quantlab-factor-agent 0.1.0__tar.gz

quantlab_factor_agent-0.1.0/LICENSE

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+MIT License
+
+Copyright (c) 2026 Zhaorong Dai
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

quantlab_factor_agent-0.1.0/PKG-INFO

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+Metadata-Version: 2.4
+Name: quantlab-factor-agent
+Version: 0.1.0
+Summary: LLM-driven, mechanism-first formulaic factor research on quantlab, evaluated with KunQuant.
+Author: Zhaorong Dai
+License-Expression: MIT AND Apache-2.0
+Project-URL: Homepage, https://github.com/ZhaorongDai/quantlab-factor-agent
+Project-URL: Repository, https://github.com/ZhaorongDai/quantlab-factor-agent
+Project-URL: Documentation, https://zhaorongdai.github.io/quantlab-factor-agent/
+Project-URL: Issues, https://github.com/ZhaorongDai/quantlab-factor-agent/issues
+Project-URL: Changelog, https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/CHANGELOG.md
+Keywords: quant,factor,alpha,llm,agent,kunquant,quantlab
+Classifier: Development Status :: 3 - Alpha
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: Operating System :: MacOS
+Classifier: Operating System :: POSIX :: Linux
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.13
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Topic :: Scientific/Engineering :: Artificial Intelligence
+Requires-Python: >=3.13
+Description-Content-Type: text/markdown
+License-File: LICENSE
+License-File: factor_agent/KUNQUANT_LICENSE
+Requires-Dist: anthropic>=2.3.0
+Requires-Dist: openai>=3.37.0
+Requires-Dist: psutil>=7.2.2
+Requires-Dist: pyyaml>=6.0.3
+Requires-Dist: quantlab-py>=0.3.1
+Provides-Extra: web
+Requires-Dist: fastapi>=0.162.0; extra == "web"
+Requires-Dist: uvicorn>=0.54.0; extra == "web"
+Dynamic: license-file
+
+<p align="center">
+  <img src="https://raw.githubusercontent.com/ZhaorongDai/quantlab-factor-agent/main/docs/_static/logo.svg" alt="quantlab-factor-agent logo" width="112">
+</p>
+
+<h1 align="center">quantlab-factor-agent</h1>
+
+<p align="center">
+  <a href="https://github.com/ZhaorongDai/quantlab-factor-agent/actions/workflows/ci.yml"><img alt="CI" src="https://img.shields.io/github/actions/workflow/status/ZhaorongDai/quantlab-factor-agent/ci.yml?branch=main&label=ci"></a>
+  <a href="https://zhaorongdai.github.io/quantlab-factor-agent/"><img alt="Docs" src="https://img.shields.io/badge/docs-online-3776ab"></a>
+  <a href="https://pypi.org/project/quantlab-factor-agent/"><img alt="PyPI" src="https://img.shields.io/pypi/v/quantlab-factor-agent?label=pypi&color=3776ab"></a>
+  <a href="https://www.python.org/downloads/"><img alt="Python 3.13+" src="https://img.shields.io/badge/python-3.13%2B-3776ab?logo=python&logoColor=white"></a>
+  <a href="https://zhaorongdai.github.io/quantlab-factor-agent/getting-started/installation.html"><img alt="Platform: Linux and macOS" src="https://img.shields.io/badge/platform-Linux%20%7C%20macOS-3776ab"></a>
+  <a href="https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/LICENSE"><img alt="License: MIT and Apache-2.0" src="https://img.shields.io/badge/license-MIT%20%2B%20Apache--2.0-green"></a>
+  <a href="https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/CHANGELOG.md"><img alt="Changelog" src="https://img.shields.io/badge/changelog-latest-3776ab"></a>
+  <img alt="Status: alpha" src="https://img.shields.io/badge/status-alpha-orange">
+  <a href="https://github.com/ZhaorongDai/quantlab"><img alt="Built on quantlab" src="https://img.shields.io/badge/built%20on-quantlab-3776ab"></a>
+  <a href="https://github.com/Menooker/KunQuant"><img alt="Factors: KunQuant" src="https://img.shields.io/badge/factors-KunQuant-0ea5e9"></a>
+</p>
+
+<p align="center">English | <a href="https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/README.zh-CN.md">简体中文</a></p>
+
