start experiment 59 (exp/59-signal-quality-gate-walk-forward-test-wi)
This commit is contained in:
zhaoli
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@@ -1,5 +1,5 @@
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# TradeAC custom-qlib-code snapshot (auto-generated)
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# parent repo HEAD : fd5382caa4c4e96417a16d5a22006d9a7d625d00
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# parent repo HEAD : e952feed0a66a20439f4f24ad5524233429cd0c3
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# tac-qlib/tac_qlib/contrib
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# tac-qlib/tac_qlib/data
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# per-file hashes (git hash-object):
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@@ -20,12 +20,12 @@
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cd3133cfbd2556b25c106e39ae97fb128df0e326 tac-qlib/tac_qlib/contrib/strategy/__pycache__/ic_gate.cpython-312.pyc
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6dd1c568a2961842793674390d5abffd1a0e71b8 tac-qlib/tac_qlib/contrib/strategy/__pycache__/optimal_stop.cpython-312.pyc
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03b5e4d80da00800f1b108bee0735d3d18d856d1 tac-qlib/tac_qlib/contrib/strategy/__pycache__/regime_gate.cpython-312.pyc
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ebcbd48b5de9bf6da84af4d6916c97d03bb6acfa tac-qlib/tac_qlib/contrib/strategy/__pycache__/signal_quality_gate.cpython-312.pyc
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a6a1c21ab71b62080830df45c4784b73c1531036 tac-qlib/tac_qlib/contrib/strategy/__pycache__/signal_quality_gate.cpython-312.pyc
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755e3b139496a5e22b0328db45c8199c33029fbc tac-qlib/tac_qlib/contrib/strategy/__pycache__/weekly_rebalance.cpython-312.pyc
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519a1f4c05dbe0ac018ab8b779eb33d53b4dd545 tac-qlib/tac_qlib/contrib/strategy/ic_gate.py
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79aaad9e39fcc740a773f4f63c512ce1086cfde0 tac-qlib/tac_qlib/contrib/strategy/optimal_stop.py
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7bcee5f0b09cfa721440f1354f16f2dd9a112b12 tac-qlib/tac_qlib/contrib/strategy/regime_gate.py
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0101bc87b67c6b10debe0eb9c7e5fa910e919b41 tac-qlib/tac_qlib/contrib/strategy/signal_quality_gate.py
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16ab80b731aab6d8bb818525615d77c2d1fcb0c8 tac-qlib/tac_qlib/contrib/strategy/signal_quality_gate.py
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fe60bacdfedd48617863be31f24b7c7daebfac5a tac-qlib/tac_qlib/contrib/strategy/weekly_rebalance.py
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92e6e90eb0cd0a25142034560f27adb6b705b1a8 tac-qlib/tac_qlib/data/__init__.py
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316bf4aa160cc8d15929ea648be03f4b4999667d tac-qlib/tac_qlib/data/__pycache__/__init__.cpython-312.pyc
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BIN
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@@ -28,26 +28,118 @@ __all__ = ["SignalQualityGateStrategy", "compute_signal_quality_gate"]
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class SignalQualityGateStrategy(TopkDropoutStrategy):
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"""TopkDropout with signal-quality gate overlay.
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When ``lake_root`` is provided the gate is computed on-the-fly from the
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signal (``<PRED>``) and close prices — no precomputed gate file needed.
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This ensures the gate matches the model that is actually generating the
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predictions (critical when the model is retrained each year).
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Parameters
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----------
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topk, n_drop, method_sell, method_buy, hold_thresh, only_tradable,
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forbid_all_trade_at_limit : same as ``TopkDropoutStrategy``.
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signal_quality_gate : pd.Series — precomputed per-date gate (bool indexed
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by datetime). True = trade allowed, False = no orders. Missing dates
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default to open (trade allowed).
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signal_quality_gate : pd.Series — precomputed per-date gate (bool).
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signal_quality_gate_path : str — path to pickled gate Series.
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lake_root : str — lake root for on-the-fly gate computation (preferred).
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gate_topk, gate_lookback, gate_threshold : int/float — gate params.
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gate_start, gate_end : str — date window for loading close prices.
