LOBench-A-share-processed / code /experiments /tbd_revision /scripts /summarize_hyperparameter_sensitivity.py
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#!/usr/bin/env python3
"""Summarize the five-stock, three-seed hyperparameter sensitivity grid."""
from __future__ import annotations
import argparse
import csv
import json
import random
import statistics
from collections import defaultdict
from pathlib import Path
METHODS = ("timae", "lobgrid_timae", "simlob2026")
STOCKS = ("asset_001", "asset_002", "asset_017", "asset_005", "asset_033")
SEEDS = (2026, 2027, 2028)
AXES = {
"latent_dim": ((64, "latent64"), (128, "baseline"), (256, "latent256")),
"hidden_width": ((64, "width64"), (96, "baseline"), (128, "width128")),
"attention_heads": ((2, "heads2"), (4, "baseline"), (8, "heads8")),
"mask_ratio": ((0.2, "mask20"), (0.4, "baseline"), (0.6, "mask60")),
"learning_rate": ((0.0001, "lr100"), (0.0003, "baseline"), (0.001, "lr1000")),
"batch_size": ((64, "batch64"), (128, "baseline"), (256, "batch256")),
"weight_decay": ((0.0, "wd0"), (0.00001, "baseline"), (0.0001, "wd1e4")),
}
def parse_args() -> argparse.Namespace:
parser = argparse.ArgumentParser(description=__doc__)
parser.add_argument("--results-root", type=Path, required=True)
parser.add_argument("--output-dir", type=Path, required=True)
return parser.parse_args()
def percentile(values: list[float], probability: float) -> float:
ordered = sorted(values)
position = probability * (len(ordered) - 1)
lower = int(position)
upper = min(lower + 1, len(ordered) - 1)
weight = position - lower
return ordered[lower] * (1.0 - weight) + ordered[upper] * weight
def bootstrap_ci(values: list[float], seed: int) -> tuple[float, float]:
rng = random.Random(seed)
draws = sorted(
statistics.fmean(values[rng.randrange(len(values))] for _ in values)
for _ in range(20_000)
)
return percentile(draws, 0.025), percentile(draws, 0.975)
def write_csv(path: Path, rows: list[dict[str, object]]) -> None:
with path.open("w", newline="", encoding="utf-8") as handle:
writer = csv.DictWriter(handle, fieldnames=list(rows[0]))
writer.writeheader()
writer.writerows(rows)
def load_variant(directory: Path) -> dict[tuple[str, str, int, str], dict]:
cases: dict[tuple[str, str, int, str], dict] = {}
for path in sorted(directory.glob("*.json")):
if path.name.endswith(".pretrain.json") or path.name == "resolved_config.json":
continue
payload = json.loads(path.read_text(encoding="utf-8"))
if (
payload.get("method") not in METHODS
or payload.get("stock") not in STOCKS
or int(payload.get("seed", -1)) not in SEEDS
or abs(float(payload.get("label_budget", -1.0)) - 0.5) > 1e-12
or payload.get("setting") not in {"from_scratch", "fine_tune"}
):
continue
key = (
str(payload["method"]),
str(payload["stock"]),
int(payload["seed"]),
str(payload["setting"]),
)
if key in cases:
raise ValueError(f"Duplicate sensitivity case in {directory}: {key}")
cases[key] = payload
expected = {
(method, stock, seed, setting)
for method in METHODS
for stock in STOCKS
for seed in SEEDS
for setting in ("from_scratch", "fine_tune")
}
if set(cases) != expected:
missing = sorted(expected - set(cases))
extra = sorted(set(cases) - expected)
raise ValueError(
f"{directory} is incomplete: missing={missing[:5]}, extra={extra[:5]}"
)
return cases
def main() -> None:
args = parse_args()
variants = {
variant
for values in AXES.values()
for _, variant in values
}
cases = {
variant: load_variant(args.results_root / variant)
