Milestone 1: Upgrade oeq-core v0.2.0, eliminate bare imports, add fixtures and oeq-core pipelines
0288be9 verified | PY ?= python3 | |
| DATA ?= data/raw/ | |
| export PYTHONPATH := src:../packages/oeq-core/src | |
| .PHONY: setup test validate demo reproduce-sample run coverage robustness extensions tables paper check | |
| setup: | |
| $(PY) -m pip install -e ".[dev]" | |
| reproduce-sample: demo | |
| check: test | |
| test: | |
| $(PY) -m pytest -q | |
| validate: | |
| $(PY) scripts/size_power.py --reps 40 | |
| demo: | |
| $(PY) -m emft run --synthetic --out reports/synthetic_demo | |
| coverage: | |
| $(PY) -m emft coverage --data $(DATA) | |
| run: | |
| $(PY) -m emft run --data $(DATA) --models ols,enet,gbrt,nn,hist_mean,shrink_mean,fmom --out reports/jkp_em | |
| robustness: | |
| $(PY) -m emft run --data $(DATA) --kappa 60 --out reports/jkp_em_kappa60 | |
| $(PY) -m emft run --data $(DATA) --kappa 240 --out reports/jkp_em_kappa240 | |
| $(PY) -m emft run --data data/raw_ew/ --weighting ew --out reports/jkp_em_ew | |
| $(PY) -m emft run --data data/raw_vw/ --weighting vw --out reports/jkp_em_vw | |
| $(PY) -m emft run --data $(DATA) --market-history --out reports/jkp_em_tv | |
| $(PY) scripts/robustness.py --run '$$\kappa = 60$$=reports/jkp_em_kappa60' --run '$$\kappa = 240$$=reports/jkp_em_kappa240' \ | |
| --run 'Equal-weighted factors=reports/jkp_em_ew' --run 'Uncapped value-weighted=reports/jkp_em_vw' \ | |
| --run 'Time-varying classification=reports/jkp_em_tv' | |
| $(PY) scripts/breakeven.py --run 'Baseline=reports/jkp_em' --run 'Equal-weighted factors=reports/jkp_em_ew' \ | |
| --run 'Uncapped value-weighted=reports/jkp_em_vw' --run 'Time-varying classification=reports/jkp_em_tv' | |
| RS_MODELS := ols,enet,gbrt,ols_rs,enet_rs,gbrt_rs,hist_mean,shrink_mean | |
| extensions: | |
| $(PY) -m emft run --data $(DATA) --models $(RS_MODELS) --out reports/jkp_em_rs | |
| $(PY) -m emft run --data data/raw_ew/ --weighting ew --models $(RS_MODELS) --out reports/jkp_em_ew_rs | |
| $(PY) -m emft run --data $(DATA) --models ols,enet,gbrt,hist_mean,shrink_mean --macro data/raw_macro --out reports/jkp_em_macro | |
| $(PY) -m emft run --data $(DATA) --models ols,enet,gbrt,hist_mean,shrink_mean --sample-start 1990-01 --out reports/jkp_em_from1990 | |
| $(PY) scripts/extensions.py | |
| tables: | |
| $(PY) scripts/paper_tables.py --run reports/jkp_em --out paper/tables | |
| paper: | |
| cd paper && pdflatex -interaction=nonstopmode draft.tex && bibtex draft && pdflatex -interaction=nonstopmode draft.tex && pdflatex -interaction=nonstopmode draft.tex | |