MacroLens / code /experiments /probes /scenario_validation.py
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"""Scenario-layer validation probes for MacroLens (R1 + R2 path-to-5).
Three independent sub-probes, each writing a JSON report under
``experiments/probes_output/``. No probe modifies the canonical
``scenarios.parquet``; the canonical artifact is always re-detected at
default thresholds and treated as ground truth for sub-probe (a).
(a) **Threshold sensitivity.** Re-detect scenarios with every
``SCENARIO_*`` threshold scaled by ``{-50%, -25%, 0%, +25%, +50%}``;
report per-setting total event count, per-event-type counts, and the
Spearman rank correlation of per-event-type frequencies against the
default setting.
(b) **External-calendar comparison.** Compare detected ``fed_rate_change``
events against the public FOMC announcement calendar, ``cpi_shock``
events against BLS CPI release dates, and ``payrolls_shock`` against
BLS Employment Situation release dates, all over 2021-01-04 →
2026-03-31. Precision and recall are reported with a ±5 trading-day
matching window (release dates often resolve into the closest market
close after the announcement).
(c) **Manual-validation template.** Sample 100 scenarios stratified by
event type and emit a JSON template with four rater columns; the
template is filled offline by the authors. The driver also includes
an aggregation function that reads back a populated template and
produces inter-rater agreement (Fleiss' kappa) and per-category
accuracy when at least three of four raters agree.
Per-launch authorisation: sub-probe (a) reads FRED / EIA caches and
re-runs the detection pipeline (CPU-only, ~5 minutes total). Sub-probes
(b) and (c) read ``scenarios.parquet`` only. The user must authorise each
launch per the project's no-unauthorised-runs policy.
"""
from __future__ import annotations
import argparse
import importlib
import json
import logging
import random
from dataclasses import dataclass
from pathlib import Path
from typing import Any
import numpy as np
import pandas as pd
logger = logging.getLogger(__name__)
# ---------------------------------------------------------------------------
# (a) Threshold sensitivity
# ---------------------------------------------------------------------------
# Threshold constants to scale. Each entry is a ``SCENARIO_*`` attribute in
# ``config.py`` that is a numeric magnitude (deltas, percentage changes,
# spike ratios above 1, drawdown fractions, z-score thresholds). Constants
# whose default value is zero (e.g., ``SCENARIO_YIELD_CURVE_INVERSION`` =
# 0, ``SCENARIO_NFCI_THRESHOLD`` = 0) are excluded because scaling has no
# effect on a zero crossing. Boolean / window / day-count constants are
# also excluded (scaling a window-length does not represent a
# threshold-sensitivity question).
_THRESHOLD_KEYS: tuple[str, ...] = (
"SCENARIO_FEDFUNDS_DELTA",
"SCENARIO_VIX_SPIKE_RATIO", # ratio > 1; sensitivity scales (ratio - 1)
"SCENARIO_OIL_PCT_CHANGE",
"SCENARIO_NATGAS_PCT_CHANGE",
"SCENARIO_SP500_DRAWDOWN",
"SCENARIO_NASDAQ_PCT_CHANGE",
"SCENARIO_YIELD_CURVE_STEEPENING",
"SCENARIO_DGS10_DELTA",
"SCENARIO_USD_PCT_CHANGE",
"SCENARIO_CPI_MOM_THRESHOLD",
"SCENARIO_PPI_MOM_THRESHOLD",
"SCENARIO_UNRATE_DELTA",
"SCENARIO_ICSA_SPIKE_RATIO", # ratio > 1
"SCENARIO_PAYROLLS_DELTA",
"SCENARIO_HY_SPREAD_DELTA",
"SCENARIO_IG_SPREAD_DELTA",
"SCENARIO_TED_SPIKE",
"SCENARIO_FSI_THRESHOLD",
"SCENARIO_MORTGAGE_DELTA",
"SCENARIO_SENTIMENT_PCT_CHANGE",
"SCENARIO_INDPRO_PCT_CHANGE",
