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Benchmark_QRT_aw81ejz/Benchmark QRT.ipynb ADDED
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1
+ {
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+ "cells": [
3
+ {
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+ "cell_type": "markdown",
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+ "metadata": {},
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+ "source": [
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+ "# Benchmark QRT\n",
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+ "\n",
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+ "This notebook illustrates a simple benchmark example that should help novice participants to start the competition.\n",
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+ "\n",
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+ "## Used libraries"
12
+ ]
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+ },
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+ {
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+ "cell_type": "code",
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+ "execution_count": 1,
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+ "metadata": {},
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+ "outputs": [],
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+ "source": [
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+ "import seaborn as sns\n",
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+ "import numpy as np\n",
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+ "import pandas as pd\n",
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+ "from sklearn.ensemble import RandomForestClassifier\n",
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+ "from sklearn.metrics import accuracy_score\n",
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+ "from sklearn.model_selection import KFold"
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+ ]
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+ },
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+ {
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+ "cell_type": "markdown",
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+ "metadata": {},
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+ "source": [
32
+ "## Loading data\n",
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+ "\n",
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+ "The train and test inputs are composed of 46 features.\n",
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+ "\n",
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+ "The target of this challenge is `RET` and corresponds to the fact that the **return is in the top 50% of highest stock returns**.\n",
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+ "\n",
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+ "Since the median is very close to 0, this information should not change much with the idea to predict the sign of the return."
39
+ ]
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+ },
41
+ {
42
+ "cell_type": "code",
43
+ "execution_count": 2,
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+ "metadata": {},
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+ "outputs": [
46
+ {
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+ "data": {
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+ "text/html": [
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+ "<div>\n",
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+ "<style scoped>\n",
51
+ " .dataframe tbody tr th:only-of-type {\n",
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+ " vertical-align: middle;\n",
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+ " }\n",
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+ "\n",
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+ " .dataframe tbody tr th {\n",
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+ " vertical-align: top;\n",
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+ " }\n",
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+ "\n",
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+ " .dataframe thead th {\n",
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+ " text-align: right;\n",
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+ " }\n",
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+ "</style>\n",
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+ "<table border=\"1\" class=\"dataframe\">\n",
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+ " <thead>\n",
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+ " <tr style=\"text-align: right;\">\n",
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+ " <th></th>\n",
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+ " <th>DATE</th>\n",
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+ " <th>STOCK</th>\n",
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+ " <th>INDUSTRY</th>\n",
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+ " <th>INDUSTRY_GROUP</th>\n",
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+ " <th>SECTOR</th>\n",
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+ " <th>SUB_INDUSTRY</th>\n",
73
+ " <th>RET_1</th>\n",
74
+ " <th>VOLUME_1</th>\n",
75
+ " <th>RET_2</th>\n",
76
+ " <th>VOLUME_2</th>\n",
77
+ " <th>...</th>\n",
78
+ " <th>VOLUME_16</th>\n",
79
+ " <th>RET_17</th>\n",
80
+ " <th>VOLUME_17</th>\n",
