dquant 1.2.2__tar.gz → 1.2.3__tar.gz

{dquant-1.2.2/src/DQuant.egg-info → dquant-1.2.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: dquant
-Version: 1.2.2
+Version: 1.2.3
 Summary: DQuant is an open-source Python library for automated volatility forecasting of financial time series. It handles all stages of model construction, from raw prices to the final forecast.
 Author: Denis Makarov
 Project-URL: Homepage, https://dquant.space

{dquant-1.2.2 → dquant-1.2.3}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "dquant"
-version = "1.2.2"
+version = "1.2.3"
 authors = [
   { name="Denis Makarov" },
 ]

{dquant-1.2.2 → dquant-1.2.3/src/DQuant.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: dquant
-Version: 1.2.2
+Version: 1.2.3
 Summary: DQuant is an open-source Python library for automated volatility forecasting of financial time series. It handles all stages of model construction, from raw prices to the final forecast.
 Author: Denis Makarov
 Project-URL: Homepage, https://dquant.space

{dquant-1.2.2 → dquant-1.2.3}/src/dquant/metrics.py

@@ -2,7 +2,7 @@ import numpy as np
 
 
 def qlike_score(y_true, y_pred):
-    sigma2_true = y_true ** 2
+    sigma2_true = y_true
     sigma2_pred = np.maximum(y_pred, 1e-10)
     return np.mean(np.log(sigma2_pred) + sigma2_true / sigma2_pred)
 

{dquant-1.2.2 → dquant-1.2.3}/src/dquant/models.py

@@ -605,6 +605,7 @@ class FichEn:
                         valid_mask = ~pd.isna(y_h) if hasattr(y_h, 'isna') else ~np.isnan(y_h)
                         X_h = X_scaled[valid_mask]
                         y_h_clean = y_h[valid_mask]
+                        y_h_clean_orig = self.scaler_y.inverse_transform(y_h_clean.reshape(-1, 1)).ravel()
 
                         if i != 1:
                             self.models[h_idx].set_params(n_estimators=i)
@@ -620,24 +621,33 @@ class FichEn:
                         valid_mask = ~pd.isna(y_h_v) if hasattr(y_h_v, 'isna') else ~np.isnan(y_h_v)
                         X_h_v = X_test_scaled[valid_mask]
                         y_h_v_clean = y_h_v[valid_mask]
+                        y_h_v_clean_orig = self.scaler_y.inverse_transform(y_h_v_clean.reshape(-1, 1)).ravel()
                         if i != 1:
-                            t_error += mean_squared_error(y_h_clean, self.models[h_idx].predict(X_h))
-                            v_error += mean_squared_error(y_h_v_clean, self.models[h_idx].predict(X_h_v))
-                            t_mae += mean_absolute_error(y_h_clean, self.models[h_idx].predict(X_h))
-                            v_mae += mean_absolute_error(y_h_v_clean, self.models[h_idx].predict(X_h_v))
-                            t_qlike += qlike_score(y_h_clean, self.models[h_idx].predict(X_h))
-                            v_qlike += qlike_score(y_h_v_clean, self.models[h_idx].predict(X_h_v))
-                            t_r2 += r2_score(y_h_clean, self.models[h_idx].predict(X_h))
-                            v_r2 += r2_score(y_h_v_clean, self.models[h_idx].predict(X_h_v))
+                            pred_train = self.models[h_idx].predict(X_h)
+                            pred_val = self.models[h_idx].predict(X_h_v)
+                            pred_train_orig = self.scaler_y.inverse_transform(pred_train.reshape(-1, 1)).ravel()
+                            pred_val_orig = self.scaler_y.inverse_transform(pred_val.reshape(-1, 1)).ravel()
+                            t_error += mean_squared_error(y_h_clean, pred_train)
+                            v_error += mean_squared_error(y_h_v_clean, pred_val)
+                            t_mae += mean_absolute_error(y_h_clean, pred_train)
+                            v_mae += mean_absolute_error(y_h_v_clean, pred_val)
+                            t_qlike += qlike_score(y_h_clean_orig, pred_train_orig)
+                            v_qlike += qlike_score(y_h_v_clean_orig, pred_val_orig)
+                            t_r2 += r2_score(y_h_clean, pred_train)
+                            v_r2 += r2_score(y_h_v_clean, pred_val)
                         else:
-                            t_error += mean_squared_error(y_h_clean, model.predict(X_h))
-                            v_error += mean_squared_error(y_h_v_clean, model.predict(X_h_v))
-                            t_mae += mean_absolute_error(y_h_clean, model.predict(X_h))
-                            v_mae += mean_absolute_error(y_h_v_clean, model.predict(X_h_v))
-                            t_qlike += qlike_score(y_h_clean, model.predict(X_h))
-                            v_qlike += qlike_score(y_h_v_clean, model.predict(X_h_v))
-                            t_r2 += r2_score(y_h_clean, model.predict(X_h))
-                            v_r2 += r2_score(y_h_v_clean, model.predict(X_h_v))
+                            pred_train = model.predict(X_h)
+                            pred_val = model.predict(X_h_v)
+                            pred_train_orig = self.scaler_y.inverse_transform(pred_train.reshape(-1, 1)).ravel()
+                            pred_val_orig = self.scaler_y.inverse_transform(pred_val.reshape(-1, 1)).ravel()
+                            t_error += mean_squared_error(y_h_clean, pred_train)
+                            v_error += mean_squared_error(y_h_v_clean, pred_val)
+                            t_mae += mean_absolute_error(y_h_clean, pred_train)
+                            v_mae += mean_absolute_error(y_h_v_clean, pred_val)
+                            t_qlike += qlike_score(y_h_clean_orig, pred_train_orig)
+                            v_qlike += qlike_score(y_h_v_clean_orig, pred_val_orig)
+                            t_r2 += r2_score(y_h_clean, pred_train)
+                            v_r2 += r2_score(y_h_v_clean, pred_val)
 
 
                 var_test_error = float(t_error)/horizon