"""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), "", "![cumulative](cumulative_net.png)", "", "## Coverage", "", f"{coverage['country'].nunique()} countries, {int(coverage['factors'].max())} factors at most per country.", "", ] (out / "summary.md").write_text("\n".join(md))