81
+ " <th>RET_18</th>\n",
82
+ " <th>VOLUME_18</th>\n",
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+ " <th>RET_19</th>\n",
84
+ " <th>VOLUME_19</th>\n",
85
+ " <th>RET_20</th>\n",
86
+ " <th>VOLUME_20</th>\n",
87
+ " <th>RET</th>\n",
88
+ " </tr>\n",
89
+ " <tr>\n",
90
+ " <th>ID</th>\n",
91
+ " <th></th>\n",
92
+ " <th></th>\n",
93
+ " <th></th>\n",
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+ " <th></th>\n",
95
+ " <th></th>\n",
96
+ " <th></th>\n",
97
+ " <th></th>\n",
98
+ " <th></th>\n",
99
+ " <th></th>\n",
100
+ " <th></th>\n",
101
+ " <th></th>\n",
102
+ " <th></th>\n",
103
+ " <th></th>\n",
104
+ " <th></th>\n",
105
+ " <th></th>\n",
106
+ " <th></th>\n",
107
+ " <th></th>\n",
108
+ " <th></th>\n",
109
+ " <th></th>\n",
110
+ " <th></th>\n",
111
+ " <th></th>\n",
112
+ " </tr>\n",
113
+ " </thead>\n",
114
+ " <tbody>\n",
115
+ " <tr>\n",
116
+ " <th>0</th>\n",
117
+ " <td>0</td>\n",
118
+ " <td>2</td>\n",
119
+ " <td>18</td>\n",
120
+ " <td>5</td>\n",
121
+ " <td>3</td>\n",
122
+ " <td>44</td>\n",
123
+ " <td>-0.015748</td>\n",
124
+ " <td>0.147931</td>\n",
125
+ " <td>-0.015504</td>\n",
126
+ " <td>0.179183</td>\n",
127
+ " <td>...</td>\n",
128
+ " <td>0.630899</td>\n",
129
+ " <td>0.003254</td>\n",
130
+ " <td>-0.379412</td>\n",
131
+ " <td>0.008752</td>\n",
132
+ " <td>-0.110597</td>\n",
133
+ " <td>-0.012959</td>\n",
134
+ " <td>0.174521</td>\n",
135
+ " <td>-0.002155</td>\n",
136
+ " <td>-0.000937</td>\n",
137
+ " <td>True</td>\n",
138
+ " </tr>\n",
139
+ " <tr>\n",
140
+ " <th>1</th>\n",
141
+ " <td>0</td>\n",
142
+ " <td>3</td>\n",
143
+ " <td>43</td>\n",
144
+ " <td>15</td>\n",
145
+ " <td>6</td>\n",
146
+ " <td>104</td>\n",
147
+ " <td>0.003984</td>\n",
148
+ " <td>NaN</td>\n",
149
+ " <td>-0.090580</td>\n",
150
+ " <td>NaN</td>\n",
151
+ " <td>...</td>\n",
152
+ " <td>NaN</td>\n",
153
+ " <td>0.003774</td>\n",
154
+ " <td>NaN</td>\n",
155
+ " <td>-0.018518</td>\n",
156
+ " <td>NaN</td>\n",
157
+ " <td>-0.028777</td>\n",
158
+ " <td>NaN</td>\n",
159
+ " <td>-0.034722</td>\n",
160
+ " <td>NaN</td>\n",
161
+ " <td>True</td>\n",
162
+ " </tr>\n",
163
+ " <tr>\n",
164
+ " <th>2</th>\n",
165
+ " <td>0</td>\n",
166
+ " <td>4</td>\n",
167
+ " <td>57</td>\n",
168
+ " <td>20</td>\n",
169
+ " <td>8</td>\n",
170
+ " <td>142</td>\n",
171
+ " <td>0.000440</td>\n",
172
+ " <td>-0.096282</td>\n",
173
+ " <td>-0.058896</td>\n",
174
+ " <td>0.084771</td>\n",
175
+ " <td>...</td>\n",
176
+ " <td>-0.010336</td>\n",
177
+ " <td>-0.017612</td>\n",
178
+ " <td>-0.354333</td>\n",
179
+ " <td>-0.006562</td>\n",
180
+ " <td>-0.519391</td>\n",
181
+ " <td>-0.012101</td>\n",
182
+ " <td>-0.356157</td>\n",
183
+ " <td>-0.006867</td>\n",
184
+ " <td>-0.308868</td>\n",
185
+ " <td>False</td>\n",
186
+ " </tr>\n",
187
+ " <tr>\n",
188
+ " <th>3</th>\n",
189
+ " <td>0</td>\n",
190
+ " <td>8</td>\n",
191
+ " <td>1</td>\n",
192
+ " <td>1</td>\n",
193
+ " <td>1</td>\n",
194
+ " <td>2</td>\n",
195
+ " <td>0.031298</td>\n",
196
+ " <td>-0.429540</td>\n",
197
+ " <td>0.007756</td>\n",
198
+ " <td>-0.089919</td>\n",
199
+ " <td>...</td>\n",
200
+ " <td>0.012105</td>\n",
201
+ " <td>0.033824</td>\n",
202
+ " <td>-0.290178</td>\n",
203
+ " <td>-0.001468</td>\n",
204
+ " <td>-0.663834</td>\n",
205
+ " <td>-0.013520</td>\n",
206
+ " <td>-0.562126</td>\n",
207
+ " <td>-0.036745</td>\n",
208
+ " <td>-0.631458</td>\n",
209
+ " <td>False</td>\n",
210
+ " </tr>\n",
211
+ " <tr>\n",
212
+ " <th>4</th>\n",
213
+ " <td>0</td>\n",
214
+ " <td>14</td>\n",
215
+ " <td>36</td>\n",
216
+ " <td>12</td>\n",
217
+ " <td>5</td>\n",
218
+ " <td>92</td>\n",
219
+ " <td>0.027273</td>\n",
220
+ " <td>-0.847155</td>\n",
221
+ " <td>-0.039302</td>\n",
222
+ " <td>-0.943033</td>\n",
223
+ " <td>...</td>\n",
224
+ " <td>-0.277083</td>\n",
225
+ " <td>-0.012659</td>\n",
226
+ " <td>0.139086</td>\n",
227
+ " <td>0.004237</td>\n",
228
+ " <td>-0.017547</td>\n",
229
+ " <td>0.004256</td>\n",
230
+ " <td>0.579510</td>\n",
231
+ " <td>-0.040817</td>\n",
232
+ " <td>0.802806</td>\n",
233
+ " <td>False</td>\n",
234
+ " </tr>\n",
235
+ " </tbody>\n",
236
+ "</table>\n",
237
+ "<p>5 rows × 47 columns</p>\n",
238
+ "</div>"
239
+ ],
240
+ "text/plain": [
241
+ " DATE STOCK INDUSTRY INDUSTRY_GROUP SECTOR SUB_INDUSTRY RET_1 \\\n",
242
+ "ID \n",
243
+ "0 0 2 18 5 3 44 -0.015748 \n",
244
+ "1 0 3 43 15 6 104 0.003984 \n",
245
+ "2 0 4 57 20 8 142 0.000440 \n",
246
+ "3 0 8 1 1 1 2 0.031298 \n",
247
+ "4 0 14 36 12 5 92 0.027273 \n",
248
+ "\n",
249
+ " VOLUME_1 RET_2 VOLUME_2 ... VOLUME_16 RET_17 VOLUME_17 \\\n",
250
+ "ID ... \n",
251
+ "0 0.147931 -0.015504 0.179183 ... 0.630899 0.003254 -0.379412 \n",
252
+ "1 NaN -0.090580 NaN ... NaN 0.003774 NaN \n",
253
+ "2 -0.096282 -0.058896 0.084771 ... -0.010336 -0.017612 -0.354333 \n",
254
+ "3 -0.429540 0.007756 -0.089919 ... 0.012105 0.033824 -0.290178 \n",
255
+ "4 -0.847155 -0.039302 -0.943033 ... -0.277083 -0.012659 0.139086 \n",
256
+ "\n",
257
+ " RET_18 VOLUME_18 RET_19 VOLUME_19 RET_20 VOLUME_20 RET \n",
258
+ "ID \n",
259
+ "0 0.008752 -0.110597 -0.012959 0.174521 -0.002155 -0.000937 True \n",
260
+ "1 -0.018518 NaN -0.028777 NaN -0.034722 NaN True \n",
261
+ "2 -0.006562 -0.519391 -0.012101 -0.356157 -0.006867 -0.308868 False \n",
262
+ "3 -0.001468 -0.663834 -0.013520 -0.562126 -0.036745 -0.631458 False \n",
263
+ "4 0.004237 -0.017547 0.004256 0.579510 -0.040817 0.802806 False \n",
264
+ "\n",
265
+ "[5 rows x 47 columns]"