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"""
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def __init__(self, *, signal_quality_gate=None, signal_quality_gate_path=None, **kwargs):
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def __init__(self, *, signal_quality_gate=None, signal_quality_gate_path=None,
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lake_root=None, gate_topk=10, gate_lookback=5, gate_threshold=0.5,
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gate_start="2015-01-03", gate_end="2026-08-19", **kwargs):
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super().__init__(**kwargs)
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self._sq_gate_computed = False
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if signal_quality_gate is not None:
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self._sq_gate = signal_quality_gate
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self._sq_gate_computed = True
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elif signal_quality_gate_path is not None:
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import pickle
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with open(signal_quality_gate_path, "rb") as f:
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self._sq_gate = pickle.load(f)
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self._sq_gate_computed = True
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elif lake_root is not None:
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self._sq_gate = None
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self._lake_root = lake_root
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self._gate_topk = gate_topk
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self._gate_lookback = gate_lookback
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self._gate_threshold = gate_threshold
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self._gate_start = gate_start
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self._gate_end = gate_end
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else:
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self._sq_gate = None
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def _compute_gate_on_fly(self):
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"""Compute gate from the signal (pred.pkl) and lake close prices."""
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import pickle
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from pathlib import Path
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signal_path = self._signal
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if not Path(signal_path).exists():
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return
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with open(signal_path, "rb") as f:
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pred = pickle.load(f)
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# Handle MultiIndex DataFrame -> unstack to wide
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if isinstance(pred, pd.DataFrame) and isinstance(pred.index, pd.MultiIndex):
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pred = pred.iloc[:, 0]
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pred.index = pd.MultiIndex.from_arrays([
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pd.to_datetime(pred.index.get_level_values(0)).normalize(),
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pred.index.get_level_values(1)
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])
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pred = pred.unstack(level=1)
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elif isinstance(pred, pd.DataFrame):
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pred = pred.iloc[:, 0] if pred.shape[1] >= 1 else pred.squeeze()
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pred.index = pd.to_datetime(pred.index).normalize()
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# Load close prices from lake
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close_df = _load_close_prices(self._lake_root, "US", self._gate_start, self._gate_end)
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if close_df.empty:
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return
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ret_df = close_df.pct_change()
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ret_df.index = pd.to_datetime(ret_df.index).normalize()
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pred_dates = sorted(pred.index.unique())
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if len(pred_dates) < 2:
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self._sq_gate = pd.Series(True, index=pd.DatetimeIndex(pred_dates))
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self._sq_gate_computed = True
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return
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hit_rates = {}
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for i in range(1, len(pred_dates)):
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day = pred_dates[i]
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prev_day = pred_dates[i - 1]
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try:
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prev_scores = pred.loc[prev_day]
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except KeyError:
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continue
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if isinstance(prev_scores, pd.DataFrame):
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prev_scores = prev_scores.iloc[:, 0]
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prev_scores = prev_scores.dropna().sort_values(ascending=False)
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topk_syms = list(prev_scores.index[:self._gate_topk])
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if day not in ret_df.index:
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continue
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today_ret = ret_df.loc[day]
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topk_rets = today_ret.reindex(topk_syms).dropna()
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if len(topk_rets) == 0:
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continue
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hit_rates[day] = (topk_rets > 0).sum() / len(topk_rets)
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if not hit_rates:
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self._sq_gate_computed = True
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return
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hr_series = pd.Series(hit_rates).sort_index()
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rolling_hr = hr_series.rolling(self._gate_lookback, min_periods=1).mean()
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gate = rolling_hr >= self._gate_threshold
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gate.iloc[:self._gate_lookback] = True
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self._sq_gate = gate
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self._sq_gate_computed = True
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def _gate_open(self, trade_start_time) -> bool:
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if self._sq_gate is None:
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return True
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@@ -58,6 +150,8 @@ class SignalQualityGateStrategy(TopkDropoutStrategy):
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return True # default open if no history yet
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def generate_trade_decision(self, execute_result=None):
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if not self._sq_gate_computed:
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self._compute_gate_on_fly()
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trade_step = self.trade_calendar.get_trade_step()
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trade_start_time, _ = self.trade_calendar.get_step_time(trade_step)
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if not self._gate_open(trade_start_time):
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