for variant in sorted(variants)
}
stock_rows: list[dict[str, object]] = []
summary_rows: list[dict[str, object]] = []
for axis_index, (axis, values) in enumerate(AXES.items()):
for value_index, (value, variant) in enumerate(values):
for method_index, method in enumerate(METHODS):
stock_deltas = []
stock_scratch = []
stock_pooled = []
for stock in STOCKS:
scratch = [
float(cases[variant][(method, stock, seed, "from_scratch")]["test"]["macro_f1"])
for seed in SEEDS
]
pooled = [
float(cases[variant][(method, stock, seed, "fine_tune")]["test"]["macro_f1"])
for seed in SEEDS
]
scratch_mean = statistics.fmean(scratch)
pooled_mean = statistics.fmean(pooled)
delta_mean = statistics.fmean(
candidate - baseline
for candidate, baseline in zip(pooled, scratch)
)
stock_scratch.append(scratch_mean)
stock_pooled.append(pooled_mean)
stock_deltas.append(delta_mean)
stock_rows.append(
{
"axis": axis,
"value": value,
"variant": variant,
"method": method,
"stock": stock,
"n_seeds": len(SEEDS),
"scratch_macro_f1_mean": scratch_mean,
"pooled_macro_f1_mean": pooled_mean,
"paired_delta_mean": delta_mean,
"paired_delta_seed_sd": statistics.stdev(
candidate - baseline
for candidate, baseline in zip(pooled, scratch)
),
}
)
ci_low, ci_high = bootstrap_ci(
stock_deltas,
20260801 + 100 * axis_index + 10 * value_index + method_index,
)
summary_rows.append(
{
"axis": axis,
"value": value,
"variant": variant,
"method": method,
"n_stocks": len(STOCKS),
"seeds_per_stock": len(SEEDS),
"scratch_macro_f1_mean": statistics.fmean(stock_scratch),
"pooled_macro_f1_mean": statistics.fmean(stock_pooled),
"paired_delta_mean": statistics.fmean(stock_deltas),
"paired_delta_median": statistics.median(stock_deltas),
"ci95_low": ci_low,
"ci95_high": ci_high,
"wins": sum(value_ > 0 for value_ in stock_deltas),
}
)
range_rows: list[dict[str, object]] = []
for axis in AXES:
for method in METHODS:
cells = [
row
for row in summary_rows
if row["axis"] == axis and row["method"] == method
]
if len(cells) != 3:
raise ValueError(f"Expected three values for {axis}/{method}")
best = max(cells, key=lambda row: float(row["paired_delta_mean"]))
worst = min(cells, key=lambda row: float(row["paired_delta_mean"]))
retained = next(row for row in cells if row["variant"] == "baseline")
range_rows.append(
{
"axis": axis,
"method": method,
"retained_value": retained["value"],
"retained_delta": retained["paired_delta_mean"],
"minimum_delta": worst["paired_delta_mean"],
"minimum_value": worst["value"],
"maximum_delta": best["paired_delta_mean"],
"maximum_value": best["value"],
"delta_span": float(best["paired_delta_mean"])
- float(worst["paired_delta_mean"]),
"positive_values": sum(
float(row["paired_delta_mean"]) > 0 for row in cells
),
}
)
overall_rows: list[dict[str, object]] = []
for method in METHODS:
unique_by_variant: dict[str, dict[str, object]] = {}
for row in summary_rows:
if row["method"] != method:
continue
variant = str(row["variant"])
previous = unique_by_variant.get(variant)
if previous is not None and abs(
float(previous["paired_delta_mean"])
- float(row["paired_delta_mean"])
) > 1e-12:
raise ValueError(f"Inconsistent repeated baseline for {method}")
unique_by_variant[variant] = row
if len(unique_by_variant) != 15:
raise ValueError(
f"Expected 15 unique configurations for {method}; "
f"found {len(unique_by_variant)}"
)
cells = list(unique_by_variant.values())
best = max(cells, key=lambda row: float(row["paired_delta_mean"]))
worst = min(cells, key=lambda row: float(row["paired_delta_mean"]))