266
+ ]
267
+ },
268
+ "execution_count": 2,
269
+ "metadata": {},
270
+ "output_type": "execute_result"
271
+ }
272
+ ],
273
+ "source": [
274
+ "x_train = pd.read_csv('./x_train.csv', index_col='ID')\n",
275
+ "y_train = pd.read_csv('./y_train.csv', index_col='ID')\n",
276
+ "train = pd.concat([x_train, y_train], axis=1)\n",
277
+ "test = pd.read_csv('./x_test.csv', index_col='ID')\n",
278
+ "train.head()"
279
+ ]
280
+ },
281
+ {
282
+ "cell_type": "markdown",
283
+ "metadata": {},
284
+ "source": [
285
+ "## Feature Engineering\n",
286
+ "\n",
287
+ "The main drawback in this challenge would be to deal with the noise. To do that, we could create some feature that aggregate features with some statistics. \n",
288
+ "\n",
289
+ "The following cell computes statistics on a given target conditionally to some features. For example, we want to generate a feature that describe the mean of `RET_1` conditionally to the `SECTOR` and the `DATE`.\n",
290
+ "\n",
291
+ "**Ideas of improvement**: change shifts, the conditional features, the statistics, and the target. "
292
+ ]
293
+ },
294
+ {
295
+ "cell_type": "code",
296
+ "execution_count": 3,
297
+ "metadata": {},
298
+ "outputs": [],
299
+ "source": [
300
+ "# Feature engineering\n",
301
+ "new_features = []\n",
302
+ "\n",
303
+ "# Conditional aggregated features\n",
304
+ "shifts = [1] # Choose some different shifts\n",
305
+ "statistics = ['mean'] # the type of stat\n",
306
+ "gb_features = ['SECTOR', 'DATE']\n",
307
+ "target_feature = 'RET'\n",
308
+ "tmp_name = '_'.join(gb_features)\n",
309
+ "for shift in shifts:\n",
310
+ " for stat in statistics:\n",
311
+ " name = f'{target_feature}_{shift}_{tmp_name}_{stat}'\n",
312
+ " feat = f'{target_feature}_{shift}'\n",
313
+ " new_features.append(name)\n",
314
+ " for data in [train, test]:\n",
315
+ " data[name] = data.groupby(gb_features)[feat].transform(stat)"
316
+ ]
317
+ },
318
+ {
319
+ "cell_type": "markdown",
320
+ "metadata": {},
321
+ "source": [
322
+ "## Feature selection\n",
323
+ "\n",
324
+ "To reduce the number of feature (and the noise) we only consider the 5 last days of `RET` and `VOLUME` in addition to the newly created feature."
325
+ ]
326
+ },
327
+ {
328
+ "cell_type": "code",
329
+ "execution_count": 4,
330
+ "metadata": {},
331
+ "outputs": [
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+ {
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+ "data": {
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+ "text/html": [
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+ "<div>\n",
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+ "<style scoped>\n",
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+ " .dataframe tbody tr th:only-of-type {\n",
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+ " vertical-align: middle;\n",
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+ " }\n",
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+ "\n",
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+ " .dataframe tbody tr th {\n",
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+ " vertical-align: top;\n",
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+ " }\n",
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+ "\n",
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+ " .dataframe thead th {\n",
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+ " text-align: right;\n",
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+ " }\n",
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+ "</style>\n",
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+ "<table border=\"1\" class=\"dataframe\">\n",
350
+ " <thead>\n",
351
+ " <tr style=\"text-align: right;\">\n",
352
+ " <th></th>\n",
353
+ " <th>RET_1</th>\n",
354
+ " <th>RET_2</th>\n",
355
+ " <th>RET_3</th>\n",
356
+ " <th>RET_4</th>\n",
357
+ " <th>RET_5</th>\n",
358
+ " <th>VOLUME_1</th>\n",
359
+ " <th>VOLUME_2</th>\n",
360
+ " <th>VOLUME_3</th>\n",
361
+ " <th>VOLUME_4</th>\n",
362
+ " <th>VOLUME_5</th>\n",
363
+ " <th>RET_1_SECTOR_DATE_mean</th>\n",
364
+ " </tr>\n",
365
+ " <tr>\n",
366
+ " <th>ID</th>\n",
367
+ " <th></th>\n",
368
+ " <th></th>\n",
369
+ " <th></th>\n",
370
+ " <th></th>\n",
371
+ " <th></th>\n",
372
+ " <th></th>\n",
373
+ " <th></th>\n",
374
+ " <th></th>\n",
375
+ " <th></th>\n",
376
+ " <th></th>\n",
377
+ " <th></th>\n",
378
+ " </tr>\n",
379
+ " </thead>\n",
380
+ " <tbody>\n",
381
+ " <tr>\n",
382
+ " <th>0</th>\n",
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+ " <td>-0.015748</td>\n",
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+ " <td>-0.015504</td>\n",
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+ " <td>0.010972</td>\n",
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+ " <td>-0.014672</td>\n",
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+ " <td>0.016483</td>\n",
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+ " <td>0.147931</td>\n",
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+ " <td>0.179183</td>\n",
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+ " <td>0.033832</td>\n",
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+ " <td>-0.362868</td>\n",
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+ " <td>-0.972920</td>\n",
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+ " <td>0.009178</td>\n",
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+ " </tr>\n",
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+ " <tr>\n",