+quantlab-factor-agent mines daily stock factors with language models, mechanism first. A
+model states an economic mechanism and writes the factor it implies as KunQuant code. Fixed
+checks and statistics from [quantlab](https://github.com/ZhaorongDai/quantlab) then decide
+whether the factor is new and adds to the factors you already have. The model only proposes
+and reviews, and it sees nothing but the training segment.
+
+[Documentation](https://zhaorongdai.github.io/quantlab-factor-agent/) ·
+[Example configs](https://github.com/ZhaorongDai/quantlab-factor-agent/tree/main/configs/) · [Changelog](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/CHANGELOG.md)
+
+> **Status: alpha (0.x).** The API, the config format and the run directory's layout may
+> change between minor versions.
+
+## How it works
+
+<p align="center">
+  <img src="https://raw.githubusercontent.com/ZhaorongDai/quantlab-factor-agent/main/docs/_static/research-loop.svg" alt="Each round: the planner picks directions, the proposer writes candidates, the Gate checks them in a sandbox, the reviewer checks that hypothesis and code agree, the Evaluator scores them on the training segment and admission decides; trials go to the ledger for the next round. After the campaign, acceptance validates, opens the hold-out once and exports." width="100%">
+</p>
+
+A campaign runs in rounds. The planner picks one research direction per slot, and the
+proposer writes a hypothesis, a description and KunQuant code for each. The Gate builds the
+code in a sandbox and refuses rewrites of existing factors; the reviewer checks that
+hypothesis and code describe the same factor. The Evaluator then scores what is left on the
+training segment, and admission accepts or rejects it. After the campaign, `Acceptance`
+trains a quantlab return model with and without the accepted factors, opens the hold-out
+once and exports the chosen factors.
+
+- **Mechanism first.** The Gate compares KunQuant graphs and refuses
+  rewrites, parameter-only variants and large shared subtrees of every reference, known and
+  accepted factor.
+- **No look-ahead.** Prompts carry training-segment statistics only: no return, no date, no
+  validation or hold-out metric. The hold-out opens once, behind a lock.
+- **Only code accepts.** The Evaluator scores candidates on quantlab's
+  whole-market panels, masked to each day's members, and the partial-IC t threshold
+  tightens with every evaluated trial.
+- **Nothing hard-coded about the market.** Fields, operators, prompts, mechanism types and
+  scoring come from the config's files, so a new input family is a new field file.
+- **Any provider, replayable.** Each role picks its backend: OpenAI-compatible endpoints
+  (DeepSeek, OpenAI, vLLM, ...), Anthropic or Claude Code. Every call is logged, and the
+  `replay` backend reproduces a run byte for byte without a provider.
+- **Resumable.** `run()` picks up from the run directory after a crash or an exhausted
+  balance.
+
+The diagram below shows how the parts fit together: what the models search, what each
+judge refuses, how every trial feeds the next round, and where the data the models see
+ends. [How the agent mines factors](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/mechanism.md) explains it in full.
+
+<p align="center">
+  <img src="https://raw.githubusercontent.com/ZhaorongDai/quantlab-factor-agent/main/docs/_static/mining-mechanism.svg" alt="The four parts of the mechanism: language models search over mechanism types and directions; the Gate, the reviewer, the Evaluator and admission each refuse what is not valid, consistent, new or significant; accepted factors join the zoo and pool and every trial feeds back to the planner; the models see only training-segment statistics, and the hold-out opens once behind a lock." width="100%">
