincr
predictions_dt[, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 1)]
predictions_dt[response > 0.1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 1)]
predictions_dt[response > 0.3, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 1)]
predictions_dt[response > 0.5, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 1)]
predictions_dt[response > 1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 1)]
# hit ratio with positive surprise nincr_2y
predictions_dt[, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_2y) < 2)]
predictions_dt[response > 0.1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_2y) < 2)]
predictions_dt[response > 0.3, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_2y) < 2)]
predictions_dt[response > 0.5, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_2y) > 1)]
predictions_dt[response > 1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_2y) > 1)]
# hit ratio with positive surprise nincr_2y
predictions_dt[, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) > 2)]
predictions_dt[response > 0.1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) > 2)]
predictions_dt[response > 0.3, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) > 2)]
predictions_dt[response > 0.5, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) > 2)]
predictions_dt[response > 1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 2)]
# hit ratio with positive surprise nincr
predictions_dt[as.integer(nincr_3y) > 2 & eps_diff == TRUE]
table(predictions_dt$eps_diff > 0)
predictions_dt[, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) > 12 & eps_diff == TRUE)]
predictions_dt[response > 0.1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) < 4 & eps_diff == TRUE)]
predictions_dt[response > 0.3, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) < 4 & eps_diff == TRUE)]
predictions_dt[response > 0.5, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) < 4 & eps_diff == TRUE)]
predictions_dt[response > 1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) < 4 & eps_diff == TRUE)]
# hit ratio for ensamble
predictions_dt_ensemble = predictions_dt[, .(mean_response = mean(response),
median_response = median(response),
truth = mean(truth)),
by = c("task_name", "symbol", "date")]
predictions_dt_ensemble[, `:=`(
truth_sign = as.factor(sign(truth)),
response_sign_median = as.factor(sign(median_response)),
response_sign_mean = as.factor(sign(mean_response))
)]
predictions_dt_ensemble[, mlr3measures::acc(truth_sign, response_sign_median), by = c("task_name")]
predictions_dt_ensemble[, mlr3measures::acc(truth_sign, response_sign_mean), by = c("task_name")]
predictions_dt_ensemble[median_response > 0.1, mlr3measures::acc(truth_sign, response_sign_median), by = c("task_name")]
predictions_dt_ensemble[mean_response > 0.1, mlr3measures::acc(truth_sign, response_sign_mean), by = c("task_name")]
predictions_dt_ensemble[median_response > 0.5, mlr3measures::acc(truth_sign, response_sign_median), by = c("task_name")]
predictions_dt_ensemble[mean_response > 0.5, mlr3measures::acc(truth_sign, response_sign_mean), by = c("task_name")]
predictions_dt_ensemble[median_response > 1, mlr3measures::acc(truth_sign, response_sign_median), by = c("task_name")]
predictions_dt_ensemble[mean_response > 1, mlr3measures::acc(truth_sign, response_sign_mean), by = c("task_name")]
# save to azure for QC backtest
cont = storage_container(BLOBENDPOINT, "qc-backtest")
lapply(unique(predictions_dt$task_name), function(x) {
# prepare data
y = predictions_dt[task_name == x]
y = y[, .(symbol, date, response, eps_diff)]
y = y[, .(
symbol = paste0(symbol, collapse = "|"),
response = paste0(response, collapse = "|"),
epsdiff = paste0(eps_diff, collapse = "|")
), by = date]
y[, date := as.character(date)]
# save to azure blob
print(y)
file_name_ = paste0("pead-", x, "-v5.csv")
storage_write_csv(y, cont, file_name_)