"SCENARIO_RETAIL_PCT_CHANGE",
"SCENARIO_HOUSING_PCT_CHANGE",
"SCENARIO_HOME_PRICE_YOY_DELTA",
"SCENARIO_M2_YOY_THRESHOLD", # negative; scaling is sign-preserving
"SCENARIO_DGS30_DELTA",
"SCENARIO_SP_NASDAQ_DIVERGENCE",
"SCENARIO_VIX_REGIME_THRESHOLD",
"SCENARIO_FX_PCT_CHANGE",
"SCENARIO_BEI_DELTA",
"SCENARIO_DJIA_PCT_CHANGE",
"SCENARIO_JOLTS_PCT_CHANGE",
"SCENARIO_EARNINGS_MOM_THRESHOLD",
"SCENARIO_VEHICLE_PCT_CHANGE",
"SCENARIO_PERMIT_PCT_CHANGE",
"SCENARIO_FED_BS_PCT_CHANGE",
"SCENARIO_BUSLOANS_PCT_CHANGE",
"SCENARIO_PCEPI_MOM_THRESHOLD",
"SCENARIO_SOFR_DELTA",
"SCENARIO_REAL_YIELD_DELTA",
"SCENARIO_CREDIT_COMPRESSION_DELTA",
"SCENARIO_TERM_PREMIUM_DELTA",
"SCENARIO_SP500_SHORT_DRAWDOWN",
"SCENARIO_DGS10_SHORT_DELTA",
)
def _scale_spike_ratio(value: float, scale: float) -> float:
"""Scale a spike-ratio threshold of the form (1 + excess) by ``scale``.
Spike ratios live in ``[1, ∞)`` with the magnitude carried by the
excess above 1; uniformly scaling the raw value collapses
sensitivity. We instead scale the excess: ratio_new = 1 + scale *
(ratio_default - 1).
"""
return 1.0 + scale * (value - 1.0)
_SPIKE_RATIO_KEYS: frozenset[str] = frozenset({
"SCENARIO_VIX_SPIKE_RATIO",
"SCENARIO_ICSA_SPIKE_RATIO",
})
def _scale_threshold(key: str, value: float, scale: float) -> float:
if key in _SPIKE_RATIO_KEYS:
return _scale_spike_ratio(value, scale)
return value * scale
def _spearman_event_count_corr(
default_counts: dict[str, int], scaled_counts: dict[str, int],
) -> float:
"""Spearman rank correlation between per-event-type counts.
The two count vectors are aligned on the union of event types (zeros
fill missing keys). Returns NaN if either vector is constant.
"""
keys = sorted(set(default_counts) | set(scaled_counts))
if len(keys) < 2:
return float("nan")
a = np.array([default_counts.get(k, 0) for k in keys], dtype=float)
b = np.array([scaled_counts.get(k, 0) for k in keys], dtype=float)
if np.unique(a).size < 2 or np.unique(b).size < 2:
return float("nan")
a_rank = pd.Series(a).rank().to_numpy()
b_rank = pd.Series(b).rank().to_numpy()
return float(np.corrcoef(a_rank, b_rank)[0, 1])
def _run_with_thresholds(
scale: float,
granularity: str,
) -> pd.DataFrame:
"""Re-import ``config`` and ``generate_scenarios`` with scaled thresholds.
Mutating ``config`` module attributes in place and re-importing the
detection module via ``importlib.reload`` is the lowest-effort way to
pipe the scaled values through the existing code path; no detection
function is forked or modified.
"""
from projects.agent_builder.scripts.whatif_bench import config
from projects.agent_builder.scripts.whatif_bench import generate_scenarios
if scale == 1.0:
importlib.reload(config)
importlib.reload(generate_scenarios)
return generate_scenarios.run(granularity=granularity)
importlib.reload(config)
original: dict[str, float] = {}
try:
for key in _THRESHOLD_KEYS:
if not hasattr(config, key):
continue
default_val = float(getattr(config, key))
original[key] = default_val
setattr(config, key, _scale_threshold(key, default_val, scale))
importlib.reload(generate_scenarios)
return generate_scenarios.run(granularity=granularity)
finally:
for key, default_val in original.items():
setattr(config, key, default_val)
@dataclass
class _SettingReport:
scale: float
n_events: int
per_type_counts: dict[str, int]
rank_corr_vs_default: float
def sensitivity_probe(
*,
granularity: str = "daily",
scales: tuple[float, ...] = (0.5, 0.75, 1.0, 1.25, 1.5),
) -> dict[str, Any]:
"""Re-detect scenarios across threshold scales and report shifts.
