ch11: signal-quality gate REFUTED — walk-forward workflow shows gate harmful (exp 61-67, EVIDENCE#053)
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zhaoli
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"""Diagnose the script-vs-workflow gap properly.
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Three strategies compared:
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A. Script logic: weekly rebalance, equal-weight, hold through week
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B. Weekly rebalance (qlib engine behavior): same as script but with risk_degree
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C. Daily re-rank: re-select top-k every day (wrong model)
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Root cause was (C) — we were modeling daily re-ranking which neither
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the script nor the qlib engine actually does.
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"""
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from __future__ import annotations
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import json, pathlib
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import numpy as np
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import pandas as pd
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LAKE_ROOT = "/home/data/lake"
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OUT = pathlib.Path("/app/experiments/book/data/diag_script_vs_wf")
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WINDOWS = [
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{"label": "2026", "start": "2026-01-04", "end": "2026-08-19",
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"pred": f"{LAKE_ROOT}/mlruns/62/3771f96eb1b74365aeae966af7aec5a3/artifacts/pred.pkl"},
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{"label": "2025", "start": "2025-01-02", "end": "2025-12-31",
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"pred": f"{LAKE_ROOT}/mlruns/62/c57c6a8370cc48619d7cdd2bd109b76a/artifacts/pred.pkl"},
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{"label": "2024", "start": "2024-01-02", "end": "2024-12-31",
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"pred": f"{LAKE_ROOT}/mlruns/62/97cf5f282e6f4e699443e38d9bfb40fd/artifacts/pred.pkl"},
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{"label": "2023", "start": "2023-01-03", "end": "2023-12-29",
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"pred": f"{LAKE_ROOT}/mlruns/62/11b9b65ea4e14b3f8ce50d244da0412e/artifacts/pred.pkl"},
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{"label": "2021", "start": "2021-01-04", "end": "2021-12-31",
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"pred": f"{LAKE_ROOT}/mlruns/62/af3034e5910348a382f2ad1e1741f17c/artifacts/pred.pkl"},
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]
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SYMS = [
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"SPY","QQQ","DIA","IWM","MDY","VTI","VOO","VEA","VWO","VT","EFA","EEM",
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"TLT","IEF","SHY","AGG","BND","LQD","HYG","JNK","EMB","GLD","SLV",
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"USO","UNG","DBA","DBC","XLK","XLF","XLE","XLV","XLI","XLY","XLP",
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"XLU","XLB","XLRE","ARKK","SMH","SOXX","IBB","XBI","ITA","XAR",
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"ICLN","TAN","FDN","IGV","ESPO","REM",
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]
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def load_pred(path):
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df = pd.read_pickle(path)
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s = df["score"] if isinstance(df, pd.DataFrame) and "score" in df.columns else df.iloc[:, 0] if isinstance(df, pd.DataFrame) else df
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idx = s.index
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new_dt = pd.to_datetime(idx.get_level_values(0)).normalize()
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s.index = pd.MultiIndex.from_arrays([new_dt, idx.get_level_values(1)], names=idx.names)
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return s
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def load_closes(start, end):
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from tac_qlib.data.config import LakeConfig, resolve_lake_root
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cfg = LakeConfig(resolve_lake_root(LAKE_ROOT), "US")
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closes = {}
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for sym in SYMS:
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p = cfg.bar_path("1d", sym)
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if not p.exists(): continue
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try:
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df = pd.read_parquet(p)
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except: continue
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if not len(df): continue
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tcol = df["t"] if "t" in df.columns else df["date"]
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ts = pd.to_datetime(tcol)
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df = df.assign(_t=ts).set_index("_t").sort_index()
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warmup = pd.Timestamp(start) - pd.Timedelta(days=60)
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df = df.loc[warmup:end]
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if len(df) >= 22:
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closes[sym] = df["c"]
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return pd.DataFrame(closes)
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def strategy_weekly(pred, closes, start, end, topk=10, risk_degree=1.0, cost_bps=0):
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"""Weekly rebalance: re-rank on first day of each ISO week, hold rest of week."""
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ret_df = closes.pct_change(fill_method=None)
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ret_df.index = pd.to_datetime(ret_df.index).normalize()
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dt_idx = pred.index.get_level_values(0)
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trade_dates = sorted(dt_idx[(dt_idx >= start) & (dt_idx <= end)].unique())
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equity = 1_000_000.0
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holdings = []
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prev_week = None
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daily_eq = []
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for d in trade_dates:
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try:
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day_scores = pred.loc[d]
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except KeyError:
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daily_eq.append(equity)
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continue
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if isinstance(day_scores, pd.DataFrame):
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day_scores = day_scores.iloc[:, 0]
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day_scores = day_scores.dropna().sort_values(ascending=False)
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cur_week = (d.isocalendar()[0], d.isocalendar()[1])
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if cur_week != prev_week:
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# Rebalance: compute cost of turnover
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new_holdings = list(day_scores.index[:topk])
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if holdings and cost_bps > 0:
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sold = set(holdings) - set(new_holdings)
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bought = set(new_holdings) - set(holdings)
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turnover = (len(sold) + len(bought)) / (2 * max(len(holdings), 1))
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equity *= (1 - turnover * cost_bps / 10000)
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holdings = new_holdings
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ret_row = ret_df.loc[d] if d in ret_df.index else None
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if ret_row is not None and holdings:
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wts = np.array([risk_degree / len(holdings)] * len(holdings))
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rets = ret_row.reindex(holdings).fillna(0).values
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equity *= (1 + (wts * rets).sum())
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daily_eq.append(equity)
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prev_week = cur_week
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return pd.Series(daily_eq, index=trade_dates)
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def strategy_daily(pred, closes, start, end, topk=10, risk_degree=1.0, cost_bps=0):
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"""Daily re-rank: re-select top-k every day (wrong model — what we incorrectly tested)."""
