| """Size and power of the out-of-sample tests on known-truth synthetic panels. |
| |
| Writes reports/validation/size_power.csv and .md. This is software validation: |
| every number here comes from simulated data with a known data-generating process. |
| |
| python scripts/size_power.py --reps 40 |
| """ |
|
|
| from __future__ import annotations |
|
|
| import argparse |
| import sys |
| from pathlib import Path |
|
|
| import pandas as pd |
|
|
| sys.path.insert(0, str(Path(__file__).resolve().parents[1] / "src")) |
|
|
| from emft.backtest import run_backtest |
| from emft.data import synthetic_panel |
| from emft.evaluate import r2_table |
| from emft.features import build_features, model_ready |
|
|
| CRIT = 1.645 |
|
|
|
|
| def one(signal_sd: float, seed: int) -> dict: |
| panel, _ = synthetic_panel(n_dm=6, n_em=6, n_factors=12, n_months=300, signal_sd=signal_sd, seed=seed) |
| d = model_ready(build_features(panel)) |
| t = r2_table(run_backtest(d, models=("ols",), scopes=("own",), oos_start=2005)).iloc[0] |
| return {"signal_sd": signal_sd, "seed": seed, **{k: t[k] for k in |
| ("r2_vs_hist_pct", "cw_t_hist", "r2_vs_shrink_pct", "cw_t_shrink")}} |
|
|
|
|
| def main() -> None: |
| ap = argparse.ArgumentParser() |
| ap.add_argument("--reps", type=int, default=40) |
| ap.add_argument("--out", default="reports/validation") |
| a = ap.parse_args() |
| rows = [one(s, seed) for s in (0.0, 0.004, 0.008) for seed in range(100, 100 + a.reps)] |
| df = pd.DataFrame(rows) |
| summ = df.groupby("signal_sd").agg( |
| reps=("seed", "size"), |
| mean_r2_vs_hist=("r2_vs_hist_pct", "mean"), |
| reject_vs_hist=("cw_t_hist", lambda t: (t > CRIT).mean()), |
| mean_r2_vs_shrink=("r2_vs_shrink_pct", "mean"), |
| reject_vs_shrink=("cw_t_shrink", lambda t: (t > CRIT).mean()), |
| ).reset_index() |
| out = Path(a.out) |
| out.mkdir(parents=True, exist_ok=True) |
| df.to_csv(out / "size_power_draws.csv", index=False) |
| summ.to_csv(out / "size_power.csv", index=False) |
| lines = [ |
| "# Size and power on synthetic panels (software validation, not a finding)", |
| "", |
| "6 DM + 6 EM countries, 12 factors, 300 months, OOS from 2005, pooled OLS.", |
| "Rejection = Clark-West t > 1.645 (one-sided 5%). Row signal_sd = 0 is the null.", |
| "", |
| summ.round(3).to_markdown(index=False) if hasattr(summ, "to_markdown") else summ.round(3).to_string(index=False), |
| ] |
| (out / "size_power.md").write_text("\n".join(lines) + "\n") |
| print(summ.round(3).to_string(index=False)) |
|
|
|
|
| if __name__ == "__main__": |
| main() |
|
|