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+ " <th>1</th>\n",
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+ " <td>0.003984</td>\n",
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+ " <td>-0.090580</td>\n",
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+ " <td>0.018826</td>\n",
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+ " <td>-0.025540</td>\n",
401
+ " <td>-0.038062</td>\n",
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+ " <td>NaN</td>\n",
403
+ " <td>NaN</td>\n",
404
+ " <td>NaN</td>\n",
405
+ " <td>NaN</td>\n",
406
+ " <td>NaN</td>\n",
407
+ " <td>0.006477</td>\n",
408
+ " </tr>\n",
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+ " <tr>\n",
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+ " <th>2</th>\n",
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+ " <td>0.000440</td>\n",
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+ " <td>-0.058896</td>\n",
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+ " <td>-0.009042</td>\n",
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+ " <td>0.024852</td>\n",
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+ " <td>0.009354</td>\n",
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+ " <td>-0.096282</td>\n",
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+ " <td>0.084771</td>\n",
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+ " <td>-0.298777</td>\n",
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+ " <td>-0.157421</td>\n",
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+ " <td>0.091455</td>\n",
421
+ " <td>0.013449</td>\n",
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+ " </tr>\n",
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+ " <tr>\n",
424
+ " <th>3</th>\n",
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+ " <td>0.031298</td>\n",
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+ " <td>0.007756</td>\n",
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+ " <td>-0.004632</td>\n",
428
+ " <td>-0.019677</td>\n",
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+ " <td>0.003544</td>\n",
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+ " <td>-0.429540</td>\n",
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+ " <td>-0.089919</td>\n",
432
+ " <td>-0.639737</td>\n",
433
+ " <td>-0.940163</td>\n",
434
+ " <td>-0.882464</td>\n",
435
+ " <td>0.017253</td>\n",
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+ " </tr>\n",
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+ " <tr>\n",
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+ " <th>4</th>\n",
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+ " <td>0.027273</td>\n",
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+ " <td>-0.039302</td>\n",
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+ " <td>0.000000</td>\n",
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+ " <td>0.000000</td>\n",
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+ " <td>0.022321</td>\n",
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+ " <td>-0.847155</td>\n",
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+ " <td>-0.943033</td>\n",
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+ " <td>-1.180629</td>\n",
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+ " <td>-1.313896</td>\n",
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+ " <td>-1.204398</td>\n",
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+ " <td>0.006241</td>\n",
450
+ " </tr>\n",
451
+ " </tbody>\n",
452
+ "</table>\n",
453
+ "</div>"
454
+ ],
455
+ "text/plain": [
456
+ " RET_1 RET_2 RET_3 RET_4 RET_5 VOLUME_1 VOLUME_2 \\\n",
457
+ "ID \n",
458
+ "0 -0.015748 -0.015504 0.010972 -0.014672 0.016483 0.147931 0.179183 \n",
459
+ "1 0.003984 -0.090580 0.018826 -0.025540 -0.038062 NaN NaN \n",
460
+ "2 0.000440 -0.058896 -0.009042 0.024852 0.009354 -0.096282 0.084771 \n",
461
+ "3 0.031298 0.007756 -0.004632 -0.019677 0.003544 -0.429540 -0.089919 \n",
462
+ "4 0.027273 -0.039302 0.000000 0.000000 0.022321 -0.847155 -0.943033 \n",
463
+ "\n",
464
+ " VOLUME_3 VOLUME_4 VOLUME_5 RET_1_SECTOR_DATE_mean \n",
465
+ "ID \n",
466
+ "0 0.033832 -0.362868 -0.972920 0.009178 \n",
467
+ "1 NaN NaN NaN 0.006477 \n",
468
+ "2 -0.298777 -0.157421 0.091455 0.013449 \n",
469
+ "3 -0.639737 -0.940163 -0.882464 0.017253 \n",
470
+ "4 -1.180629 -1.313896 -1.204398 0.006241 "
471
+ ]
472
+ },
473
+ "execution_count": 4,
474
+ "metadata": {},
475
+ "output_type": "execute_result"
476
+ }
477
+ ],
478
+ "source": [
479
+ "target = 'RET'\n",
480
+ "\n",
481
+ "n_shifts = 5 # If you don't want all the shifts to reduce noise\n",
482
+ "features = ['RET_%d' % (i + 1) for i in range(n_shifts)]\n",
483
+ "features += ['VOLUME_%d' % (i + 1) for i in range(n_shifts)]\n",
484
+ "features += new_features # The conditional features\n",
485
+ "train[features].head()"
486
+ ]
487
+ },
488
+ {
489
+ "cell_type": "markdown",
490
+ "metadata": {},
491
+ "source": [
492
+ "## Model and local score\n",
493
+ "\n",
494
+ "A Random Forest (RF) model is chosen for the Benchmark. We consider a large number of tree with a quiet small depth. The missing values are simply filled with 0. A KFold is done on the dates (using `DATE`) for a local scoring of the model. \n",
495
+ "\n",
496
+ "**Ideas of improvements**: Tune the RF hyperparameters, deal with the missing values, change the features, consider another model, ..."