# universe = y[, .(date, symbol)]
# storage_write_csv(universe, cont, "pead_task_ret_week_universe.csv", col_names = FALSE)
})
# OLD ---------------------------------------------------------------------
# # linex measure
# source("Linex.R")
# mlr_measures$add("linex", Linex)
#
# # setup
# blob_key = "0M4WRlV0/1b6b3ZpFKJvevg4xbC/gaNBcdtVZW+zOZcRi0ZLfOm1v/j2FZ4v+o8lycJLu1wVE6HT+ASt0DdAPQ=="
# endpoint = "https://snpmarketdata.blob.core.windows.net/"
# BLOBENDPOINT = storage_endpoint(endpoint, key=blob_key)
# mlr3_save_path = "D:/mlfin/cvresults-pead"
#
# # read predictors
# DT <- fread("D:/features/pead-predictors.csv")
#
# # create group variable
# DT[, monthid := paste0(data.table::year(as.Date(date, origin = "1970-01-01")),
# data.table::month(as.Date(date, origin = "1970-01-01")))]
# DT[, monthid := as.integer(monthid)]
# setorder(DT, monthid)
#
# # define predictors
# cols_non_features <- c("symbol", "date", "time", "right_time",
# "bmo_return", "amc_return",
# "open", "high", "low", "close", "volume", "returns",
# "monthid"
# )
# targets <- c(colnames(DT)[grep("ret_excess", colnames(DT))])
# cols_features <- setdiff(colnames(DT), c(cols_non_features, targets))
#
# # convert columns to numeric. This is important only if we import existing features
# chr_to_num_cols <- setdiff(colnames(DT[, .SD, .SDcols = is.character]), c("symbol", "time", "right_time"))
# print(chr_to_num_cols)
# DT <- DT[, (chr_to_num_cols) := lapply(.SD, as.numeric), .SDcols = chr_to_num_cols]
#
# # remove constant columns in set and remove same columns in test set
# features_ <- DT[, ..cols_features]
# remove_cols <- colnames(features_)[apply(features_, 2, var, na.rm=TRUE) == 0]
# print(paste0("Removing feature with 0 standard deviation: ", remove_cols))
# cols_features <- setdiff(cols_features, remove_cols)
#
# # convert variables with low number of unique values to factors
# int_numbers = DT[, ..cols_features][, lapply(.SD, function(x) all(as.integer(x)==x) & x > 0.99)]
# int_cols = na.omit(colnames(DT[, ..cols_features])[as.matrix(int_numbers)[1,]])
# factor_cols = DT[, ..int_cols][, lapply(.SD, function(x) length(unique(x)))]
# factor_cols = as.matrix(factor_cols)[1, ]
# factor_cols = factor_cols[factor_cols <= 100]
# DT = DT[, (names(factor_cols)) := lapply(.SD, as.factor), .SD = names(factor_cols)]
#
# # remove observations with missing target
# DT = na.omit(DT, cols = setdiff(targets, colnames(DT)[grep("extreme", colnames(DT))]))
#
# # sort
# setorder(DT, date)
#
# # add rowid column
# DT[, row_ids := 1:.N]
#
# ### REGRESSION
# # task with future week returns as target
# target_ = colnames(DT)[grep("^ret_excess_stand_5", colnames(DT))]
# cols_ = c(target_, "symbol", "monthid", cols_features)
# task_ret_week <- as_task_regr(DT[, ..cols_],
# id = "task_ret_week",
# target = target_)
#
# # outer custom rolling window resampling
# outer_split <- function(task, train_length = 36, test_length = 2, test_length_out = 1) {
# customo = rsmp("custom")
# task_ <- task$clone()
# groups = cbind(id = 1:task_$nrow, task_$data(cols = "monthid"))
# groups_v = groups[, unique(monthid)]
# rm(task_)
# insample_length = train_length + test_length
# train_groups_out <- lapply(1:(length(groups_v)-train_length-test_length), function(x) groups_v[x:(x+insample_length)])
# test_groups_out <- lapply(1:(length(groups_v)-train_length-test_length),
# function(x) groups_v[(x+insample_length):(x+insample_length+test_length_out-1)])
# train_sets_out <- lapply(train_groups_out, function(mid) groups[monthid %in% mid, id])
# test_sets_out <- lapply(test_groups_out, function(mid) groups[monthid %in% mid, id])
# customo$instantiate(task, train_sets_out, test_sets_out)
# }
# customo = outer_split(task_ret_week)
#
# # download objects from azure
# cont = storage_container(BLOBENDPOINT, "peadcv")
# azure_files = unlist(list_storage_files(cont)["name"], use.names = FALSE)
# for (azf in azure_files) {
# # azf = azure_files[1]
# if (azf %in% list.files(mlr3_save_path)) {
# print(azf)
# next
# }
# storage_download(cont,
# src = azf,
# dest = file.path(mlr3_save_path, azf))
# }
#
# # get predictions function
# res_files = file.info(list.files(mlr3_save_path, full.names = TRUE))
# res_files = res_files[order(res_files$ctime), ]
# bmr_files = rownames(res_files[2:nrow(res_files),])
# get_predictions_by_task = function(bmr_file, DT) {
# # bmr_file = bmr_files[39]
# print(bmr_file)
# bmr = readRDS(bmr_file)
# bmr_dt = as.data.table(bmr)
# task_names = lapply(bmr_dt$task, function(x) x$id)
# # task_names = lapply(bmr_dt$task, function(x) x$id)
# predictions = lapply(bmr_dt$prediction, function(x) as.data.table(x))
# names(predictions) <- task_names
# predictions <- lapply(predictions, function(x) {
# x = DT[, .(row_ids, symbol, date)][x, on = "row_ids"]
# x[, date := as.Date(date, origin = "1970-01-01")]
# })
# return(predictions)
# }
# predictions = lapply(bmr_files, get_predictions_by_task, DT = DT)
#
# # choose task
# task_name = "task_ret_week"
# predictions_task = lapply(predictions, function(x) {
# x[[task_name]]
# })
# predictions_task <- rbindlist(predictions_task)
#
# # save to azure for QC backtest
# predictions_qc <- predictions_task[, .(symbol, date, response)]
# predictions_qc = predictions_qc[, .(symbol = paste0(symbol, collapse = "|"),
# response = paste0(response, collapse = "|")), by = date]
# predictions_qc[, date := as.character(date)]
# cont = storage_container(BLOBENDPOINT, "qc-backtest")
# storage_write_csv(predictions_qc, cont, "pead_task_ret_week.csv")
# universe = predictions_qc[, .(date, symbol)]
# storage_write_csv(universe, cont, "pead_task_ret_week_universe.csv", col_names = FALSE)
#
# # performance by varioues measures
# bmr_$aggregate(msrs(c("regr.mse", "linex", "regr.mae")))
# predicitons = as.data.table(as.data.table(bmr_)[, "prediction"][1][[1]][[1]])
#
# # prrformance by hit ratio
# predicitons[, `:=`(
# truth_sign = as.factor(sign(truth)),
# response_sign = as.factor(sign(response))
# )]
# mlr3measures::acc(predicitons$truth_sign, predicitons$response_sign)
#
# # hiy ratio for high predicted returns
# predicitons_sample = predicitons[response > 0.1]
# mlr3measures::acc(predicitons_sample$truth_sign, predicitons_sample$response_sign)
#
# # cumulative returns for same sample
# predicitons_sample[, .(
# benchmark = mean(predicitons$truth),
# strategy = mean(truth)
# )]
#
# # important predictors
# bmr_ = bmrs[[18]]
# lapply(1:2, function(i) {
# resample_res = as.data.table(bmr_$resample_result(i))
# resample_res$learner[[1]]$state$model$learner$state$model$gausscov_f1st$features
# })
#
# # performance for every learner
# resample_res$learner[[1]]$state$model$learner$state$model$ranger.ranger$model$predictions
# as.data.table(bmr_)
# ADD PIPELINES -----------------------------------------------------------
# # source pipes, filters and other
# source("mlr3_winsorization.R")
# source("mlr3_uniformization.R")
# source("mlr3_gausscov_f1st.R")
# source("mlr3_dropna.R")
# source("mlr3_dropnacol.R")
# source("mlr3_filter_drop_corr.R")
# source("mlr3_winsorizationsimple.R")
# source("PipeOpPCAExplained.R")
# # measures
# source("Linex.R")
# source("PortfolioRet.R")
#
# # add my pipes to mlr dictionary
# mlr_pipeops$add("uniformization", PipeOpUniform)
# mlr_pipeops$add("winsorize", PipeOpWinsorize)
# mlr_pipeops$add("winsorizesimple", PipeOpWinsorizeSimple)
# mlr_pipeops$add("dropna", PipeOpDropNA)
# mlr_pipeops$add("dropnacol", PipeOpDropNACol)
# mlr_pipeops$add("dropcorr", PipeOpDropCorr)
# mlr_pipeops$add("pca_explained", PipeOpPCAExplained)
# mlr_filters$add("gausscov_f1st", FilterGausscovF1st)
# mlr_measures$add("linex", Linex)
# mlr_measures$add("portfolio_ret", PortfolioRet)
MislavSag/alphar documentation built on Nov. 13, 2024, 5:28 a.m.