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ret_df = closes.pct_change(fill_method=None)
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ret_df.index = pd.to_datetime(ret_df.index).normalize()
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dt_idx = pred.index.get_level_values(0)
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trade_dates = sorted(dt_idx[(dt_idx >= start) & (dt_idx <= end)].unique())
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equity = 1_000_000.0
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holdings = []
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daily_eq = []
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for d in trade_dates:
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try:
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day_scores = pred.loc[d]
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except KeyError:
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daily_eq.append(equity)
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continue
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if isinstance(day_scores, pd.DataFrame):
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day_scores = day_scores.iloc[:, 0]
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day_scores = day_scores.dropna().sort_values(ascending=False)
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new_holdings = list(day_scores.index[:topk])
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if holdings and cost_bps > 0:
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sold = set(holdings) - set(new_holdings)
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bought = set(new_holdings) - set(holdings)
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turnover = (len(sold) + len(bought)) / (2 * max(len(holdings), 1))
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equity *= (1 - turnover * cost_bps / 10000)
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holdings = new_holdings
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ret_row = ret_df.loc[d] if d in ret_df.index else None
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if ret_row is not None and holdings:
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wts = np.array([risk_degree / len(holdings)] * len(holdings))
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rets = ret_row.reindex(holdings).fillna(0).values
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equity *= (1 + (wts * rets).sum())
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daily_eq.append(equity)
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return pd.Series(daily_eq, index=trade_dates)
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def metrics(eq):
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if len(eq) < 2:
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return {"ann_ret": 0, "sharpe": 0, "maxDD": 0}
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rets = eq.pct_change().dropna()
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ann_ret = float((eq.iloc[-1] / eq.iloc[0]) ** (252 / max(len(eq), 1)) - 1)
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vol = float(rets.std() * (252 ** 0.5)) if len(rets) > 1 else 0
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sharpe = ann_ret / vol if vol > 0 else 0
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peak = eq.cummax()
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dd = (eq - peak) / peak
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return {"ann_ret": round(ann_ret, 4), "sharpe": round(sharpe, 4), "maxDD": round(float(dd.min()), 4)}
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def main():
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OUT.mkdir(parents=True, exist_ok=True)
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results = []
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for w in WINDOWS:
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print(f"\n=== {w['label']} ({w['start']} to {w['end']}) ===")
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pred = load_pred(w["pred"])
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closes = load_closes(w["start"], w["end"])
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print(f" pred: {pred.index.get_level_values(0).min().date()} to {pred.index.get_level_values(0).max().date()}, "
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f"{pred.index.get_level_values(1).nunique()} syms")
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print(f" close: {closes.index.min().date()} to {closes.index.max().date()}, {closes.shape[1]} syms")
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row = {"year": w["label"]}
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# A. Script: weekly, rd=1.0, zero cost
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eq = strategy_weekly(pred, closes, w["start"], w["end"], topk=10, risk_degree=1.0, cost_bps=0)
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m = metrics(eq); row["weekly_100_zc"] = m
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print(f" Script weekly 100% zc: ann={m['ann_ret']:+.1%} sharpe={m['sharpe']:.2f}")
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# B. Script: weekly, rd=0.95, zero cost
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eq = strategy_weekly(pred, closes, w["start"], w["end"], topk=10, risk_degree=0.95, cost_bps=0)
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m = metrics(eq); row["weekly_95_zc"] = m
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print(f" Script weekly 95% zc: ann={m['ann_ret']:+.1%} sharpe={m['sharpe']:.2f}")
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# C. Weekly, rd=0.95, with 5/15bp cost
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eq = strategy_weekly(pred, closes, w["start"], w["end"], topk=10, risk_degree=0.95, cost_bps=10)
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m = metrics(eq); row["weekly_95_10bp"] = m
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print(f" Weekly 95% 10bp cost: ann={m['ann_ret']:+.1%} sharpe={m['sharpe']:.2f}")
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# D. Daily re-rank, rd=1.0, zero cost (WRONG MODEL — for reference only)
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eq = strategy_daily(pred, closes, w["start"], w["end"], topk=10, risk_degree=1.0, cost_bps=0)
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m = metrics(eq); row["daily_100_zc"] = m
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print(f" Daily 100% zc (WRONG): ann={m['ann_ret']:+.1%} sharpe={m['sharpe']:.2f}")
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# E. Daily re-rank, rd=1.0, 10bp cost
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eq = strategy_daily(pred, closes, w["start"], w["end"], topk=10, risk_degree=1.0, cost_bps=10)
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m = metrics(eq); row["daily_100_10bp"] = m
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print(f" Daily 100% 10bp (WRONG):ann={m['ann_ret']:+.1%} sharpe={m['sharpe']:.2f}")
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results.append(row)
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with open(OUT / "diagnosis_v2.json", "w") as f:
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json.dump(results, f, indent=2, default=str)
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print(f"\nSaved to {OUT / 'diagnosis_v2.json'}")
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if __name__ == "__main__":
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main()
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