start experiment 58 (exp/58-signal-quality-gate-5-year-walk-forward)

book/scripts/precompute_signal_quality_gate.py

@@ -0,0 +1,48 @@
+#!/usr/bin/env python3
+"""Precompute the signal-quality gate series and save to pickle.
+
+Usage:
+    python precompute_signal_quality_gate.py <pred_path> <output_path> [topk] [lookback] [threshold]
+
+Example:
+    python precompute_signal_quality_gate.py \
+        /home/data/lake/mlruns/49/34165f27e4a34378ad54843a079a78c0/artifacts/pred.pkl \
+        /app/experiments/book/data/signal_quality_gate/sq_gate_5d_0.50.pkl \
+        10 5 0.5
+"""
+import sys
+import pickle
+from pathlib import Path
+
+# Add tac-qlib to path
+sys.path.insert(0, "/app/tac-qlib")
+
+from tac_qlib.contrib.strategy.signal_quality_gate import compute_signal_quality_gate
+
+if __name__ == "__main__":
+    if len(sys.argv) < 3:
+        print(__doc__)
+        sys.exit(1)
+
+    pred_path = sys.argv[1]
+    output_path = sys.argv[2]
+    topk = int(sys.argv[3]) if len(sys.argv) > 3 else 10
+    lookback = int(sys.argv[4]) if len(sys.argv) > 4 else 5
+    threshold = float(sys.argv[5]) if len(sys.argv) > 5 else 0.5
+
+    lake_root = "/home/data/lake"
+
+    print(f"Computing signal-quality gate: topk={topk}, lookback={lookback}, threshold={threshold}")
+    gate = compute_signal_quality_gate(
+        pred_path,
+        lake_root=lake_root,
+        topk=topk,
+        lookback=lookback,
+        threshold=threshold,
+    )
+
+    print(f"Gate: {gate.sum()}/{len(gate)} days open ({gate.mean():.1%})")
+
+    with open(output_path, "wb") as f:
+        pickle.dump(gate, f)
+    print(f"Saved to {output_path}")