+</p>
+
+With themes turned on, the planner also reads a map of the directions tried so far; see
+[the direction map](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/mechanism.md#3-learning-every-trial-shapes-the-next-round).
+
+## Install
+
+You need Python 3.13+ and a C++ compiler on the `PATH` (KunQuant compiles factor graphs to
+native code):
+
+```bash
+pip install "quantlab-factor-agent[web]"   # [web] adds the factor-agent-web frontend
+```
+
+To work on the code, or to run the example configs and the offline test suite, install
+from a checkout with [uv](https://docs.astral.sh/uv/), with quantlab's checkout beside it:
+
+```bash
+git clone https://github.com/ZhaorongDai/quantlab.git
+git clone https://github.com/ZhaorongDai/quantlab-factor-agent.git
+cd quantlab-factor-agent
+uv sync --extra web
+uv run pytest -n auto    # offline: no LLM call, a synthetic market
+```
+
+On macOS, xgboost also needs `brew install libomp`. Keys come from environment variables
+only (`ANTHROPIC_API_KEY`, or the variable a role's `api_key_env` names), and a config that
+holds a key is refused. See [installation](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/getting-started/installation.md).
+
+## Run a campaign
+
+```python
+from factor_agent.acceptance import Acceptance
+from factor_agent.campaign import Campaign
+from factor_agent.config import CampaignConfig
+
+config = CampaignConfig.from_file("configs/us3000_ret5.yaml")
+result = Campaign(config).run()          # resumes when run_dir already holds a state
+print(result.stop, len(result.accepted), "accepted of", len(result.records))
+
+report = Acceptance(config).validate()   # baseline vs baseline + accepted, on validation
+print(report.markdown())
+```
+
+Point the config's data paths at your own quantlab stores first. A campaign runs for hours,
+mostly waiting on the model, and needs no GPU; `Acceptance` uses CUDA when it is available.
+Watch a run in the browser with `factor-agent-web` ([web frontend](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/web.md)).
+
+## Documentation
+
+- [How the agent mines factors](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/mechanism.md): the search, the judges, the learning loop and what the models may see, in one diagram
+- [First campaign](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/getting-started/quickstart.md): run one and read its outcome
+- [Concepts](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/concepts.md): roles, factor sets, segments, what "accepted" means
+- [The campaign config](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/campaign.md): every section, stopping and resuming
+- [The vocabulary](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/vocabulary.md) and [prompts](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/prompts.md): what candidates may read and write, and what the models are told
+- [LLM backends](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/llm-backends.md): providers, the LLM log, replay, cost
+- [Gate, review and evaluation](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/evaluation.md) and [acceptance](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/acceptance.md): how a factor is judged
+
+## Contributing
+
+Bug reports, questions and pull requests are welcome; see [CONTRIBUTING.md](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/CONTRIBUTING.md).
+Report security problems privately, as [SECURITY.md](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/SECURITY.md) describes.
+
+## License
+
+[MIT](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/LICENSE). `factor_agent/_max_drawdown.py` adapts code from
+[KunQuant](https://github.com/Menooker/KunQuant) under the
+[Apache License 2.0](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/factor_agent/KUNQUANT_LICENSE).