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library(mlr3)
library(data.table)
library(AzureStor)
# SET UP ------------------------------------------------------------------
# globals
MLR3SAVEPATH = "F:/mlr3output/intraday"
blob_key = "0M4WRlV0/1b6b3ZpFKJvevg4xbC/gaNBcdtVZW+zOZcRi0ZLfOm1v/j2FZ4v+o8lycJLu1wVE6HT+ASt0DdAPQ=="
endpoint = "https://snpmarketdata.blob.core.windows.net/"
BLOBENDPOINT = storage_endpoint(endpoint, key=blob_key)
# utils
id_cols = c("symbol", "date", "yearmonthid", "..row_id")
# set files with benchmarks
results_files = file.info(list.files(MLR3SAVEPATH, full.names = TRUE))
bmr_files = rownames(results_files)
# if duplicated lst first, vice versa
if (any(duplicated(gsub("-\\d+\\.rds", "", bmr_files)))) {
results_files$path_fold = gsub("-\\d+\\.rds", "", rownames(results_files))
results_files = results_files[order(results_files$path_fold, results_files$ctime), ]
bmr_files = results_files[(!duplicated(results_files[, c("path_fold")], fromLast = TRUE)), ]
bmr_files = rownames(bmr_files)
}
# arrange files
bmr_files_rank = rank(as.integer(gsub(".*/|-\\d+\\.rds", "", bmr_files)))
bmr_files = bmr_files[bmr_files_rank]
# extract needed information from banchmark objects
predictions_l = list()
for (i in 1:length(bmr_files)) {
# debug
# i = 1
print(i)
# get bmr object
bmr = readRDS(bmr_files[i])
bmr_dt = as.data.table(bmr)
# get backends
task_names = unlist(lapply(bmr_dt$task, function(x) x$id))
learner_names = unlist(lapply(bmr_dt$learner, function(x) gsub(".*removeconstants_3.regr.|.tuned", "", x$id)))
backs = lapply(bmr_dt$task, function(task) {
x = task$backend$data(cols = c(id_cols, "eps_diff", "nincr", "nincr_2y", "nincr_3y"),
rows = 1:bmr_dt$task[[1]]$nrow)
})
backs = lapply(seq_along(backs), function(i) cbind(task = task_names[[i]],
learner = learner_names[[i]],
backs[[i]]))
lapply(backs, setnames, "..row_id", "row_ids")
# get predictions
predictions = lapply(bmr_dt$prediction, function(x) as.data.table(x))
names(predictions)[1] = "ranger"
names(predictions)[2] = "xgboost"
predictions = rbindlist(predictions, id = "learner")
# add meta
predictions = cbind(cv = stringr::str_extract(gsub(".*/", "", bmr_files[i]), "\\d+"),
predictions)
# predictions
predictions_l[[i]] = predictions
}
# hit ratio
# predictions_dt = rbindlist(lapply(bmrs, function(x) x$predictions), idcol = "fold")
predictions_dt = rbindlist(predictions_l)
predictions_dt = predictions_dt[truth == 0, truth := -.0000001]
predictions_dt[, `:=`(
truth_sign = as.factor(sign(truth)),
response_sign = as.factor(sign(response))
)]
setorderv(predictions_dt, c("cv", "learner"))
predictions_dt[, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.0000001, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response < -0.0000001, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.0001, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response < -0.0001, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.0005, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response < -0.0005, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.0007, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response < -0.0007, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.001, mlr3measures::acc(truth_sign, response_sign), by = c("cv", "learner")]
predictions_dt[response > 0.0001]
predictions_dt[response < -0.0005]
# hit ratio with positive surprise
predictions_dt[, mlr3measures::acc(truth_sign, response_sign), by = .(cv, task_name, eps_diff > 0)]
predictions_dt[response > 0.1, mlr3measures::acc(truth_sign, response_sign), by = .(cv, task_name, eps_diff > 0)]
predictions_dt[response > 0.5, mlr3measures::acc(truth_sign, response_sign), by = .(cv, task_name, eps_diff > 0)]
predictions_dt[response > 1, mlr3measures::acc(truth_sign, response_sign), by = .(cv, task_name, eps_diff > 0)]
