File size: 13,562 Bytes
d9ab40d
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
"""Evaluate saved TFT checkpoints on one immutable validation/test snapshot.

This is a diagnostic tool: checkpoint ranking is computed from validation
metrics only.  Test metrics are printed separately to measure whether the
validation rule transfers; they never participate in the ranking.
"""

from __future__ import annotations

import argparse
import copy
import json
from dataclasses import replace
from pathlib import Path

import numpy as np
import pandas as pd
import torch

from app.quality_gate import evaluate_quality_gate_metrics
from deep_learning.config import get_tft_config
from deep_learning.data.dataset import build_datasets, create_dataloaders
from deep_learning.models.tft_copper import load_tft_model
from deep_learning.training.direction_model import (
    apply_weekly_direction_model,
    predict_weekly_direction,
)
from deep_learning.training.metrics import (
    apply_weekly_sign_correction_np,
    cumulative_horizon,
    directional_accuracy,
    fit_direction_sign_calibration,
    fit_weekly_interval_scale,
)
from deep_learning.training.trainer import (
    WEEKLY_INTERVAL_CONDITIONING_FEATURE,
    _build_uniform_checkpoint_soup,
    _compute_test_metrics_from_quantiles,
    _validate_quantile_prediction_shape,
    _weekly_interval_conditioning_values,
)


def _actual_path(dataloader) -> np.ndarray:
    parts = [
        batch[1][0] if isinstance(batch[1], (list, tuple)) else batch[1]
        for batch in dataloader
    ]
    return torch.cat(parts).cpu().numpy()


def _predict_quantiles(model, dataloader, cfg) -> np.ndarray:
    prediction = model.predict(
        dataloader,
        mode="quantiles",
        trainer_kwargs={"logger": False, "enable_checkpointing": False},
    )
    prediction_np = prediction.cpu().numpy()
    _validate_quantile_prediction_shape(prediction_np, cfg)
    return prediction_np


def _prepare_candidate(
    *,
    prediction: np.ndarray,
    actual: np.ndarray,
    weekly_direction_model: dict,
    direction_probability: np.ndarray,
    conditioning_values: np.ndarray | None,
    cfg,
) -> tuple[np.ndarray, dict, dict, dict, dict]:
    direction_calibration = fit_direction_sign_calibration(
        actual,
        prediction,
        horizon=cfg.forecast.primary_horizon_days,
    )
    oriented = prediction * int(
        direction_calibration.get("direction_sign_multiplier", 1)
    )
    oriented = apply_weekly_sign_correction_np(
        oriented,
        float(direction_calibration.get("weekly_sign_threshold", 0.0)),
        horizon=cfg.forecast.primary_horizon_days,
    )

    selected_direction_model = copy.deepcopy(weekly_direction_model)
    selected_direction_model["enabled"] = False
    selected_direction_model["reason"] = "validation_selection_rejected"
    if selected_direction_model.get("coef") and len(direction_probability) == len(
        oriented
    ):
        candidate = apply_weekly_direction_model(
            oriented,
            direction_probability,
            threshold=float(
                selected_direction_model.get("decision_threshold", 0.50)
            ),
            horizon=cfg.forecast.primary_horizon_days,
        )
        actual_weekly = cumulative_horizon(
            actual,
            horizon=cfg.forecast.primary_horizon_days,
        )
        median_idx = len(cfg.model.quantiles) // 2
        base_da = directional_accuracy(
            actual_weekly,
            cumulative_horizon(
                oriented[:, :, median_idx],
                horizon=cfg.forecast.primary_horizon_days,
            ),
        )
        candidate_da = directional_accuracy(
            actual_weekly,
            cumulative_horizon(
                candidate[:, :, median_idx],
                horizon=cfg.forecast.primary_horizon_days,
            ),
        )
        candidate_rate = float(np.mean(direction_probability >= 0.50))
        selected_direction_model.update(
            {
                "validation_base_weekly_da": float(base_da),
                "validation_weekly_da": float(candidate_da),
                "validation_pred_positive_rate": candidate_rate,
            }
        )
        if (
            candidate_da >= 0.51
            and candidate_da >= base_da + 0.01
            and 0.25 <= candidate_rate <= 0.75
        ):
            selected_direction_model["enabled"] = True
            selected_direction_model["reason"] = "validation_improved"
            oriented = candidate