quantlab_factor_agent-0.1.0/README.md

@@ -0,0 +1,137 @@
+<p align="center">
+  <img src="https://raw.githubusercontent.com/ZhaorongDai/quantlab-factor-agent/main/docs/_static/logo.svg" alt="quantlab-factor-agent logo" width="112">
+</p>
+
+<h1 align="center">quantlab-factor-agent</h1>
+
+<p align="center">
+  <a href="https://github.com/ZhaorongDai/quantlab-factor-agent/actions/workflows/ci.yml"><img alt="CI" src="https://img.shields.io/github/actions/workflow/status/ZhaorongDai/quantlab-factor-agent/ci.yml?branch=main&label=ci"></a>
+  <a href="https://zhaorongdai.github.io/quantlab-factor-agent/"><img alt="Docs" src="https://img.shields.io/badge/docs-online-3776ab"></a>
+  <a href="https://pypi.org/project/quantlab-factor-agent/"><img alt="PyPI" src="https://img.shields.io/pypi/v/quantlab-factor-agent?label=pypi&color=3776ab"></a>
+  <a href="https://www.python.org/downloads/"><img alt="Python 3.13+" src="https://img.shields.io/badge/python-3.13%2B-3776ab?logo=python&logoColor=white"></a>
+  <a href="https://zhaorongdai.github.io/quantlab-factor-agent/getting-started/installation.html"><img alt="Platform: Linux and macOS" src="https://img.shields.io/badge/platform-Linux%20%7C%20macOS-3776ab"></a>
+  <a href="https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/LICENSE"><img alt="License: MIT and Apache-2.0" src="https://img.shields.io/badge/license-MIT%20%2B%20Apache--2.0-green"></a>
+  <a href="https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/CHANGELOG.md"><img alt="Changelog" src="https://img.shields.io/badge/changelog-latest-3776ab"></a>
+  <img alt="Status: alpha" src="https://img.shields.io/badge/status-alpha-orange">
+  <a href="https://github.com/ZhaorongDai/quantlab"><img alt="Built on quantlab" src="https://img.shields.io/badge/built%20on-quantlab-3776ab"></a>
+  <a href="https://github.com/Menooker/KunQuant"><img alt="Factors: KunQuant" src="https://img.shields.io/badge/factors-KunQuant-0ea5e9"></a>
+</p>
+
+<p align="center">English | <a href="https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/README.zh-CN.md">简体中文</a></p>
+
+quantlab-factor-agent mines daily stock factors with language models, mechanism first. A
+model states an economic mechanism and writes the factor it implies as KunQuant code. Fixed
+checks and statistics from [quantlab](https://github.com/ZhaorongDai/quantlab) then decide
+whether the factor is new and adds to the factors you already have. The model only proposes
+and reviews, and it sees nothing but the training segment.
+
+[Documentation](https://zhaorongdai.github.io/quantlab-factor-agent/) ·
+[Example configs](https://github.com/ZhaorongDai/quantlab-factor-agent/tree/main/configs/) · [Changelog](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/CHANGELOG.md)
+
+> **Status: alpha (0.x).** The API, the config format and the run directory's layout may
+> change between minor versions.
+
+## How it works
+
+<p align="center">
+  <img src="https://raw.githubusercontent.com/ZhaorongDai/quantlab-factor-agent/main/docs/_static/research-loop.svg" alt="Each round: the planner picks directions, the proposer writes candidates, the Gate checks them in a sandbox, the reviewer checks that hypothesis and code agree, the Evaluator scores them on the training segment and admission decides; trials go to the ledger for the next round. After the campaign, acceptance validates, opens the hold-out once and exports." width="100%">
+</p>
+
+A campaign runs in rounds. The planner picks one research direction per slot, and the
+proposer writes a hypothesis, a description and KunQuant code for each. The Gate builds the
+code in a sandbox and refuses rewrites of existing factors; the reviewer checks that
+hypothesis and code describe the same factor. The Evaluator then scores what is left on the
+training segment, and admission accepts or rejects it. After the campaign, `Acceptance`
+trains a quantlab return model with and without the accepted factors, opens the hold-out
+once and exports the chosen factors.
+
+- **Mechanism first.** The Gate compares KunQuant graphs and refuses
+  rewrites, parameter-only variants and large shared subtrees of every reference, known and
+  accepted factor.
+- **No look-ahead.** Prompts carry training-segment statistics only: no return, no date, no
+  validation or hold-out metric. The hold-out opens once, behind a lock.
+- **Only code accepts.** The Evaluator scores candidates on quantlab's
+  whole-market panels, masked to each day's members, and the partial-IC t threshold
+  tightens with every evaluated trial.
+- **Nothing hard-coded about the market.** Fields, operators, prompts, mechanism types and
+  scoring come from the config's files, so a new input family is a new field file.
+- **Any provider, replayable.** Each role picks its backend: OpenAI-compatible endpoints
+  (DeepSeek, OpenAI, vLLM, ...), Anthropic or Claude Code. Every call is logged, and the