# hit ratio with positive surprise nincr
predictions_dt[, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 1)]
predictions_dt[response > 0.1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 1)]
predictions_dt[response > 0.3, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 1)]
predictions_dt[response > 0.5, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 1)]
predictions_dt[response > 1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 1)]
# hit ratio with positive surprise nincr_2y
predictions_dt[, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_2y) < 2)]
predictions_dt[response > 0.1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_2y) < 2)]
predictions_dt[response > 0.3, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_2y) < 2)]
predictions_dt[response > 0.5, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_2y) > 1)]
predictions_dt[response > 1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_2y) > 1)]
# hit ratio with positive surprise nincr_2y
predictions_dt[, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) > 2)]
predictions_dt[response > 0.1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) > 2)]
predictions_dt[response > 0.3, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) > 2)]
predictions_dt[response > 0.5, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) > 2)]
predictions_dt[response > 1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr) > 2)]
# hit ratio with positive surprise nincr
predictions_dt[as.integer(nincr_3y) > 2 & eps_diff == TRUE]
table(predictions_dt$eps_diff > 0)
predictions_dt[, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) > 12 & eps_diff == TRUE)]
predictions_dt[response > 0.1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) < 4 & eps_diff == TRUE)]
predictions_dt[response > 0.3, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) < 4 & eps_diff == TRUE)]
predictions_dt[response > 0.5, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) < 4 & eps_diff == TRUE)]
predictions_dt[response > 1, mlr3measures::acc(truth_sign, response_sign),
by = .(task_name, as.integer(nincr_3y) < 4 & eps_diff == TRUE)]
# hit ratio for ensamble
predictions_dt_ensemble = predictions_dt[, .(mean_response = mean(response),
median_response = median(response),
truth = mean(truth)),
by = c("task_name", "symbol", "date")]
predictions_dt_ensemble[, `:=`(
truth_sign = as.factor(sign(truth)),
response_sign_median = as.factor(sign(median_response)),
response_sign_mean = as.factor(sign(mean_response))
)]
predictions_dt_ensemble[, mlr3measures::acc(truth_sign, response_sign_median), by = c("task_name")]
predictions_dt_ensemble[, mlr3measures::acc(truth_sign, response_sign_mean), by = c("task_name")]
predictions_dt_ensemble[median_response > 0.1, mlr3measures::acc(truth_sign, response_sign_median), by = c("task_name")]
predictions_dt_ensemble[mean_response > 0.1, mlr3measures::acc(truth_sign, response_sign_mean), by = c("task_name")]
predictions_dt_ensemble[median_response > 0.5, mlr3measures::acc(truth_sign, response_sign_median), by = c("task_name")]
predictions_dt_ensemble[mean_response > 0.5, mlr3measures::acc(truth_sign, response_sign_mean), by = c("task_name")]
predictions_dt_ensemble[median_response > 1, mlr3measures::acc(truth_sign, response_sign_median), by = c("task_name")]
predictions_dt_ensemble[mean_response > 1, mlr3measures::acc(truth_sign, response_sign_mean), by = c("task_name")]
# save to azure for QC backtest
cont = storage_container(BLOBENDPOINT, "qc-backtest")
lapply(unique(predictions_dt$task_name), function(x) {
# prepare data
y = predictions_dt[task_name == x]
y = y[, .(symbol, date, response, eps_diff)]
y = y[, .(
symbol = paste0(symbol, collapse = "|"),
response = paste0(response, collapse = "|"),
epsdiff = paste0(eps_diff, collapse = "|")
), by = date]
y[, date := as.character(date)]
# save to azure blob
print(y)
file_name_ = paste0("pead-", x, "-v5.csv")
