ml4t-diagnostic 0.1.0a1__py3-none-any.whl

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (242) hide show
  1. ml4t/diagnostic/AGENT.md +25 -0
  2. ml4t/diagnostic/__init__.py +166 -0
  3. ml4t/diagnostic/backends/__init__.py +10 -0
  4. ml4t/diagnostic/backends/adapter.py +192 -0
  5. ml4t/diagnostic/backends/polars_backend.py +899 -0
  6. ml4t/diagnostic/caching/__init__.py +40 -0
  7. ml4t/diagnostic/caching/cache.py +331 -0
  8. ml4t/diagnostic/caching/decorators.py +131 -0
  9. ml4t/diagnostic/caching/smart_cache.py +339 -0
  10. ml4t/diagnostic/config/AGENT.md +24 -0
  11. ml4t/diagnostic/config/README.md +267 -0
  12. ml4t/diagnostic/config/__init__.py +219 -0
  13. ml4t/diagnostic/config/barrier_config.py +277 -0
  14. ml4t/diagnostic/config/base.py +301 -0
  15. ml4t/diagnostic/config/event_config.py +148 -0
  16. ml4t/diagnostic/config/feature_config.py +404 -0
  17. ml4t/diagnostic/config/multi_signal_config.py +55 -0
  18. ml4t/diagnostic/config/portfolio_config.py +215 -0
  19. ml4t/diagnostic/config/report_config.py +391 -0
  20. ml4t/diagnostic/config/sharpe_config.py +202 -0
  21. ml4t/diagnostic/config/signal_config.py +206 -0
  22. ml4t/diagnostic/config/trade_analysis_config.py +310 -0
  23. ml4t/diagnostic/config/validation.py +279 -0
  24. ml4t/diagnostic/core/__init__.py +29 -0
  25. ml4t/diagnostic/core/numba_utils.py +315 -0
  26. ml4t/diagnostic/core/purging.py +372 -0
  27. ml4t/diagnostic/core/sampling.py +471 -0
  28. ml4t/diagnostic/errors/__init__.py +205 -0
  29. ml4t/diagnostic/evaluation/AGENT.md +26 -0
  30. ml4t/diagnostic/evaluation/__init__.py +437 -0
  31. ml4t/diagnostic/evaluation/autocorrelation.py +531 -0
  32. ml4t/diagnostic/evaluation/barrier_analysis.py +1050 -0
  33. ml4t/diagnostic/evaluation/binary_metrics.py +910 -0
  34. ml4t/diagnostic/evaluation/dashboard.py +715 -0
  35. ml4t/diagnostic/evaluation/diagnostic_plots.py +1037 -0
  36. ml4t/diagnostic/evaluation/distribution/__init__.py +499 -0
  37. ml4t/diagnostic/evaluation/distribution/moments.py +299 -0
  38. ml4t/diagnostic/evaluation/distribution/tails.py +777 -0
  39. ml4t/diagnostic/evaluation/distribution/tests.py +470 -0
  40. ml4t/diagnostic/evaluation/drift/__init__.py +139 -0
  41. ml4t/diagnostic/evaluation/drift/analysis.py +432 -0
  42. ml4t/diagnostic/evaluation/drift/domain_classifier.py +517 -0
  43. ml4t/diagnostic/evaluation/drift/population_stability_index.py +310 -0
  44. ml4t/diagnostic/evaluation/drift/wasserstein.py +388 -0
  45. ml4t/diagnostic/evaluation/event_analysis.py +647 -0
  46. ml4t/diagnostic/evaluation/excursion.py +390 -0
  47. ml4t/diagnostic/evaluation/feature_diagnostics.py +873 -0
  48. ml4t/diagnostic/evaluation/feature_outcome.py +666 -0
  49. ml4t/diagnostic/evaluation/framework.py +935 -0
  50. ml4t/diagnostic/evaluation/metric_registry.py +255 -0
  51. ml4t/diagnostic/evaluation/metrics/AGENT.md +23 -0
  52. ml4t/diagnostic/evaluation/metrics/__init__.py +133 -0
  53. ml4t/diagnostic/evaluation/metrics/basic.py +160 -0
