fix: backtest

Signed-off-by: Avik Basu <[email protected]>
numaproj · Feb 5, 2024 · 9de1e83 · 9de1e83
1 parent c418b5a
commit 9de1e83
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Showing 2 changed files with 8 additions and 12 deletions.
diff --git a/numalogic/backtest/_prom.py b/numalogic/backtest/_prom.py
@@ -204,14 +204,12 @@ def generate_scores(
  thresh_out = postproc_udf.compute_threshold(artifacts["threshold_clf"], x_recon[idx])
  raw_scores[idx] = thresh_out
 
- feature_scores[idx] = postproc_udf.compute_feature_scores(
- raw_scores[idx], self.nlconf.score
- )
+ winscores = postproc_udf.compute_feature_scores(raw_scores[idx], self.nlconf.score)
 
- postproc_out = postproc_udf.compute_postprocess(postproc_func, feature_scores[idx])
+ feature_scores[idx] = postproc_udf.compute_postprocess(postproc_func, winscores)
 
  unified_scores[idx] = postproc_udf.compute_unified_score(
- postproc_out, self.nlconf.score
+ feature_scores[idx], self.nlconf.score
  )
 
  x_recon = inverse_window(torch.from_numpy(x_recon), method="keep_first").numpy()
@@ -324,12 +322,10 @@ def _construct_output(
  index=ts_idx,
  )
  else:
- postproc_df = (
- pd.DataFrame(
- postproc_out,
- columns=["unified"],
- index=ts_idx,
- ),
+ postproc_df = pd.DataFrame(
+ postproc_out,
+ columns=["unified"],
+ index=ts_idx,
  )
 
  dfs = {

diff --git a/numalogic/config/_config.py b/numalogic/config/_config.py
@@ -120,7 +120,7 @@ class AggregatorConf:
 @dataclass
 class ScoreConf:
  window_agg: AggregatorConf = field(
- default_factory=lambda: AggregatorConf(method=AggMethod.EXP, conf=dict(beta=0.6))
+ default_factory=lambda: AggregatorConf(method=AggMethod.MEAN)
  )
  feature_agg: AggregatorConf = field(
  default_factory=lambda: AggregatorConf(method=AggMethod.MAX)