storage_write_csv(y, cont, file_name_)
# universe = y[, .(date, symbol)]
# storage_write_csv(universe, cont, "pead_task_ret_week_universe.csv", col_names = FALSE)
})
# OLD ---------------------------------------------------------------------
# # linex measure
# source("Linex.R")
# mlr_measures$add("linex", Linex)
#
# # setup
# blob_key = "0M4WRlV0/1b6b3ZpFKJvevg4xbC/gaNBcdtVZW+zOZcRi0ZLfOm1v/j2FZ4v+o8lycJLu1wVE6HT+ASt0DdAPQ=="
# endpoint = "https://snpmarketdata.blob.core.windows.net/"
# BLOBENDPOINT = storage_endpoint(endpoint, key=blob_key)
# mlr3_save_path = "D:/mlfin/cvresults-pead"
#
# # read predictors
# DT <- fread("D:/features/pead-predictors.csv")
#
# # create group variable
# DT[, monthid := paste0(data.table::year(as.Date(date, origin = "1970-01-01")),
# data.table::month(as.Date(date, origin = "1970-01-01")))]
# DT[, monthid := as.integer(monthid)]
# setorder(DT, monthid)
#
# # define predictors
# cols_non_features <- c("symbol", "date", "time", "right_time",
# "bmo_return", "amc_return",
# "open", "high", "low", "close", "volume", "returns",
# "monthid"
# )
# targets <- c(colnames(DT)[grep("ret_excess", colnames(DT))])
# cols_features <- setdiff(colnames(DT), c(cols_non_features, targets))
#
# # convert columns to numeric. This is important only if we import existing features
# chr_to_num_cols <- setdiff(colnames(DT[, .SD, .SDcols = is.character]), c("symbol", "time", "right_time"))
# print(chr_to_num_cols)
# DT <- DT[, (chr_to_num_cols) := lapply(.SD, as.numeric), .SDcols = chr_to_num_cols]
#
# # remove constant columns in set and remove same columns in test set
# features_ <- DT[, ..cols_features]
# remove_cols <- colnames(features_)[apply(features_, 2, var, na.rm=TRUE) == 0]
# print(paste0("Removing feature with 0 standard deviation: ", remove_cols))
# cols_features <- setdiff(cols_features, remove_cols)
#
# # convert variables with low number of unique values to factors
# int_numbers = DT[, ..cols_features][, lapply(.SD, function(x) all(as.integer(x)==x) & x > 0.99)]
# int_cols = na.omit(colnames(DT[, ..cols_features])[as.matrix(int_numbers)[1,]])
# factor_cols = DT[, ..int_cols][, lapply(.SD, function(x) length(unique(x)))]
# factor_cols = as.matrix(factor_cols)[1, ]
# factor_cols = factor_cols[factor_cols <= 100]
# DT = DT[, (names(factor_cols)) := lapply(.SD, as.factor), .SD = names(factor_cols)]
#
# # remove observations with missing target
# DT = na.omit(DT, cols = setdiff(targets, colnames(DT)[grep("extreme", colnames(DT))]))
#
# # sort
# setorder(DT, date)
#
# # add rowid column
# DT[, row_ids := 1:.N]
#
# ### REGRESSION
# # task with future week returns as target
# target_ = colnames(DT)[grep("^ret_excess_stand_5", colnames(DT))]
# cols_ = c(target_, "symbol", "monthid", cols_features)
# task_ret_week <- as_task_regr(DT[, ..cols_],
# id = "task_ret_week",
# target = target_)
#
# # outer custom rolling window resampling
# outer_split <- function(task, train_length = 36, test_length = 2, test_length_out = 1) {
# customo = rsmp("custom")
# task_ <- task$clone()
# groups = cbind(id = 1:task_$nrow, task_$data(cols = "monthid"))
# groups_v = groups[, unique(monthid)]
# rm(task_)
# insample_length = train_length + test_length
# train_groups_out <- lapply(1:(length(groups_v)-train_length-test_length), function(x) groups_v[x:(x+insample_length)])
# test_groups_out <- lapply(1:(length(groups_v)-train_length-test_length),
# function(x) groups_v[(x+insample_length):(x+insample_length+test_length_out-1)])
# train_sets_out <- lapply(train_groups_out, function(mid) groups[monthid %in% mid, id])
# test_sets_out <- lapply(test_groups_out, function(mid) groups[monthid %in% mid, id])
# customo$instantiate(task, train_sets_out, test_sets_out)
# }
# customo = outer_split(task_ret_week)
#
# # download objects from azure
# cont = storage_container(BLOBENDPOINT, "peadcv")
# azure_files = unlist(list_storage_files(cont)["name"], use.names = FALSE)
# for (azf in azure_files) {
# # azf = azure_files[1]
# if (azf %in% list.files(mlr3_save_path)) {
# print(azf)
# next
# }
# storage_download(cont,
# src = azf,
# dest = file.path(mlr3_save_path, azf))
# }
#
# # get predictions function
# res_files = file.info(list.files(mlr3_save_path, full.names = TRUE))
# res_files = res_files[order(res_files$ctime), ]
# bmr_files = rownames(res_files[2:nrow(res_files),])
# get_predictions_by_task = function(bmr_file, DT) {
# # bmr_file = bmr_files[39]
# print(bmr_file)
# bmr = readRDS(bmr_file)
# bmr_dt = as.data.table(bmr)
# task_names = lapply(bmr_dt$task, function(x) x$id)
# # task_names = lapply(bmr_dt$task, function(x) x$id)
# predictions = lapply(bmr_dt$prediction, function(x) as.data.table(x))
# names(predictions) <- task_names
# predictions <- lapply(predictions, function(x) {
# x = DT[, .(row_ids, symbol, date)][x, on = "row_ids"]
# x[, date := as.Date(date, origin = "1970-01-01")]
# })
# return(predictions)
# }
# predictions = lapply(bmr_files, get_predictions_by_task, DT = DT)
#
# # choose task
# task_name = "task_ret_week"
# predictions_task = lapply(predictions, function(x) {
# x[[task_name]]
# })
# predictions_task <- rbindlist(predictions_task)
#
# # save to azure for QC backtest
# predictions_qc <- predictions_task[, .(symbol, date, response)]
# predictions_qc = predictions_qc[, .(symbol = paste0(symbol, collapse = "|"),
# response = paste0(response, collapse = "|")), by = date]
# predictions_qc[, date := as.character(date)]
# cont = storage_container(BLOBENDPOINT, "qc-backtest")
# storage_write_csv(predictions_qc, cont, "pead_task_ret_week.csv")
# universe = predictions_qc[, .(date, symbol)]
# storage_write_csv(universe, cont, "pead_task_ret_week_universe.csv", col_names = FALSE)
#
# # performance by varioues measures
# bmr_$aggregate(msrs(c("regr.mse", "linex", "regr.mae")))
# predicitons = as.data.table(as.data.table(bmr_)[, "prediction"][1][[1]][[1]])
#
# # prrformance by hit ratio
# predicitons[, `:=`(
# truth_sign = as.factor(sign(truth)),
# response_sign = as.factor(sign(response))
# )]
# mlr3measures::acc(predicitons$truth_sign, predicitons$response_sign)
#
# # hiy ratio for high predicted returns
# predicitons_sample = predicitons[response > 0.1]
# mlr3measures::acc(predicitons_sample$truth_sign, predicitons_sample$response_sign)
#
# # cumulative returns for same sample
# predicitons_sample[, .(
# benchmark = mean(predicitons$truth),
# strategy = mean(truth)
# )]
#
# # important predictors
# bmr_ = bmrs[[18]]
# lapply(1:2, function(i) {
# resample_res = as.data.table(bmr_$resample_result(i))
# resample_res$learner[[1]]$state$model$learner$state$model$gausscov_f1st$features
# })
#
# # performance for every learner
# resample_res$learner[[1]]$state$model$learner$state$model$ranger.ranger$model$predictions
# as.data.table(bmr_)
# ADD PIPELINES -----------------------------------------------------------
# # source pipes, filters and other
# source("mlr3_winsorization.R")
# source("mlr3_uniformization.R")
# source("mlr3_gausscov_f1st.R")
# source("mlr3_dropna.R")
# source("mlr3_dropnacol.R")
# source("mlr3_filter_drop_corr.R")
# source("mlr3_winsorizationsimple.R")
# source("PipeOpPCAExplained.R")
# # measures
# source("Linex.R")
# source("PortfolioRet.R")
#
# # add my pipes to mlr dictionary
# mlr_pipeops$add("uniformization", PipeOpUniform)
# mlr_pipeops$add("winsorize", PipeOpWinsorize)
# mlr_pipeops$add("winsorizesimple", PipeOpWinsorizeSimple)
# mlr_pipeops$add("dropna", PipeOpDropNA)
# mlr_pipeops$add("dropnacol", PipeOpDropNACol)
# mlr_pipeops$add("dropcorr", PipeOpDropCorr)
# mlr_pipeops$add("pca_explained", PipeOpPCAExplained)
# mlr_filters$add("gausscov_f1st", FilterGausscovF1st)
# mlr_measures$add("linex", Linex)
# mlr_measures$add("portfolio_ret", PortfolioRet)
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