  54. ml4t/diagnostic/evaluation/metrics/conditional_ic.py +469 -0
  55. ml4t/diagnostic/evaluation/metrics/feature_outcome.py +475 -0
  56. ml4t/diagnostic/evaluation/metrics/ic_statistics.py +446 -0
  57. ml4t/diagnostic/evaluation/metrics/importance_analysis.py +338 -0
  58. ml4t/diagnostic/evaluation/metrics/importance_classical.py +375 -0
  59. ml4t/diagnostic/evaluation/metrics/importance_mda.py +371 -0
  60. ml4t/diagnostic/evaluation/metrics/importance_shap.py +715 -0
  61. ml4t/diagnostic/evaluation/metrics/information_coefficient.py +527 -0
  62. ml4t/diagnostic/evaluation/metrics/interactions.py +772 -0
  63. ml4t/diagnostic/evaluation/metrics/monotonicity.py +226 -0
  64. ml4t/diagnostic/evaluation/metrics/risk_adjusted.py +324 -0
  65. ml4t/diagnostic/evaluation/multi_signal.py +550 -0
  66. ml4t/diagnostic/evaluation/portfolio_analysis/__init__.py +83 -0
  67. ml4t/diagnostic/evaluation/portfolio_analysis/analysis.py +734 -0
  68. ml4t/diagnostic/evaluation/portfolio_analysis/metrics.py +589 -0
  69. ml4t/diagnostic/evaluation/portfolio_analysis/results.py +334 -0
  70. ml4t/diagnostic/evaluation/report_generation.py +824 -0
  71. ml4t/diagnostic/evaluation/signal_selector.py +452 -0
  72. ml4t/diagnostic/evaluation/stat_registry.py +139 -0
  73. ml4t/diagnostic/evaluation/stationarity/__init__.py +97 -0
  74. ml4t/diagnostic/evaluation/stationarity/analysis.py +518 -0
  75. ml4t/diagnostic/evaluation/stationarity/augmented_dickey_fuller.py +296 -0
  76. ml4t/diagnostic/evaluation/stationarity/kpss_test.py +308 -0
  77. ml4t/diagnostic/evaluation/stationarity/phillips_perron.py +365 -0
  78. ml4t/diagnostic/evaluation/stats/AGENT.md +43 -0
  79. ml4t/diagnostic/evaluation/stats/__init__.py +191 -0
  80. ml4t/diagnostic/evaluation/stats/backtest_overfitting.py +219 -0
  81. ml4t/diagnostic/evaluation/stats/bootstrap.py +228 -0
  82. ml4t/diagnostic/evaluation/stats/deflated_sharpe_ratio.py +591 -0
  83. ml4t/diagnostic/evaluation/stats/false_discovery_rate.py +295 -0
  84. ml4t/diagnostic/evaluation/stats/hac_standard_errors.py +108 -0
  85. ml4t/diagnostic/evaluation/stats/minimum_track_record.py +408 -0
  86. ml4t/diagnostic/evaluation/stats/moments.py +164 -0
  87. ml4t/diagnostic/evaluation/stats/rademacher_adjustment.py +436 -0
  88. ml4t/diagnostic/evaluation/stats/reality_check.py +155 -0
  89. ml4t/diagnostic/evaluation/stats/sharpe_inference.py +219 -0
  90. ml4t/diagnostic/evaluation/themes.py +330 -0
  91. ml4t/diagnostic/evaluation/threshold_analysis.py +957 -0
  92. ml4t/diagnostic/evaluation/trade_analysis.py +1136 -0
  93. ml4t/diagnostic/evaluation/trade_dashboard/__init__.py +32 -0
  94. ml4t/diagnostic/evaluation/trade_dashboard/app.py +315 -0
  95. ml4t/diagnostic/evaluation/trade_dashboard/export/__init__.py +18 -0
  96. ml4t/diagnostic/evaluation/trade_dashboard/export/csv.py +82 -0
  97. ml4t/diagnostic/evaluation/trade_dashboard/export/html.py +276 -0
  98. ml4t/diagnostic/evaluation/trade_dashboard/io.py +166 -0