497
+ ]
498
+ },
499
+ {
500
+ "cell_type": "code",
501
+ "execution_count": 5,
502
+ "metadata": {},
503
+ "outputs": [
504
+ {
505
+ "name": "stdout",
506
+ "output_type": "stream",
507
+ "text": [
508
+ "Fold 1 - Accuracy: 51.87%\n",
509
+ "Fold 2 - Accuracy: 50.65%\n",
510
+ "Fold 3 - Accuracy: 51.11%\n",
511
+ "Fold 4 - Accuracy: 52.10%\n",
512
+ "Accuracy: 51.43% [50.85 ; 52.02] (+- 0.58)\n"
513
+ ]
514
+ }
515
+ ],
516
+ "source": [
517
+ "X_train = train[features]\n",
518
+ "y_train = train[target]\n",
519
+ "\n",
520
+ "# A quiet large number of trees with low depth to prevent overfits\n",
521
+ "rf_params = {\n",
522
+ " 'n_estimators': 500,\n",
523
+ " 'max_depth': 2**3,\n",
524
+ " 'random_state': 0,\n",
525
+ " 'n_jobs': -1\n",
526
+ "}\n",
527
+ "\n",
528
+ "train_dates = train['DATE'].unique()\n",
529
+ "test_dates = test['DATE'].unique()\n",
530
+ "\n",
531
+ "n_splits = 4\n",
532
+ "scores = []\n",
533
+ "models = []\n",
534
+ "\n",
535
+ "splits = KFold(n_splits=n_splits, random_state=0,\n",
536
+ " shuffle=True).split(train_dates)\n",
537
+ "\n",
538
+ "for i, (local_train_dates_ids, local_test_dates_ids) in enumerate(splits):\n",
539
+ " local_train_dates = train_dates[local_train_dates_ids]\n",
540
+ " local_test_dates = train_dates[local_test_dates_ids]\n",
541
+ "\n",
542
+ " local_train_ids = train['DATE'].isin(local_train_dates)\n",
543
+ " local_test_ids = train['DATE'].isin(local_test_dates)\n",
544
+ "\n",
545
+ " X_local_train = X_train.loc[local_train_ids]\n",
546
+ " y_local_train = y_train.loc[local_train_ids]\n",
547
+ " X_local_test = X_train.loc[local_test_ids]\n",
548
+ " y_local_test = y_train.loc[local_test_ids]\n",
549
+ "\n",
550
+ " X_local_train = X_local_train.fillna(0)\n",
551
+ " X_local_test = X_local_test.fillna(0)\n",
552
+ "\n",
553
+ " model = RandomForestClassifier(**rf_params)\n",
554
+ " model.fit(X_local_train, y_local_train)\n",
555
+ "\n",
556
+ " y_local_pred = model.predict_proba(X_local_test)[:, 1]\n",
557
+ " \n",
558
+ " sub = train.loc[local_test_ids].copy()\n",
559
+ " sub['pred'] = y_local_pred\n",
560
+ " y_local_pred = sub.groupby('DATE')['pred'].transform(lambda x: x > x.median()).values\n",
561
+ "\n",
562
+ " models.append(model)\n",
563
+ " score = accuracy_score(y_local_test, y_local_pred)\n",
564
+ " scores.append(score)\n",
565
+ " print(f\"Fold {i+1} - Accuracy: {score* 100:.2f}%\")\n",
566
+ "\n",
567
+ "mean = np.mean(scores)*100\n",
568
+ "std = np.std(scores)*100\n",
569
+ "u = (mean + std)\n",
570
+ "l = (mean - std)\n",
571
+ "print(f'Accuracy: {mean:.2f}% [{l:.2f} ; {u:.2f}] (+- {std:.2f})')"
572
+ ]
573
+ },
574
+ {
575
+ "cell_type": "code",
576
+ "execution_count": 6,
577
+ "metadata": {},
578
+ "outputs": [
579
+ {
580
+ "data": {
581
+ "text/plain": [
582
+ "<matplotlib.axes._subplots.AxesSubplot at 0x1a384bc7848>"
583
+ ]
584
+ },
585
+ "execution_count": 6,
586
+ "metadata": {},
587
+ "output_type": "execute_result"
588
+ },
589
+ {
590
+ "data": {
591