    interval_calibration = fit_weekly_interval_scale(
        actual,
        oriented,
        quantiles=tuple(cfg.model.quantiles),
        horizon=cfg.forecast.primary_horizon_days,
        weekly_median_cap=cfg.weekly_loss.weekly_median_cap,
        conditioning_values=conditioning_values,
        conditioning_feature=(
            WEEKLY_INTERVAL_CONDITIONING_FEATURE
            if conditioning_values is not None
            else None
        ),
    )
    metrics = _compute_test_metrics_from_quantiles(
        actual,
        oriented,
        cfg,
        weekly_interval_scale=float(
            interval_calibration.get("weekly_interval_scale", 1.0)
        ),
        weekly_interval_calibration=interval_calibration,
        weekly_interval_conditioning_values=conditioning_values,
    )
    return (
        oriented,
        metrics,
        direction_calibration,
        interval_calibration,
        selected_direction_model,
    )


def _validation_rank(metrics: dict, checkpoint_loss: float) -> tuple:
    """Rank without test labels: fewer contract misses, then safer margins."""
    _passed, reasons = evaluate_quality_gate_metrics(metrics)

    # Proper interval score and bounded scale are continuous tie-breakers.
    return (
        len(reasons),
        float(metrics["weekly_pi80_interval_score"]),
        float(metrics["weekly_mae_vs_naive_zero"]),
        -float(metrics["weekly_sharpe_ratio"]),
        float(checkpoint_loss),
    )


def main() -> None:
    parser = argparse.ArgumentParser()
    parser.add_argument("artifact_dir", type=Path)
    parser.add_argument("--output", type=Path, help="Write JSON results to this path")
    parser.add_argument("--include-soups", action="store_true")
    parser.add_argument("--candidate", help="Evaluate only one checkpoint filename")
    parser.add_argument(
        "--weekly-median-cap-factor",
        type=float,
        default=1.0,
        help="Diagnostic multiplier applied to the recorded weekly median cap",
    )
    args = parser.parse_args()

    artifact_dir = args.artifact_dir.resolve()
    snapshot_path = artifact_dir / "feature_snapshot.pkl"
    snapshot_meta = json.loads(
        snapshot_path.with_suffix(".pkl.json").read_text(encoding="utf-8")
    )
    run_meta = json.loads(
        (artifact_dir / "tft_metadata.json").read_text(encoding="utf-8")
    )

    frame = pd.read_pickle(snapshot_path)
    cfg = get_tft_config()
    effective_weekly_cap = (
        float(run_meta["config"]["weekly_median_cap"])
        * args.weekly_median_cap_factor
    )
    if effective_weekly_cap <= 0.0:
        raise ValueError("The effective weekly median cap must be positive")
    cfg = replace(
        cfg,
        weekly_loss=replace(
            cfg.weekly_loss,
            weekly_median_cap=effective_weekly_cap,
        ),
    )
    training_ds, validation_ds, test_ds = build_datasets(
        frame,
        snapshot_meta["time_varying_unknown_reals"],
        snapshot_meta["time_varying_known_reals"],
        snapshot_meta["target_cols"],
        cfg,
    )
    _, val_dl, test_dl = create_dataloaders(
        training_ds,
        validation_ds,
        test_ds,
        cfg,
    )
    val_actual = _actual_path(val_dl)
    test_actual = _actual_path(test_dl)

    n_rows = len(frame)
    test_size = int(n_rows * cfg.training.test_ratio)
    val_size = int(n_rows * cfg.training.val_ratio)
    train_size = n_rows - val_size - test_size
    train_cutoff = int(frame["time_idx"].iloc[train_size - 1])
    val_cutoff = int(frame["time_idx"].iloc[train_size + val_size - 1])
    max_time_idx = int(frame["time_idx"].iloc[-1])

    base_direction_model = run_meta["weekly_direction_model"]
    val_direction_probability = predict_weekly_direction(
        base_direction_model,
        frame,
        start_exclusive=train_cutoff - 1,
        end_inclusive=val_cutoff - cfg.forecast.primary_horizon_days,
    )
    test_direction_probability = predict_weekly_direction(
        base_direction_model,
        frame,
        start_exclusive=val_cutoff - 1,
        end_inclusive=max_time_idx - cfg.forecast.primary_horizon_days,
    )
    val_conditioning = _weekly_interval_conditioning_values(
        frame,
        feature_name=WEEKLY_INTERVAL_CONDITIONING_FEATURE,
        start_exclusive=train_cutoff - 1,
        end_inclusive=val_cutoff - cfg.forecast.primary_horizon_days,
        expected_count=len(val_actual),
    )
    test_conditioning = _weekly_interval_conditioning_values(
        frame,
        feature_name=WEEKLY_INTERVAL_CONDITIONING_FEATURE,
        start_exclusive=val_cutoff - 1,
        end_inclusive=max_time_idx - cfg.forecast.primary_horizon_days,
        expected_count=len(test_actual),
    )