  99. ml4t/diagnostic/evaluation/trade_dashboard/normalize.py +304 -0
  100. ml4t/diagnostic/evaluation/trade_dashboard/stats.py +386 -0
  101. ml4t/diagnostic/evaluation/trade_dashboard/style.py +79 -0
  102. ml4t/diagnostic/evaluation/trade_dashboard/tabs/__init__.py +21 -0
  103. ml4t/diagnostic/evaluation/trade_dashboard/tabs/patterns.py +354 -0
  104. ml4t/diagnostic/evaluation/trade_dashboard/tabs/shap_analysis.py +280 -0
  105. ml4t/diagnostic/evaluation/trade_dashboard/tabs/stat_validation.py +186 -0
  106. ml4t/diagnostic/evaluation/trade_dashboard/tabs/worst_trades.py +236 -0
  107. ml4t/diagnostic/evaluation/trade_dashboard/types.py +129 -0
  108. ml4t/diagnostic/evaluation/trade_shap/__init__.py +102 -0
  109. ml4t/diagnostic/evaluation/trade_shap/alignment.py +188 -0
  110. ml4t/diagnostic/evaluation/trade_shap/characterize.py +413 -0
  111. ml4t/diagnostic/evaluation/trade_shap/cluster.py +302 -0
  112. ml4t/diagnostic/evaluation/trade_shap/explain.py +208 -0
  113. ml4t/diagnostic/evaluation/trade_shap/hypotheses/__init__.py +23 -0
  114. ml4t/diagnostic/evaluation/trade_shap/hypotheses/generator.py +290 -0
  115. ml4t/diagnostic/evaluation/trade_shap/hypotheses/matcher.py +251 -0
  116. ml4t/diagnostic/evaluation/trade_shap/hypotheses/templates.yaml +467 -0
  117. ml4t/diagnostic/evaluation/trade_shap/models.py +386 -0
  118. ml4t/diagnostic/evaluation/trade_shap/normalize.py +116 -0
  119. ml4t/diagnostic/evaluation/trade_shap/pipeline.py +263 -0
  120. ml4t/diagnostic/evaluation/trade_shap_dashboard.py +283 -0
  121. ml4t/diagnostic/evaluation/trade_shap_diagnostics.py +588 -0
  122. ml4t/diagnostic/evaluation/validated_cv.py +535 -0
  123. ml4t/diagnostic/evaluation/visualization.py +1050 -0
  124. ml4t/diagnostic/evaluation/volatility/__init__.py +45 -0
  125. ml4t/diagnostic/evaluation/volatility/analysis.py +351 -0
  126. ml4t/diagnostic/evaluation/volatility/arch.py +258 -0
  127. ml4t/diagnostic/evaluation/volatility/garch.py +460 -0
  128. ml4t/diagnostic/integration/__init__.py +48 -0
  129. ml4t/diagnostic/integration/backtest_contract.py +671 -0
  130. ml4t/diagnostic/integration/data_contract.py +316 -0
  131. ml4t/diagnostic/integration/engineer_contract.py +226 -0
  132. ml4t/diagnostic/logging/__init__.py +77 -0
  133. ml4t/diagnostic/logging/logger.py +245 -0
  134. ml4t/diagnostic/logging/performance.py +234 -0
  135. ml4t/diagnostic/logging/progress.py +234 -0
  136. ml4t/diagnostic/logging/wandb.py +412 -0
  137. ml4t/diagnostic/metrics/__init__.py +9 -0
  138. ml4t/diagnostic/metrics/percentiles.py +128 -0
  139. ml4t/diagnostic/py.typed +1 -0
  140. ml4t/diagnostic/reporting/__init__.py +43 -0
  141. ml4t/diagnostic/reporting/base.py +130 -0
  142. ml4t/diagnostic/reporting/html_renderer.py +275 -0
  143. ml4t/diagnostic/reporting/json_renderer.py +51 -0
  144. ml4t/diagnostic/reporting/markdown_renderer.py +117 -0
  145. ml4t/diagnostic/results/AGENT.md +24 -0
  146. ml4t/diagnostic/results/__init__.py +105 -0
  147. ml4t/diagnostic/results/barrier_results/__init__.py +36 -0