+ "image/png": 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RsTV9uw8wDKi4rJ2kmcBMgH3HjGhkCNZEsW0XbO57At+4eWPvlcysLk7gLU7SEGAycF2meEK6bniXCyPi3n60fSfwfuDHJKPwbiJiPjAf4KAjxnjt2oLSAUMr/4XWg7H7v61hfZdKpYa1ZdZKnMBbV1uapNuBlcBdmX2VptBrFhFTJO0L3AT8UVkf1kKGfnJsTfUX+klsZgPOd6G3rq5r4ONIprgHZGWxiPgfYCkwdSDaNzOzypzAW1xEbAFmA5dKGtqINiWNkHRI+n4f4E+AnzeibTMz6xsn8EEgIh4FHgOmpUUTJK3OvGbX2OT+wFJJj6ftvgh4ztTMrIl8DbxFRcSIsu1TM5ttVY67Ebixl7ZfAN5XR3hmZlYnj8DNzMwKyCNwq0rSgyRPaMs6JyLW1NrWkQeP8zrRZmYN4gRuVUXEB/KOwczMuvMUupmZWQE5gZuZmRWQp9Ctada9somP3/btvMOwJvjRGZ/LOwSzlucRuJmZWQE5gZuZmRWQE7iZmVkBOYGbmZkVkBO4mZlZAfku9BYlaTewhuRn/CzJ09M2S2oHngLWZqpfSbLc6HBgFMmz0jem+06PiA1lbe8H3AJMAHYDd0TE3w/UZzEzs+6cwFtX13rgSFpAkqDnpPvWd+3LWJjWnQFMiohZvbT/LxGxXNIw4CeSPhYRP25c+JaH3y69h9i2ve52pi+5rwHRQKlUoqOjoyFtmbUaJ/DB4X7gmEY1FhE7gOXp+99KWgUcVqmupJnATIB9R49qVAg2QGLbdmJLZ93tbGxAG2ZWnRN4i5M0BJgMXJcpniBpdWb7woi4t5/tHwycClxVaX9EzAfmAxw0YVz0pw9rHh2wf0PaOXTEQQ1pp1QqNaQds1bkBN662tIk3Q6sBO7K7Ks0hV4zSfsANwPzIuIX9bZn+Rt22kca0s5CP4nNbMD5LvTW1XUNfBwwjOQaeKPNB9ZFxL8NQNtmZlaFE3iLi4gtwGzgUklDG9WupCuAg4CLG9WmmZn1nRP4IBARjwKPAdPSogmSVmdes2tpT9JhwGXAu4FVaRt/2diozcysGl8Db1ERMaJs+9TMZluV424Ebuyl7ecB1RGemZnVySNwMzOzAvII3KqS9CDJE9qyzomINbW2deTIMV4n2sysQZzAraqI+EDeMZiZWXeeQjczMysgJ3AzM7MC8hS6Nc0zr2zmtFuX5B2G9dPSM6fmHYKZZXgEbmZmVkBO4GZmZgXkBG5mZlZATuBmZmYF5ARuZmZWQL4LvUVJ2g2sIfkZP0vy9LTNktqBp4C1mepXkiw3OhwYRfKs9I3pvtMjYkOF9lcAhwA706KPRsSLjf4cZmZWmRN46+paDxxJC0gS9Jx03/qufRkL07ozgEkRMasPfXw2Ih5pULzWRDvv+AGxbVtNx0xfelvN/ZRKJTo6Omo+zsx65wQ+ONwPHJNHx5JmAjMB2kaPySMEqyC2bSO2bK7pmI011jezgeUE3uIkDQEmA9dliidIWp3ZvjAi7u1H8zekU/W3AVdERJRXiIj5wHyAgycc0W2/5UMHHFDzMYeO2L/mY0qlUs3HmFnfOIG3rrY0SbcDK4G7MvsqTaHX6rMRsVHSASQJ/BzSaXjb+7Wd+smaj1noJ7GZ7VV8F3rr6roGPg4YRnINvGEiYmP67zbgu8D7G9m+mZlV5wTe4iJiCzAbuFTS0Ea0KWkfSaPT90OBTwA/a0TbZmbWN07gg0BEPAo8BkxLiyZIWp15za6xyeHAnZIeB1aTfOXs3xsXsZmZ9cbXwFtURIwo2z41s9lW5bgbgRt7aXs78N46wjMzszp5BG5mZlZAHoFbVZIeJJkyzzonItbU2tYRIw/2mtJmZg3iBG5VRcQH8o7BzMy68xS6mZlZATmBm5mZFZCn0K1pfvHKTj59m78u3le3nHF03iGY2V7MI3AzM7MCcgI3MzMrICdwMzOzAnICNzMzKyAn8JxIWiFpSlnZxZKulTRR0t2Snpa0TtJXJCmtM0PS1RXa6yzbfqOepMslhaQjMvsvScsmpdsbJK3JPB99XpXYvyrp8bTeMkmH1nc2zMysVk7g+bmZPYuLdJmWli8F/ikijgKOBf4AOL/O/taU9Xcm8GRZnZMi4rj0VW2Bk69HxDHpcqU/BP5XnbGZmVmN/DWy/NwKXCFpeES8KqkdOBQ4CrgvIpYBRMQOSbOAFcA1dfR3OzA17XM8sAXY1Z+GImJrZnN/IOqIy8psXXotr297melLhgFQKpXo6OjIOSoz29s4geckIl6S9BBwCrCEZHS8GJgIrCyru17SCEkH1tHlVuA5SUeTJPLFwLlldZZL2p2+XxARc3tqTNIcYDrJHwInVak3E5gJsN/oQ/of/SDy+raXeX3LJjZuyTsSM9ubeQo9X9lp9K7pc9HziLbWkW55/UVpP6cDP6hQPzuF3mPyBoiIyyLicOAmYFaVevMjYlJETBp+4Mgawx+c3nLAKN5y0BjGjh3L2LFjKZVKeYdkZnshj8DzdTtwpaTjgbaIWJW+/3C2Ujrl3RkR29J72SrZKWlYRPw23R4F/Kaszh3A14FHImJrlbZq8V3gR8A/NKIxgwNPS253WOgnsZlZFR6B5ygiOkmubV9PMvqGZER7oqSTASS1AfOA3i6C3gOcnTnmLGB5WX87gS8Cc+qJW9KRmc3TgJ/X056ZmdXOI/D83Qx8n3QqPSJ2SpoKfEPSNcAQ4DtA9qtjMySdntn+IHAR8G1Js0mm4RdGxE/LO4uIRVViyV4DfzwipvdQ758kvQt4Hfgv4K97+5BmZtZYivANxNYcoyZMjMkdi/MOozC8mImZAUhaGRGTyss9hW5mZlZAnkK3HqVT+CeUFV8VETfkEY+Zme3hBG49iogLGtne+JFtnhY2M2sQT6GbmZkVkBO4mZlZAXkK3ZrmlVde43u3lT9bZnA764zReYdgZgXlEbiZmVkBOYGbmZkVkBO4mZlZATmBm5mZFZATuJmZWQE5gedE0gpJU8rKLpZ0raSJku6W9LSkdZK+onTtT0kzJF1dob3Osu036km6XFJIOiKz/5K0bFK6vUHSGkmr09e8KrF/XdLPJT0u6QeSDq7vbJiZWa38NbL83EyyAtmdmbJpwBeApcDnI2KZpP2A24DzgWvq6G9N2v4V6faZwJNldU6KiL58z+su4EsR8Zqkfwa+RLJMqfXgR0vnsG3bpm7lP1zS89/QpVKJjo7eVpE1s8HKCTw/twJXSBoeEa9KagcOBY4C7ouIZQARsUPSLJJ1w+tJ4LcDU9M+xwNbgF39aagrttQDJH8MVCRpJjATYPTow/rTXUvYtm0TW7b8d7fyLVtyCMbMWoITeE4i4iVJDwGnAEtIRseLgYnAyrK66yWNkHRgHV1uBZ6TdDRJIl8MnFtWJ7se+IKImNuHds9L26ooIuYD8wEmTDhu0K5de8ABYyqWjxhRfQRuZtYTJ/B8dU2jdyXw84BzgJ4SXa0JsLz+orSfKcBkuifwvk6hAyDpMuA14KYa4xp0Pn7aZRXL/SQ2M+sv38SWr9uByZKOB9oiYhXwBPCmhdvTKe