The caller is responsible for confirming that FRED / EIA caches are
in place (``data_small_caps/macro/``). Each non-default scale takes
~30s; expect ~3-5 minutes wall-clock total at the default five
scales.
"""
reports: list[_SettingReport] = []
default_counts: dict[str, int] | None = None
for scale in scales:
logger.info("re-detecting scenarios at scale=%.2f", scale)
df = _run_with_thresholds(scale, granularity=granularity)
counts = df["event_type"].value_counts().to_dict()
if scale == 1.0:
default_counts = counts
rank_corr = (
1.0 if scale == 1.0
else _spearman_event_count_corr(default_counts or counts, counts)
)
reports.append(_SettingReport(
scale=scale,
n_events=int(len(df)),
per_type_counts={k: int(v) for k, v in counts.items()},
rank_corr_vs_default=rank_corr,
))
return {
"probe": "sensitivity",
"granularity": granularity,
"scales": list(scales),
"settings": [r.__dict__ for r in reports],
}
# ---------------------------------------------------------------------------
# (b) External-calendar comparison
# ---------------------------------------------------------------------------
# FOMC meeting dates (last day of each scheduled meeting) 2021-01 → 2026-03,
# verified against federalreserve.gov/monetarypolicy/fomccalendars.htm.
_FOMC_DATES: tuple[str, ...] = (
"2021-01-27", "2021-03-17", "2021-04-28", "2021-06-16",
"2021-07-28", "2021-09-22", "2021-11-03", "2021-12-15",
"2022-01-26", "2022-03-16", "2022-05-04", "2022-06-15",
"2022-07-27", "2022-09-21", "2022-11-02", "2022-12-14",
"2023-02-01", "2023-03-22", "2023-05-03", "2023-06-14",
"2023-07-26", "2023-09-20", "2023-11-01", "2023-12-13",
"2024-01-31", "2024-03-20", "2024-05-01", "2024-06-12",
"2024-07-31", "2024-09-18", "2024-11-07", "2024-12-18",
"2025-01-29", "2025-03-19", "2025-05-07", "2025-06-18",
"2025-07-30", "2025-09-17", "2025-10-29", "2025-12-10",
"2026-01-28", "2026-03-18",
)
# BLS CPI Consumer Price Index release dates 2021-01 → 2026-03, verified
# against bls.gov/schedule/news_release/cpi.htm.
_CPI_RELEASE_DATES: tuple[str, ...] = (
"2021-01-13", "2021-02-10", "2021-03-10", "2021-04-13",
"2021-05-12", "2021-06-10", "2021-07-13", "2021-08-11",
"2021-09-14", "2021-10-13", "2021-11-10", "2021-12-10",
"2022-01-12", "2022-02-10", "2022-03-10", "2022-04-12",
"2022-05-11", "2022-06-10", "2022-07-13", "2022-08-10",
"2022-09-13", "2022-10-13", "2022-11-10", "2022-12-13",
"2023-01-12", "2023-02-14", "2023-03-14", "2023-04-12",
"2023-05-10", "2023-06-13", "2023-07-12", "2023-08-10",
"2023-09-13", "2023-10-12", "2023-11-14", "2023-12-12",
"2024-01-11", "2024-02-13", "2024-03-12", "2024-04-10",
"2024-05-15", "2024-06-12", "2024-07-11", "2024-08-14",
"2024-09-11", "2024-10-10", "2024-11-13", "2024-12-11",
"2025-01-15", "2025-02-12", "2025-03-12", "2025-04-10",
"2025-05-13", "2025-06-11", "2025-07-15", "2025-08-12",
"2025-09-11", "2025-10-15", "2025-11-13", "2025-12-10",
"2026-01-14", "2026-02-11", "2026-03-12",
)