  148. ml4t/diagnostic/results/barrier_results/hit_rate.py +304 -0
  149. ml4t/diagnostic/results/barrier_results/precision_recall.py +266 -0
  150. ml4t/diagnostic/results/barrier_results/profit_factor.py +297 -0
  151. ml4t/diagnostic/results/barrier_results/tearsheet.py +397 -0
  152. ml4t/diagnostic/results/barrier_results/time_to_target.py +305 -0
  153. ml4t/diagnostic/results/barrier_results/validation.py +38 -0
  154. ml4t/diagnostic/results/base.py +177 -0
  155. ml4t/diagnostic/results/event_results.py +349 -0
  156. ml4t/diagnostic/results/feature_results.py +787 -0
  157. ml4t/diagnostic/results/multi_signal_results.py +431 -0
  158. ml4t/diagnostic/results/portfolio_results.py +281 -0
  159. ml4t/diagnostic/results/sharpe_results.py +448 -0
  160. ml4t/diagnostic/results/signal_results/__init__.py +74 -0
  161. ml4t/diagnostic/results/signal_results/ic.py +581 -0
  162. ml4t/diagnostic/results/signal_results/irtc.py +110 -0
  163. ml4t/diagnostic/results/signal_results/quantile.py +392 -0
  164. ml4t/diagnostic/results/signal_results/tearsheet.py +456 -0
  165. ml4t/diagnostic/results/signal_results/turnover.py +213 -0
  166. ml4t/diagnostic/results/signal_results/validation.py +147 -0
  167. ml4t/diagnostic/signal/AGENT.md +17 -0
  168. ml4t/diagnostic/signal/__init__.py +69 -0
  169. ml4t/diagnostic/signal/_report.py +152 -0
  170. ml4t/diagnostic/signal/_utils.py +261 -0
  171. ml4t/diagnostic/signal/core.py +275 -0
  172. ml4t/diagnostic/signal/quantile.py +148 -0
  173. ml4t/diagnostic/signal/result.py +214 -0
  174. ml4t/diagnostic/signal/signal_ic.py +129 -0
  175. ml4t/diagnostic/signal/turnover.py +182 -0
  176. ml4t/diagnostic/splitters/AGENT.md +19 -0
  177. ml4t/diagnostic/splitters/__init__.py +36 -0
  178. ml4t/diagnostic/splitters/base.py +501 -0
  179. ml4t/diagnostic/splitters/calendar.py +421 -0
  180. ml4t/diagnostic/splitters/calendar_config.py +91 -0
  181. ml4t/diagnostic/splitters/combinatorial.py +1064 -0
  182. ml4t/diagnostic/splitters/config.py +322 -0
  183. ml4t/diagnostic/splitters/cpcv/__init__.py +57 -0
  184. ml4t/diagnostic/splitters/cpcv/combinations.py +119 -0
  185. ml4t/diagnostic/splitters/cpcv/partitioning.py +263 -0
  186. ml4t/diagnostic/splitters/cpcv/purge_engine.py +379 -0
  187. ml4t/diagnostic/splitters/cpcv/windows.py +190 -0
  188. ml4t/diagnostic/splitters/group_isolation.py +329 -0
  189. ml4t/diagnostic/splitters/persistence.py +316 -0
  190. ml4t/diagnostic/splitters/utils.py +207 -0
  191. ml4t/diagnostic/splitters/walk_forward.py +757 -0
  192. ml4t/diagnostic/utils/__init__.py +42 -0
  193. ml4t/diagnostic/utils/config.py +542 -0
  194. ml4t/diagnostic/utils/dependencies.py +318 -0
  195. ml4t/diagnostic/utils/sessions.py +127 -0
  196. ml4t/diagnostic/validation/__init__.py +54 -0
  197. ml4t/diagnostic/validation/dataframe.py +274 -0
  198. ml4t/diagnostic/validation/returns.py +280 -0
  199. ml4t/diagnostic/validation/timeseries.py +299 -0
  200. ml4t/diagnostic/visualization/AGENT.md +19 -0