/OiNhWpa2dkoZltkcB5cn4DpI/EH4ZEVvrCVzSnwOfAD4bEYN2ZG1mlhcn8BxFRCfJte3rSUbjkIxmT5R0MoCkNmAe0NvdTPcAZ2eOOQtYXtbfTpKbzebUE7ekU9J2TouIHfW0ZWZm/eMEnr+bgWNJpre7kuxU4MuS1pLcPf4wkP3q2AxJz2dehwEXAZ+StJrkxrJbIuKn5Z1FxKJ0pF/J8szXyBZWiflq4ADgrrTut2r7yGZmVi959tOaZcKE4+JrHf+Zdxh7FV8DN7PeSFoZEZPKyz0CNzMzKyDfhW49knQNcEJZ8VURcUN/2hs5ch+POM3MGsQJ3HoUERfkHYOZmVXmKXQzM7MCcgI3MzMrIE+hW9P8z6Zd/PzaF/IOY6/xO+e/Pe8QzKzAPAI3MzMrICdwMzOzAnICNzMzKyAncDMzswJyAjczMysgJ/CcSFohaUpZ2cWSrpU0UdLdkp6WtE7SVyQprTND0tUV2uss236jnqTLJYWkIzL7L0nLJqXbGyStySxmMq9K7JdL2pip+yf1nQ0zM6uVv0aWn5uBacCdmbJpwBeApcDnI2KZpP2A24DzgWvq6G9N2v4V6faZwJNldU6KiPI1xHsyNyL+pY54BpVv3Ps1Xt6x6U1lQx8YUrFuqVSio6O31WPNbLBzAs/PrcAVkoZHxKuS2oFDgaOA+yJiGUBE7JA0i2Td8HoS+O0ky5ReIWk8sAXYVUd7fSJpJjAT4NBRhw10d3utl3ds4sXOX7+5sLNyXTOzvnACz0lEvCTpIeAUYAnJ6HgxMBFYWVZ3vaQRkg6so8utwHOSjiZJ5IuBc8vqLJe0O32/ICLmVmlvlqTpwCPA30bEK5UqRcR8YD7A0eOOHbRr147ab0y3sqEH9TwCNzPrjRN4vrqm0bsS+HnAOUBPia7WBFhef1HazxRgMt0TeF+n0L8JfDVt/6vAv5LEbj248ENf6lbmJ7GZWT18E1u+bgcmSzoeaIuIVcATwJsWbk+nvDsjYluVtnZKGpbZHgWUJ+M7SP5A+GVEbO1v0BHxQkTsjojXgX8H3t/ftszMrH+cwHMUEZ0k17avJxmNA9wEnCjpZABJbcA8oLe7mu4Bzs4ccxawvKy/ncAXgTn1xC3pkMzmJ4Gf1dOemZnVzlPo+bsZ+D7J1DYRsVPSVOAbkq4BhgDfAbJfHZsh6fTM9geBi4BvS5oNCFgYET8t7ywiFlWJJXsN/PGImN5DvQ5Jx5FMoW8APtfLZzQzswZTxKC9r8ia7Ohxx8atX1yWdxh7DV8DN7O+kLQyIiaVl3sK3czMrIA8hW49SqfwTygrvioibuhPe/uOGepRp5lZgziBW48i4oK8YzAzs8o8hW5mZlZATuBmZmYF5Cl0a5pdL2znhX97KO8wcvH2i/2sGzNrLI/AzczMCsgJ3MzMrICcwM3MzArICdzMzKyAnMDNzMwKyAk8J5JWSJpSVnaxpGslTZR0t6SnJa2T9BVJSuvMkHR1hfY6y7bfqCfpckkh6YjM/kvSsknp9gZJayStTl/z+vAZLk3bGN2/s2BmZv3lr5Hl52aSFcjuzJRNA74ALAU+HxHLJO0H3AacD1xTR39r0vavSLfPBJ4sq3NSRJSvIV6RpMOBPwZ+WUdMLe9r91/Hpp2vMGTVvm8qL5VKdHT0tkKsmVnPnMDzcytwhaThEfGqpHbgUOAo4L6IWAYQETskzSJZN7yeBH47MDXtczywBdhVR3tzgb8DllSrJGkmMBPgsJGlOrorpk07X+HX21+C7XlHYmatxgk8JxHxkqSHgFNIkuA0YDEwEVhZVne9pBGSDqyjy63Ac5KOJknki4Fzy+pk1wNfEBFzKzUk6TRgY0Q8ls7s9ygi5gPzAY49/HcH3dq1Y9pGAjDk4O4jcDOzejiB56trGr0rgZ8HnAP0lOhqTYDl9Rel/UwBJtM9gfc6hZ5O6V8GfLTGWAalL/3+XwB+EpuZNZ5vYsvX7cBkSccDbRGxCngCeNPC7emUd2dEbKvS1k5JwzLbo4DyZHwHyR8Iv4yIrf2MeQLwTuAxSRuAw4BVkjykNDNrIifwHEVEJ8m17etJRuMANwEnSjoZQFIbMA/o7Y6ne4CzM8ecBSwv628n8EVgTh0xr4mIt0VEe0S0A88Dx0fEr/vbppmZ1c4JPH83A8eSTG93JdmpwJclrSW5e/xhIPvVsRmSns+8DgMuAj4laTXwAHBLRPy0vLOIWJSO9CtZnvka2cKGfUIzM2s4RQy6+4osJ8ce/rux7G8X5B1GLnwN3Mz6S9LKiJhUXu4RuJmZWQH5LnTrkaRrgBPKiq+KiBv6097Qt+/vkaiZWYM4gVuPIuKCvGMwM7PKfA3cmkbSNmBt3nHsJUbT/Wt+g5nPxx4+F3v4XCTGRcSY8kKPwK2Z1la6EWMwkvSIz8UePh97+Fzs4XNRnW9iMzMzKyAncDMzswJyArdmmp93AHsRn4s38/nYw+diD5+LKnwTm5mZWQF5BG5mZlZATuBmZmYF5ARudZN0iqS1kp6R9PcV9g+XtDjd/6Ck9sy+L6XlayVNaWbcA6W/50NSu7Nqy0EAAAMmSURBVKSdmQVlvtXs2ButD+fiw5JWSXpN0pll+/5c0rr09efNi3pg1Hkudmd+L5Y2L+qB04fz8TeSnpT0uKSfSBqX2ddSvxv9FhF++dXvFzAEWA+MB4YBjwHvLqtzPvCt9P00YHH6/t1p/eEka4yvB4bk/ZlyPB/twM/y/gxNPhftwDHAQuDMTPko4BfpvyPT9yPz/kx5nIt0X2fenyGH83ESsF/6/vOZ/yct9btRz8sjcKvX+4FnIuIXEfFbkmVRp5bVmQp0LUN2KzBZktLyRRHxakQ8CzyTtldk9ZyPVtPruYiIDRHxOPB62bFTgLsi4uWIeAW4CzilGUEPkHrORSvqy/lYHhE70s0HgMPS9632u9FvTuBWr7HAc5nt59OyinUi4jVgC/DWPh5bNPWcD4B3SnpU0j2SPjTQwQ6wen6+rfa7Ue/n2VfSI5IekHR6Y0PLRa3n4y+AH/fz2JblR6lavSqNHMu/m9hTnb4cWzT1nI//Bt4RES9Jei9wu6SJEbG10UE2ST0/31b73aj387wjIn4laTxwt6Q1EbG+QbHloc/nQ9LZwCTgI7Ue2+o8Ard6PQ8cntk+DPhVT3Uk7QMcBLzcx2OLpt/nI72U8BJARKwkuUZ41IBHPHDq+fm22u9GXZ8nIn6V/vsLYAXwe40MLgd9Oh+STgYuA06LiFdrOXYwcAK3ej0MHCnpnZKGkdyUVX6X7FKg607RM4G7I7kbZSkwLb0r+53AkcBDTYp7oPT7fEgaI2kIQDrSOpLkBp2i6su56MmdwEcljZQ0EvhoWlZU/T4X6TkYnr4fDZwAPDlgkTZHr+dD0u8B3yZJ3i9mdrXa70b/5X0XnV/FfwF/AjxNMmK8LC37R5L/eAD7AreQ3KT2EDA+c+xl6XFrgY/l/VnyPB/AGcATJHfkrgJOzfuzNOFcvI9kRLUdeAl4InPseek5egY4N+/Pkte5AP4AWJP+XqwB/iLvz9Kk8/GfwAvA6vS1tFV/N/r78qNUzczMCshT6GZmZgXkBG5mZlZATuBmZmYF5ARuZmZWQE7gZmZmBeQEbmZmVkBO4GZmZgX0/wGKQfJSjXsafAAAAABJRU5ErkJggg==\n",