+  `replay` backend reproduces a run byte for byte without a provider.
+- **Resumable.** `run()` picks up from the run directory after a crash or an exhausted
+  balance.
+
+The diagram below shows how the parts fit together: what the models search, what each
+judge refuses, how every trial feeds the next round, and where the data the models see
+ends. [How the agent mines factors](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/mechanism.md) explains it in full.
+
+<p align="center">
+  <img src="https://raw.githubusercontent.com/ZhaorongDai/quantlab-factor-agent/main/docs/_static/mining-mechanism.svg" alt="The four parts of the mechanism: language models search over mechanism types and directions; the Gate, the reviewer, the Evaluator and admission each refuse what is not valid, consistent, new or significant; accepted factors join the zoo and pool and every trial feeds back to the planner; the models see only training-segment statistics, and the hold-out opens once behind a lock." width="100%">
+</p>
+
+With themes turned on, the planner also reads a map of the directions tried so far; see
+[the direction map](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/mechanism.md#3-learning-every-trial-shapes-the-next-round).
+
+## Install
+
+You need Python 3.13+ and a C++ compiler on the `PATH` (KunQuant compiles factor graphs to
+native code):
+
+```bash
+pip install "quantlab-factor-agent[web]"   # [web] adds the factor-agent-web frontend
+```
+
+To work on the code, or to run the example configs and the offline test suite, install
+from a checkout with [uv](https://docs.astral.sh/uv/), with quantlab's checkout beside it:
+
+```bash
+git clone https://github.com/ZhaorongDai/quantlab.git
+git clone https://github.com/ZhaorongDai/quantlab-factor-agent.git
+cd quantlab-factor-agent
+uv sync --extra web
+uv run pytest -n auto    # offline: no LLM call, a synthetic market
+```
+
+On macOS, xgboost also needs `brew install libomp`. Keys come from environment variables
+only (`ANTHROPIC_API_KEY`, or the variable a role's `api_key_env` names), and a config that
+holds a key is refused. See [installation](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/getting-started/installation.md).
+
+## Run a campaign
+
+```python
+from factor_agent.acceptance import Acceptance
+from factor_agent.campaign import Campaign
+from factor_agent.config import CampaignConfig
+
+config = CampaignConfig.from_file("configs/us3000_ret5.yaml")
+result = Campaign(config).run()          # resumes when run_dir already holds a state
+print(result.stop, len(result.accepted), "accepted of", len(result.records))
+
+report = Acceptance(config).validate()   # baseline vs baseline + accepted, on validation
+print(report.markdown())
+```
+
+Point the config's data paths at your own quantlab stores first. A campaign runs for hours,
+mostly waiting on the model, and needs no GPU; `Acceptance` uses CUDA when it is available.
+Watch a run in the browser with `factor-agent-web` ([web frontend](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/web.md)).
+
+## Documentation
+
+- [How the agent mines factors](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/mechanism.md): the search, the judges, the learning loop and what the models may see, in one diagram
+- [First campaign](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/getting-started/quickstart.md): run one and read its outcome
+- [Concepts](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/concepts.md): roles, factor sets, segments, what "accepted" means
+- [The campaign config](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/campaign.md): every section, stopping and resuming
+- [The vocabulary](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/vocabulary.md) and [prompts](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/prompts.md): what candidates may read and write, and what the models are told
+- [LLM backends](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/llm-backends.md): providers, the LLM log, replay, cost
+- [Gate, review and evaluation](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/evaluation.md) and [acceptance](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/docs/user-guide/acceptance.md): how a factor is judged
+
+## Contributing
+
+Bug reports, questions and pull requests are welcome; see [CONTRIBUTING.md](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/CONTRIBUTING.md).
+Report security problems privately, as [SECURITY.md](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/SECURITY.md) describes.
+
+## License
+
+[MIT](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/LICENSE). `factor_agent/_max_drawdown.py` adapts code from
+[KunQuant](https://github.com/Menooker/KunQuant) under the
+[Apache License 2.0](https://github.com/ZhaorongDai/quantlab-factor-agent/blob/main/factor_agent/KUNQUANT_LICENSE).