    checkpoint_specs = []
    checkpoints = sorted(
        (artifact_dir / "checkpoints").glob("tft-asro-*.ckpt"),
        key=lambda path: float(path.stem.rsplit("=", 1)[-1]),
    )
    for checkpoint in checkpoints:
        checkpoint_specs.append(
            (checkpoint, float(checkpoint.stem.rsplit("=", 1)[-1]))
        )
    if args.include_soups:
        for count in range(2, len(checkpoints) + 1):
            source = checkpoints[:count]
            soup_path = (
                artifact_dir
                / "checkpoints"
                / f"validation-top-{count}-soup.ckpt"
            )
            _build_uniform_checkpoint_soup(source, soup_path)
            checkpoint_specs.append(
                (
                    soup_path,
                    float(
                        np.mean(
                            [
                                float(path.stem.rsplit("=", 1)[-1])
                                for path in source
                            ]
                        )
                    ),
                )
            )

    if args.candidate:
        checkpoint_specs = [
            spec for spec in checkpoint_specs if spec[0].name == args.candidate
        ]
        if not checkpoint_specs:
            raise FileNotFoundError(
                f"Checkpoint candidate not found: {args.candidate}"
            )

    rows = []
    for checkpoint, loss in checkpoint_specs:
        model = load_tft_model(str(checkpoint))
        val_prediction = _predict_quantiles(model, val_dl, cfg)
        (
            _,
            val_metrics,
            direction_calibration,
            interval_calibration,
            selected_direction_model,
        ) = _prepare_candidate(
            prediction=val_prediction,
            actual=val_actual,
            weekly_direction_model=base_direction_model,
            direction_probability=val_direction_probability,
            conditioning_values=val_conditioning,
            cfg=cfg,
        )

        test_prediction = _predict_quantiles(model, test_dl, cfg)
        test_prediction *= int(
            direction_calibration.get("direction_sign_multiplier", 1)
        )
        test_prediction = apply_weekly_sign_correction_np(
            test_prediction,
            float(direction_calibration.get("weekly_sign_threshold", 0.0)),
            horizon=cfg.forecast.primary_horizon_days,
        )
        if selected_direction_model.get("enabled"):
            test_prediction = apply_weekly_direction_model(
                test_prediction,
                test_direction_probability,
                threshold=float(
                    selected_direction_model.get("decision_threshold", 0.50)
                ),
                horizon=cfg.forecast.primary_horizon_days,
            )
        test_metrics = _compute_test_metrics_from_quantiles(
            test_actual,
            test_prediction,
            cfg,
            weekly_interval_scale=float(
                interval_calibration["weekly_interval_scale"]
            ),
            weekly_interval_calibration=interval_calibration,
            weekly_interval_conditioning_values=test_conditioning,
        )
        rank = _validation_rank(val_metrics, loss)
        validation_passed, validation_reasons = evaluate_quality_gate_metrics(
            val_metrics
        )
        test_passed, test_reasons = evaluate_quality_gate_metrics(test_metrics)
        rows.append(
            {
                "checkpoint": checkpoint.name,
                "checkpoint_loss": loss,
                "weekly_median_cap_factor": args.weekly_median_cap_factor,
                "effective_weekly_median_cap": effective_weekly_cap,
                "validation_rank": rank,
                "validation_gate_passed": validation_passed,
                "validation_gate_reasons": validation_reasons,
                "validation": val_metrics,
                "test_diagnostic_gate_passed": test_passed,
                "test_diagnostic_gate_reasons": test_reasons,
                "test_diagnostic": test_metrics,
            }
        )

    rows.sort(key=lambda row: row["validation_rank"])
    rendered = json.dumps(rows, indent=2, default=float)
    if args.output is not None:
        args.output.write_text(rendered + "\n", encoding="utf-8")
    else:
        print(rendered)


if __name__ == "__main__":
    main()