  201. ml4t/diagnostic/visualization/__init__.py +223 -0
  202. ml4t/diagnostic/visualization/backtest/__init__.py +98 -0
  203. ml4t/diagnostic/visualization/backtest/cost_attribution.py +762 -0
  204. ml4t/diagnostic/visualization/backtest/executive_summary.py +895 -0
  205. ml4t/diagnostic/visualization/backtest/interactive_controls.py +673 -0
  206. ml4t/diagnostic/visualization/backtest/statistical_validity.py +874 -0
  207. ml4t/diagnostic/visualization/backtest/tearsheet.py +565 -0
  208. ml4t/diagnostic/visualization/backtest/template_system.py +373 -0
  209. ml4t/diagnostic/visualization/backtest/trade_plots.py +1172 -0
  210. ml4t/diagnostic/visualization/barrier_plots.py +782 -0
  211. ml4t/diagnostic/visualization/core.py +1060 -0
  212. ml4t/diagnostic/visualization/dashboards/__init__.py +36 -0
  213. ml4t/diagnostic/visualization/dashboards/base.py +582 -0
  214. ml4t/diagnostic/visualization/dashboards/importance.py +801 -0
  215. ml4t/diagnostic/visualization/dashboards/interaction.py +263 -0
  216. ml4t/diagnostic/visualization/dashboards.py +43 -0
  217. ml4t/diagnostic/visualization/data_extraction/__init__.py +48 -0
  218. ml4t/diagnostic/visualization/data_extraction/importance.py +649 -0
  219. ml4t/diagnostic/visualization/data_extraction/interaction.py +504 -0
  220. ml4t/diagnostic/visualization/data_extraction/types.py +113 -0
  221. ml4t/diagnostic/visualization/data_extraction/validation.py +66 -0
  222. ml4t/diagnostic/visualization/feature_plots.py +888 -0
  223. ml4t/diagnostic/visualization/interaction_plots.py +618 -0
  224. ml4t/diagnostic/visualization/portfolio/__init__.py +41 -0
  225. ml4t/diagnostic/visualization/portfolio/dashboard.py +514 -0
  226. ml4t/diagnostic/visualization/portfolio/drawdown_plots.py +341 -0
  227. ml4t/diagnostic/visualization/portfolio/returns_plots.py +487 -0
  228. ml4t/diagnostic/visualization/portfolio/risk_plots.py +301 -0
  229. ml4t/diagnostic/visualization/report_generation.py +1343 -0
  230. ml4t/diagnostic/visualization/signal/__init__.py +103 -0
  231. ml4t/diagnostic/visualization/signal/dashboard.py +911 -0
  232. ml4t/diagnostic/visualization/signal/event_plots.py +514 -0
  233. ml4t/diagnostic/visualization/signal/ic_plots.py +635 -0
  234. ml4t/diagnostic/visualization/signal/multi_signal_dashboard.py +974 -0
  235. ml4t/diagnostic/visualization/signal/multi_signal_plots.py +603 -0
  236. ml4t/diagnostic/visualization/signal/quantile_plots.py +625 -0
  237. ml4t/diagnostic/visualization/signal/turnover_plots.py +400 -0
  238. ml4t/diagnostic/visualization/trade_shap/__init__.py +90 -0
  239. ml4t_diagnostic-0.1.0a1.dist-info/METADATA +1044 -0
  240. ml4t_diagnostic-0.1.0a1.dist-info/RECORD +242 -0
  241. ml4t_diagnostic-0.1.0a1.dist-info/WHEEL +4 -0
  242. ml4t_diagnostic-0.1.0a1.dist-info/licenses/LICENSE +21 -0
ml4t/diagnostic/visualization/signal/__init__.py ADDED
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+ """Signal Analysis Visualization Module.