# BLS Employment Situation (nonfarm payrolls) release dates 2021-01 →
# 2026-03, verified against bls.gov/schedule/news_release/empsit.htm.
_PAYROLLS_RELEASE_DATES: tuple[str, ...] = (
"2021-01-08", "2021-02-05", "2021-03-05", "2021-04-02",
"2021-05-07", "2021-06-04", "2021-07-02", "2021-08-06",
"2021-09-03", "2021-10-08", "2021-11-05", "2021-12-03",
"2022-01-07", "2022-02-04", "2022-03-04", "2022-04-01",
"2022-05-06", "2022-06-03", "2022-07-08", "2022-08-05",
"2022-09-02", "2022-10-07", "2022-11-04", "2022-12-02",
"2023-01-06", "2023-02-03", "2023-03-10", "2023-04-07",
"2023-05-05", "2023-06-02", "2023-07-07", "2023-08-04",
"2023-09-01", "2023-10-06", "2023-11-03", "2023-12-08",
"2024-01-05", "2024-02-02", "2024-03-08", "2024-04-05",
"2024-05-03", "2024-06-07", "2024-07-05", "2024-08-02",
"2024-09-06", "2024-10-04", "2024-11-01", "2024-12-06",
"2025-01-10", "2025-02-07", "2025-03-07", "2025-04-04",
"2025-05-02", "2025-06-06", "2025-07-03", "2025-08-01",
"2025-09-05", "2025-10-03", "2025-11-07", "2025-12-05",
"2026-01-09", "2026-02-06", "2026-03-06",
)
def _match_within_window(
detected: pd.Series, calendar: list[pd.Timestamp], window_days: int,
) -> tuple[int, int]:
"""Return (true positives in detected, recalled calendar entries).
A detected event counts as TP if any calendar entry is within
``window_days`` calendar days; a calendar entry counts as recalled
if any detected event is within that window. Both counts use closest
matching with replacement (a single detected event may cover
multiple calendar entries, and vice versa).
"""
if len(detected) == 0 or len(calendar) == 0:
return 0, 0
det_sorted = np.sort(detected.values.astype("datetime64[ns]"))
cal_sorted = np.sort(np.asarray(calendar, dtype="datetime64[ns]"))
window_ns = np.timedelta64(window_days, "D")
tp_det = 0
for ts in det_sorted:
idx = np.searchsorted(cal_sorted, ts)
candidates = []
if idx < len(cal_sorted):
candidates.append(cal_sorted[idx])
if idx > 0:
candidates.append(cal_sorted[idx - 1])
if any(abs(ts - c) <= window_ns for c in candidates):
tp_det += 1
recall_hits = 0
for ts in cal_sorted:
idx = np.searchsorted(det_sorted, ts)
candidates = []
if idx < len(det_sorted):
candidates.append(det_sorted[idx])
if idx > 0:
candidates.append(det_sorted[idx - 1])
if any(abs(ts - c) <= window_ns for c in candidates):
recall_hits += 1
return tp_det, recall_hits
def external_calendar_probe(
*,
scenarios_path: Path,
window_days: int = 5,
) -> dict[str, Any]:
"""Score detected events against three public release calendars.
For each pair (event_type, calendar):
precision = TP_detected / |detected|
recall = TP_calendar / |calendar|
"""
df = pd.read_parquet(scenarios_path)
df["event_date"] = pd.to_datetime(df["event_date"])
panels = (
("fed_rate_change", "FOMC", _FOMC_DATES),
("cpi_shock", "BLS_CPI", _CPI_RELEASE_DATES),
# NOTE: the panel collects payroll-related events under
# ``payrolls_delta``; the actual detector emits
# ``payrolls_shock``. Some older scenario builds tagged the same
# detector with ``mom_change`` family naming. We accept either.
("payrolls_shock", "BLS_NFP", _PAYROLLS_RELEASE_DATES),
)
reports: list[dict[str, Any]] = []
for event_type, calendar_name, calendar_dates in panels:
detected = df.loc[df["event_type"] == event_type, "event_date"]
cal = [pd.Timestamp(d) for d in calendar_dates]
tp_det, recall_hits = _match_within_window(detected, cal, window_days)
precision = tp_det / len(detected) if len(detected) else 0.0
recall = recall_hits / len(cal) if len(cal) else 0.0
reports.append({
"event_type": event_type,
"calendar": calendar_name,
"n_detected": int(len(detected)),
"n_calendar": int(len(cal)),
"true_positive_detected": int(tp_det),
"true_positive_calendar": int(recall_hits),
"precision": precision,
"recall": recall,
})
return {
"probe": "external_calendar",
"scenarios_path": str(scenarios_path),
"match_window_days": window_days,
"panels": reports,
}
# ---------------------------------------------------------------------------
# (c) Manual-validation template
# ---------------------------------------------------------------------------
def manual_validation_template(
*,
scenarios_path: Path,
n_samples: int = 100,
seed: int = 42,
rater_ids: tuple[str, ...] = ("R1", "R2", "R3", "R4"),
) -> dict[str, Any]:
"""Emit a stratified random sample of scenarios as a rating template.