quantlab_factor_agent-0.1.0/factor_agent/KUNQUANT_LICENSE

@@ -0,0 +1,201 @@
+                                 Apache License
+                           Version 2.0, January 2004
+                        http://www.apache.org/licenses/
+
+   TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION
+
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+
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quantlab_factor_agent-0.1.0/factor_agent/__init__.py

@@ -0,0 +1,8 @@
+"""LLM-driven, mechanism-first formulaic factor research on quantlab."""
+
+from factor_agent import _expression_fold, _max_drawdown
+
+__version__ = "0.1.0"
+
+_expression_fold.patch()
+_max_drawdown.patch()

quantlab_factor_agent-0.1.0/factor_agent/_acceptance_model.py

@@ -0,0 +1,93 @@
+"""The acceptance model: a quantlab model template that Acceptance fills in and trains.
+
+``acceptance.model`` is the component config (a ``get_config()`` dict) of a
+quantlab ``BaseModel``, or of a ``ModelEnsemble`` whose ``members`` are such
+configs. A model's ``factors`` are the baseline: entries as the campaign
+config's ``reference`` lists them, or empty (or absent) for the reference set
+itself. Everything else of the template, its ``hyperparameters`` above all,
+is the model's own.
+
+``build`` fills the template in: each model (each member of an ensemble) gets
+its baseline followed by the factors added, and the fields Acceptance owns
+(``FILLED``: the label, the save directory, the read strategies, the
+windows, ``val_size``, the scored split and the seed) replace whatever the
+template says of them, so a config copied from a trained run's
+``config.json`` is a template as it is. A ``SeedEnsemble`` template is
+refused: Acceptance trains every model once per ``acceptance.seeds``.
+"""
+
+import dataclasses
+from collections.abc import Callable
+
+from quantlab.core.component import get_cls_from_path, rebuild
+from quantlab.model.base import BaseModel
+from quantlab.model.config import ModelConfig
+from quantlab.model.predefined.model_ensemble import ModelEnsemble
+from quantlab.model.predefined.seed_ensemble import SeedEnsemble
+
+#: The ``ModelConfig`` fields Acceptance sets in every model, whatever the template says.
+FILLED = (
+    "labels", "model_save_dir", "factor_data_strategy", "label_data_strategy", "start_date", "end_date",
+    "train_start", "train_end", "test_start", "test_end", "val_size", "metric_splits", "random_seed",
+)
+#: The ``ModelConfig`` fields a template may give.
+_FIELDS = {f.name for f in dataclasses.fields(ModelConfig)}
+
+
+def check(template: dict) -> None:
+    """Refuse a template that ``build`` cannot fill in, before anything is read or trained.
+
+    Raises
+    ------
+    ValueError
+        If the template is a ``SeedEnsemble`` (seeds are ``acceptance.seeds``).
+    TypeError
+        If it names no class, a class that is neither a ``BaseModel`` nor a
+        ``ModelEnsemble``, or a model with a key ``ModelConfig`` lacks.
+    """
+    if not isinstance(template, dict) or "name" not in template:
+        raise TypeError("acceptance.model: the model's component config needs its class path as name")
+    cls = get_cls_from_path(template["name"])
+    if not isinstance(cls, type):
+        raise TypeError(f"acceptance.model: {template['name']} is not a BaseModel or a ModelEnsemble")
+    if issubclass(cls, SeedEnsemble):
+        raise ValueError(
+            "acceptance.model: a SeedEnsemble is not a template; give its model and set the seeds as acceptance.seeds"
+        )
+    if issubclass(cls, ModelEnsemble):
+        unknown = set(template) - {"name", "members"}
+        if unknown:
+            raise TypeError(f"acceptance.model: the ModelEnsemble has unknown key(s) {sorted(unknown)}")
+        for member in template.get("members") or ():
+            check(member)
+        return
+    if not issubclass(cls, BaseModel):
+        raise TypeError(f"acceptance.model: {template['name']} is not a BaseModel or a ModelEnsemble")
+    unknown = set(template) - _FIELDS
+    if unknown:
+        raise TypeError(f"acceptance.model: {template['name']} has key(s) {sorted(unknown)} ModelConfig lacks")
+
+
+def build(template: dict, baseline: Callable[[tuple], list], added: list, filled: dict):
+    """The model (or ``ModelEnsemble``) of ``template``, filled in and untrained.
+
+    Parameters
+    ----------
+    template : dict
+        ``acceptance.model``; see the module docstring.
+    baseline : callable
+        A model's ``factors`` entries (empty for the reference set) to its baseline features.
+    added : list
+        The features added to every model after its baseline.
+    filled : dict
+        A value for each of ``FILLED``, set in every model.
+    """
+    check(template)
+    cls = get_cls_from_path(template["name"])
+    if issubclass(cls, ModelEnsemble):
+        return cls([build(member, baseline, added, filled) for member in template.get("members") or ()])
+    fields = {key: value for key, value in template.items() if key not in ("name", *FILLED)}
+    if "tracker" in fields:
+        fields["tracker"] = rebuild(fields["tracker"])
+    fields["factors"] = [*baseline(tuple(fields.get("factors") or ())), *added]
+    return cls(ModelConfig(**fields, **filled))