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+
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+ Provides interactive Plotly visualizations for signal/factor analysis:
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+
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+ Dashboard (dashboard.py):
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+ - SignalDashboard: Multi-tab HTML dashboard for signal analysis
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+ - MultiSignalDashboard: Multi-tab dashboard for 50-200 signals
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+
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+ IC Plots (ic_plots.py):
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+ - plot_ic_ts: IC time series with rolling mean
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+ - plot_ic_histogram: IC distribution
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+ - plot_ic_qq: Q-Q plot for normality
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+ - plot_ic_heatmap: Monthly IC heatmap
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+
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+ Quantile Plots (quantile_plots.py):
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+ - plot_quantile_returns_bar: Mean returns by quantile
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+ - plot_quantile_returns_violin: Return distributions
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+ - plot_cumulative_returns: Cumulative returns by quantile
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+ - plot_spread_timeseries: Top-bottom spread over time
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+
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+ Turnover Plots (turnover_plots.py):
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+ - plot_top_bottom_turnover: Extreme quantile turnover
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+ - plot_autocorrelation: Signal rank autocorrelation
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+
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+ Event Study Plots (event_plots.py):
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+ - plot_caar: CAAR time series with confidence bands
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+ - plot_event_heatmap: Abnormal returns heatmap by event/day
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+ - plot_ar_distribution: AR distribution for specific day
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+ - plot_car_by_event: CAR bar chart by event
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+
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+ Multi-Signal Plots (multi_signal_plots.py):
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+ - plot_ic_ridge: IC density ridge plot per signal
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+ - plot_signal_ranking_bar: Horizontal bar chart by metric
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+ - plot_signal_correlation_heatmap: Cluster heatmap
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+ - plot_pareto_frontier: IC IR vs Turnover trade-off
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+
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+ All plots follow the ML4T Diagnostic visualization standards:
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+ - Theme-aware (default, dark, print, presentation)
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+ - Interactive with hover details
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+ - Configurable colors and dimensions
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+ """
42
+
43
+ from ml4t.diagnostic.visualization.signal.dashboard import SignalDashboard
44
+ from ml4t.diagnostic.visualization.signal.event_plots import (
45
+ plot_ar_distribution,
46
+ plot_caar,
47
+ plot_car_by_event,
48
+ plot_event_heatmap,
49
+ )
50
+ from ml4t.diagnostic.visualization.signal.ic_plots import (
51
+ plot_ic_heatmap,
52
+ plot_ic_histogram,
53
+ plot_ic_qq,
54
+ plot_ic_ts,
55
+ )
56
+ from ml4t.diagnostic.visualization.signal.multi_signal_dashboard import (
57
+ MultiSignalDashboard,
58
+ )
59
+ from ml4t.diagnostic.visualization.signal.multi_signal_plots import (
60
+ plot_ic_ridge,
61
+ plot_pareto_frontier,
62
+ plot_signal_correlation_heatmap,
63
+ plot_signal_ranking_bar,
64
+ )
65
+ from ml4t.diagnostic.visualization.signal.quantile_plots import (
66
+ plot_cumulative_returns,
67
+ plot_quantile_returns_bar,
68
+ plot_quantile_returns_violin,
69
+ plot_spread_timeseries,
70
+ )
71
+ from ml4t.diagnostic.visualization.signal.turnover_plots import (
72
+ plot_autocorrelation,
73
+ plot_top_bottom_turnover,
74
+ )
75
+
76
+ __all__ = [
77
+ # Dashboards
78
+ "SignalDashboard",
79
+ "MultiSignalDashboard",
80
+ # IC plots
81
+ "plot_ic_ts",
82
+ "plot_ic_histogram",
83
+ "plot_ic_qq",
84
+ "plot_ic_heatmap",
85
+ # Quantile plots
86
+ "plot_quantile_returns_bar",
87
+ "plot_quantile_returns_violin",
88
+ "plot_cumulative_returns",
89
+ "plot_spread_timeseries",
90
+ # Turnover plots
91
+ "plot_top_bottom_turnover",
92
+ "plot_autocorrelation",
93
+ # Event study plots
94
+ "plot_caar",
95
+ "plot_event_heatmap",
96
+ "plot_ar_distribution",
97
+ "plot_car_by_event",
98
+ # Multi-signal plots
99
+ "plot_ic_ridge",
100
+ "plot_signal_ranking_bar",
101
+ "plot_signal_correlation_heatmap",
102
+ "plot_pareto_frontier",
103
+ ]