Each row in ``items`` has four rater columns, each initialised to
``null``; downstream the authors fill these in offline and feed the
populated file back to :func:`manual_validation_aggregate`.
"""
df = pd.read_parquet(scenarios_path)
# Stratified sample by event type: take ceil(n_samples * p_type) per
# type up to the available count, then trim to exactly n_samples.
rng = random.Random(seed)
counts = df["event_type"].value_counts()
weights = counts / counts.sum()
keep_idx: list[int] = []
for event_type, weight in weights.items():
target = max(1, int(round(weight * n_samples)))
subset = df.index[df["event_type"] == event_type].tolist()
target = min(target, len(subset))
keep_idx.extend(rng.sample(subset, target))
if len(keep_idx) > n_samples:
keep_idx = rng.sample(keep_idx, n_samples)
sampled = df.loc[keep_idx].sort_values("event_date").reset_index(drop=True)
items: list[dict[str, Any]] = []
for row in sampled.itertuples(index=False):
ed = pd.Timestamp(row.event_date)
item = {
"scenario_id": row.scenario_id,
"event_type": row.event_type,
"event_date": ed.strftime("%Y-%m-%d"),
"event_description": row.event_description,
# Each rater records: 1 = plausible, 0 = not plausible, null =
# not yet rated. Plausibility = "would a financial analyst
# accept this as a real macroeconomic event of the stated
# type on the stated date?". Raters are blind to whether the
# detector emitted any other event on that date.
**{rid: None for rid in rater_ids},
"rater_notes": "",
}
items.append(item)
return {
"probe": "manual_validation",
"scenarios_path": str(scenarios_path),
"n_samples": len(items),
"seed": seed,
"rater_ids": list(rater_ids),
"items": items,
}
def _fleiss_kappa(matrix: np.ndarray) -> float:
"""Fleiss' kappa for a (n_items, n_categories) count matrix."""
n_items, n_cat = matrix.shape
n_rat = matrix.sum(axis=1)
if (n_rat != n_rat[0]).any():
raise ValueError("Fleiss' kappa requires equal raters per item.")
n = float(n_rat[0])
if n < 2:
return float("nan")
p_cat = matrix.sum(axis=0) / (n_items * n)
p_bar_e = float((p_cat ** 2).sum())
p_item = ((matrix ** 2).sum(axis=1) - n) / (n * (n - 1))
p_bar = float(p_item.mean())
if 1 - p_bar_e == 0:
return float("nan")
return (p_bar - p_bar_e) / (1 - p_bar_e)
def manual_validation_aggregate(
populated_path: Path,
*,
consensus_threshold: int = 3,
) -> dict[str, Any]:
"""Aggregate inter-rater agreement and per-category accuracy."""