592
+ "text/plain": [
593
+ "<Figure size 432x288 with 1 Axes>"
594
+ ]
595
+ },
596
+ "metadata": {
597
+ "needs_background": "light"
598
+ },
599
+ "output_type": "display_data"
600
+ }
601
+ ],
602
+ "source": [
603
+ "feature_importances = pd.DataFrame([model.feature_importances_ for model in models], columns=features)\n",
604
+ "\n",
605
+ "sns.barplot(data=feature_importances, orient='h', order=feature_importances.mean().sort_values(ascending=False).index)"
606
+ ]
607
+ },
608
+ {
609
+ "cell_type": "markdown",
610
+ "metadata": {},
611
+ "source": [
612
+ "## Generate the submission\n",
613
+ "\n",
614
+ "The same parameters of the RF model are considered. With that we build a new RF model on the entire `train` dataset. The predictions are saved in a `.csv` file."
615
+ ]
616
+ },
617
+ {
618
+ "cell_type": "code",
619
+ "execution_count": 7,
620
+ "metadata": {},
621
+ "outputs": [],
622
+ "source": [
623
+ "X_test = test[features]\n",
624
+ "\n",
625
+ "rf_params['random_state'] = 0\n",
626
+ "model = RandomForestClassifier(**rf_params)\n",
627
+ "model.fit(X_train.fillna(0), y_train)\n",
628
+ "y_pred = model.predict_proba(X_test.fillna(0))[:, 1]\n",
629
+ "\n",
630
+ "sub = test.copy()\n",
631
+ "sub['pred'] = y_pred\n",
632
+ "y_pred = sub.groupby('DATE')['pred'].transform(\n",
633
+ " lambda x: x > x.median()).values\n",
634
+ "\n",
635
+ "submission = pd.Series(y_pred)\n",
636
+ "submission.index = test.index\n",
637
+ "submission.name = target\n",
638
+ "\n",
639
+ "submission.to_csv('./benchmark_qrt.csv', index=True, header=True)"
640
+ ]
641
+ },
642
+ {
643
+ "cell_type": "markdown",
644
+ "metadata": {},
645
+ "source": [
646
+ "\n",
647
+ "The local accuracy is around 51. If we did not overfit, we shall expect something within the range above.\n",
648
+ "\n",
649
+ "After submitting the benchmark file at https://challengedata.ens.fr, we obtain a public score of 51.31 %."
650
+ ]
651
+ }
652
+ ],
653
+ "metadata": {
654
+ "hide_input": false,
655
+ "kernelspec": {
656
+ "display_name": "Python 3",
657
+ "language": "python",
658
+ "name": "python3"
659
+ },
660
+ "language_info": {
661
+ "codemirror_mode": {
662
+ "name": "ipython",
663
+ "version": 3
664
+ },
665
+ "file_extension": ".py",
666
+ "mimetype": "text/x-python",
667
+ "name": "python",
668
+ "nbconvert_exporter": "python",
669
+ "pygments_lexer": "ipython3",
670
+ "version": "3.7.5"
671
+ },
672
+ "toc": {
673
+ "base_numbering": 1,
674
+ "nav_menu": {},
675
+ "number_sections": true,
676
+ "sideBar": true,
677
+ "skip_h1_title": false,
678
+ "title_cell": "Table of Contents",
679
+ "title_sidebar": "Contents",
680
+ "toc_cell": false,
681
+ "toc_position": {},
682
+ "toc_section_display": true,
683
+ "toc_window_display": false
684
+ }
685
+ },
686
+ "nbformat": 4,
687
+ "nbformat_minor": 2
688
+ }
Benchmark_QRT_aw81ejz/benchmark_qrt.csv ADDED
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