deltas = [float(row["paired_delta_mean"]) for row in cells]
retained = unique_by_variant["baseline"]
overall_rows.append(
{
"method": method,
"n_unique_configurations": len(cells),
"retained_delta": retained["paired_delta_mean"],
"minimum_delta": worst["paired_delta_mean"],
"minimum_variant": worst["variant"],
"maximum_delta": best["paired_delta_mean"],
"maximum_variant": best["variant"],
"median_delta": statistics.median(deltas),
"positive_configurations": sum(value > 0 for value in deltas),
"within_practical_range": sum(abs(value) <= 0.01 for value in deltas),
}
)
args.output_dir.mkdir(parents=True, exist_ok=True)
write_csv(args.output_dir / "hyperparameter_stock_summary.csv", stock_rows)
write_csv(args.output_dir / "hyperparameter_sensitivity.csv", summary_rows)
write_csv(args.output_dir / "hyperparameter_axis_ranges.csv", range_rows)
write_csv(args.output_dir / "hyperparameter_overall_ranges.csv", overall_rows)
payload = {
"design": {
"stocks": list(STOCKS),
"methods": list(METHODS),
"seeds": list(SEEDS),
"label_budget": 0.5,
"axes": {
axis: [value for value, _ in values]
for axis, values in AXES.items()
},
"aggregation": "seeds paired and averaged within stock; five stock means form the reporting units",
"retained_configuration": {
"latent_dim": 128,
"hidden_width": 96,
"attention_heads": 4,
"mask_ratio": 0.4,
"learning_rate": 0.0003,
"batch_size": 128,
"weight_decay": 0.00001,
},
},
"rows": summary_rows,
"axis_ranges": range_rows,
"overall_ranges": overall_rows,
}
(args.output_dir / "hyperparameter_sensitivity.json").write_text(
json.dumps(payload, indent=2) + "\n",
encoding="utf-8",
)
lines = [
"# Hyperparameter sensitivity",
"",
"Each row changes one setting from the retained configuration. Seeds are paired within stock before the five-stock summary.",
"",
"| axis | value | method | scratch F1 | pooled F1 | paired delta [95% stock interval] | wins/5 |",
"|---|---:|---|---:|---:|---:|---:|",
]
for row in summary_rows:
lines.append(
f"| {row['axis']} | {row['value']} | {row['method']} | "
f"{row['scratch_macro_f1_mean']:.4f} | "
f"{row['pooled_macro_f1_mean']:.4f} | "
f"{row['paired_delta_mean']:+.4f} "
f"[{row['ci95_low']:+.4f}, {row['ci95_high']:+.4f}] | "
f"{row['wins']}/5 |"
)
lines.extend(
[
"",
"## Across-value ranges",
"",
"| axis | method | retained delta | minimum | maximum | span | positive values |",
"|---|---|---:|---:|---:|---:|---:|",
]
)
for row in range_rows:
lines.append(
f"| {row['axis']} | {row['method']} | "
f"{row['retained_delta']:+.4f} | "
f"{row['minimum_delta']:+.4f} ({row['minimum_value']}) | "
f"{row['maximum_delta']:+.4f} ({row['maximum_value']}) | "
f"{row['delta_span']:.4f} | {row['positive_values']}/3 |"
)
lines.extend(
[
"",
"## Across the 15 unique configurations",
"",
"| method | retained | minimum | maximum | median | positive | within ±0.01 |",
"|---|---:|---:|---:|---:|---:|---:|",
]
)
for row in overall_rows:
lines.append(
f"| {row['method']} | {row['retained_delta']:+.4f} | "
f"{row['minimum_delta']:+.4f} ({row['minimum_variant']}) | "
f"{row['maximum_delta']:+.4f} ({row['maximum_variant']}) | "
f"{row['median_delta']:+.4f} | "
f"{row['positive_configurations']}/15 | "
f"{row['within_practical_range']}/15 |"
)
(args.output_dir / "hyperparameter_sensitivity.md").write_text(
"\n".join(lines) + "\n",
encoding="utf-8",
)
print(
f"wrote {len(summary_rows)} hyperparameter summaries from "
f"{len(stock_rows)} stock-level cells"
)
if __name__ == "__main__":
main()