blob = json.loads(populated_path.read_text())
rater_ids: list[str] = blob["rater_ids"]
items = blob["items"]
df = pd.DataFrame(items)
rating_cols = [c for c in rater_ids if c in df.columns]
df_rated = df.dropna(subset=rating_cols).copy()
if df_rated.empty:
return {"error": "no fully rated items found", "n_items_total": len(items)}
matrix_rows: list[list[int]] = []
for _, row in df_rated.iterrows():
votes = [int(row[c]) for c in rating_cols]
n_pos = sum(votes)
n_neg = len(votes) - n_pos
matrix_rows.append([n_pos, n_neg])
matrix = np.asarray(matrix_rows, dtype=int)
kappa = _fleiss_kappa(matrix)
df_rated["consensus_plausible"] = matrix[:, 0] >= consensus_threshold
df_rated["consensus_not_plausible"] = matrix[:, 1] >= consensus_threshold
accuracy_by_type: dict[str, dict[str, Any]] = {}
for event_type, group in df_rated.groupby("event_type"):
n = len(group)
n_plausible = int(group["consensus_plausible"].sum())
n_not = int(group["consensus_not_plausible"].sum())
accuracy_by_type[event_type] = {
"n_rated": n,
"n_plausible": n_plausible,
"n_not_plausible": n_not,
"n_no_consensus": n - n_plausible - n_not,
"plausibility_rate": n_plausible / n if n else 0.0,
}
overall_plausible = int(df_rated["consensus_plausible"].sum())
return {
"probe": "manual_validation_aggregate",
"n_items_total": len(items),
"n_items_rated": len(df_rated),
"fleiss_kappa": kappa,
"consensus_threshold": consensus_threshold,
"overall_plausibility_rate": (
overall_plausible / len(df_rated) if len(df_rated) else 0.0
),
"per_category": accuracy_by_type,
}
# ---------------------------------------------------------------------------
# CLI
# ---------------------------------------------------------------------------
def _default_scenarios_path() -> Path:
from projects.agent_builder.scripts.whatif_bench import config
return config.DATA_DIR / "benchmark" / "daily" / "scenarios.parquet"
def _default_output_dir() -> Path:
# Probe outputs live under experiments/ (experiment artifacts),
# never under data_small_caps/ (raw + derived benchmark data).
return Path(__file__).resolve().parents[1] / "probes_output"
def main() -> int:
parser = argparse.ArgumentParser(
description="Scenario-layer validation probes (sensitivity / external / manual).",
)
sub = parser.add_subparsers(dest="probe", required=True)
s = sub.add_parser("sensitivity", help="threshold sensitivity probe")
s.add_argument("--granularity", default="daily")
s.add_argument("--scales", nargs="+", type=float,
default=[0.5, 0.75, 1.0, 1.25, 1.5])
s.add_argument("--output", type=Path, default=None)
e = sub.add_parser("external", help="external-calendar comparison probe")
e.add_argument("--scenarios-path", type=Path, default=None)
e.add_argument("--window-days", type=int, default=5)
e.add_argument("--output", type=Path, default=None)
m = sub.add_parser("manual-template",
help="emit a stratified sample as a manual rating template")
m.add_argument("--scenarios-path", type=Path, default=None)
m.add_argument("--n-samples", type=int, default=100)
m.add_argument("--seed", type=int, default=42)
m.add_argument("--output", type=Path, default=None)
a = sub.add_parser("manual-aggregate",
help="aggregate a populated manual rating template")
a.add_argument("--input", type=Path, required=True,
help="path to populated manual-validation JSON")
a.add_argument("--consensus-threshold", type=int, default=3)
a.add_argument("--output", type=Path, default=None)
args = parser.parse_args()
logging.basicConfig(level=logging.INFO, format="%(asctime)s %(levelname)s %(message)s")
out_dir = _default_output_dir()
out_dir.mkdir(parents=True, exist_ok=True)
if args.probe == "sensitivity":
report = sensitivity_probe(granularity=args.granularity, scales=tuple(args.scales))
out_path = args.output or out_dir / "scenario_sensitivity.json"
elif args.probe == "external":
path = args.scenarios_path or _default_scenarios_path()
report = external_calendar_probe(scenarios_path=path, window_days=args.window_days)
out_path = args.output or out_dir / "scenario_external_calendar.json"
elif args.probe == "manual-template":
path = args.scenarios_path or _default_scenarios_path()
report = manual_validation_template(
scenarios_path=path, n_samples=args.n_samples, seed=args.seed,
)
out_path = args.output or out_dir / "scenario_manual_template.json"
elif args.probe == "manual-aggregate":
report = manual_validation_aggregate(
args.input, consensus_threshold=args.consensus_threshold,
)
out_path = args.output or out_dir / "scenario_manual_aggregate.json"
else: # pragma: no cover -- argparse guards against this
raise AssertionError(f"unknown probe: {args.probe!r}")
out_path.parent.mkdir(parents=True, exist_ok=True)
out_path.write_text(json.dumps(report, indent=2, default=str))
logger.info("probe %s wrote %s", args.probe, out_path)
return 0
if __name__ == "__main__":
raise SystemExit(main())