Milestone 1: Upgrade oeq-core v0.2.0, eliminate bare imports, add fixtures and oeq-core pipelines
0288be9 verified | """Write tables, a figure and a short markdown summary for one run.""" | |
| from __future__ import annotations | |
| import json | |
| import sys | |
| from datetime import datetime, timezone | |
| from pathlib import Path | |
| PROJECT_ROOT = Path(__file__).resolve().parents[2] | |
| MONOREPO_CORE = PROJECT_ROOT.parent / "packages" / "oeq-core" / "src" | |
| if MONOREPO_CORE.exists() and str(MONOREPO_CORE) not in sys.path: | |
| sys.path.insert(0, str(MONOREPO_CORE)) | |
| try: | |
| from oeq_core import ClaimBoundary, EvidenceGrade, build_run_manifest, validate_claim_boundary | |
| except ImportError: # pragma: no cover | |
| ClaimBoundary = None | |
| EvidenceGrade = None | |
| build_run_manifest = None | |
| validate_claim_boundary = None | |
| import matplotlib | |
| matplotlib.use("Agg") | |
| import matplotlib.pyplot as plt # noqa: E402 | |
| import numpy as np # noqa: E402 | |
| import pandas as pd # noqa: E402 | |
| def _md_table(df: pd.DataFrame, floatfmt: str = "{:.3f}") -> str: | |
| cols = list(df.columns) | |
| lines = ["| " + " | ".join(cols) + " |", "| " + " | ".join("---" for _ in cols) + " |"] | |
| for _, r in df.iterrows(): | |
| cells = [floatfmt.format(v) if isinstance(v, (float, np.floating)) else str(v) for v in r] | |
| lines.append("| " + " | ".join(cells) + " |") | |
| return "\n".join(lines) | |
| def cumulative_plot(monthly: pd.DataFrame, strategies: list[str], path: Path, title: str) -> None: | |
| fig, ax = plt.subplots(figsize=(7.5, 4)) | |
| for s in strategies: | |
| g = monthly[monthly["strategy"] == s].sort_values("target_month") | |
| if g.empty: | |
| continue | |
| x = g["target_month"].dt.to_timestamp() | |
| ax.plot(x, np.cumsum(g["net"].to_numpy()), label=s, linewidth=1.4) | |
| ax.axhline(0, color="0.6", linewidth=0.8) | |
| ax.set_ylabel("Cumulative net return (sum of monthly)") | |
| ax.set_title(title, fontsize=10) | |
| ax.legend(fontsize=8, frameon=False) | |
| ax.spines[["top", "right"]].set_visible(False) | |
| fig.tight_layout() | |
| fig.savefig(path, dpi=150) | |
| plt.close(fig) | |
| def write_report( | |
| out: Path, | |
| provenance: str, | |
| coverage: pd.DataFrame, | |
| r2: pd.DataFrame, | |
| r2_country: pd.DataFrame, | |
| port: pd.DataFrame, | |
| monthly: pd.DataFrame, | |
| settings: dict, | |
| ) -> None: | |
| out.mkdir(parents=True, exist_ok=True) | |
| coverage.to_csv(out / "coverage.csv", index=False) | |
| r2.to_csv(out / "r2_oos.csv", index=False) | |
| r2_country.to_csv(out / "r2_oos_by_country.csv", index=False) | |
| port.to_csv(out / "portfolios.csv", index=False) | |
| monthly.to_csv(out / "portfolio_monthly.csv", index=False) | |
| best = port[port["strategy"] != "static_ew"].head(3)["strategy"].tolist() | |
| prefix = "SYNTHETIC DATA (validation only): " if provenance == "SYNTHETIC" else "" | |
| cumulative_plot(monthly, ["static_ew"] + best, out / "cumulative_net.png", | |
| f"{prefix}{settings['test_region']} factor timing, net of {settings['cost_bps']:.0f} bp per unit turnover") | |
| stamp = { | |
| "provenance": provenance, | |
| "created_utc": datetime.now(timezone.utc).isoformat(timespec="seconds"), | |
| **settings, | |
| } | |
| if ClaimBoundary is not None and EvidenceGrade is not None and validate_claim_boundary is not None: | |
| boundary = ClaimBoundary( | |
| project_slug="em-factor-timing", | |
| grade=EvidenceGrade.BACKTEST_ASSOCIATION, | |
| allows_causal_language=False, | |
| allows_live_profitability_claim=False, | |
| ) | |
| violations = validate_claim_boundary(boundary) | |
| if violations: | |
| raise ValueError(f"Claim boundary violation: {violations}") | |
| oeq_manifest = build_run_manifest( | |
| project_slug="em-factor-timing", | |
| root=out, | |
| files=[ | |
| out / "coverage.csv", | |
| out / "r2_oos.csv", | |
| out / "r2_oos_by_country.csv", | |
| out / "portfolios.csv", | |
| out / "portfolio_monthly.csv", | |
| ], | |
| evidence_grade=boundary.grade.value, | |
| ) | |
| stamp["claim_boundary_grade"] = boundary.grade.value | |
| stamp["artifact_checksums"] = oeq_manifest["artifacts"] | |
| (out / "run_manifest.json").write_text(json.dumps(stamp, indent=2, default=str)) | |
| banner = ( | |
| "> **SYNTHETIC DATA — software validation, not a finding.**\n" | |
| if provenance == "SYNTHETIC" | |
| else "> **Real data (JKP global factor returns).** Results are out-of-sample forecasts; see caveats.\n" | |
| ) | |
| md = [ | |
| "# Emerging-market factor timing — run summary", | |
| "", | |
| banner, | |
| f"Test region: {settings['test_region']} · out-of-sample from {settings['oos_start']} · " | |
| f"cost {settings['cost_bps']} bp per unit of timing turnover", | |
| "", | |
| "## Out-of-sample R² against each factor's historical mean", | |
| "", | |
| "Positive = beats the historical mean. `cw_t` is the Clark–West statistic (monthly, Newey–West).", | |
| "", | |
| _md_table(r2), | |
| "", | |
| "## Timing portfolios (equal-weighted across countries)", | |
| "", | |
| _md_table(port), | |
| "", | |
| "", | |
| "", | |
| "## Coverage", | |
| "", | |
| f"{coverage['country'].nunique()} countries, {int(coverage['factors'].max())} factors at most per country.", | |
| "", | |
| ] | |
| (out / "summary.md").write_text("\n".join(md)) | |