🎯 项目成果: - 准确率: 53.10% (2026年测试集) - 任务类型: 二分类 (预测涨/跌) - 特征: OHLCV + RSI + MACD (9个特征) - 训练数据: 2020-2025年BTC小时数据 (52,351序列) - 测试数据: 2026年1-29日 (484序列) 📊 性能指标: - 精确率: 51.79% - 召回率: 49.36% - F1分数: 0.5054 - 预测分布: 非常平衡 (偏差仅-11个) 🔬 实验历史: - 尝试了5种方案 (回归/分类, 不同数据划分) - 分类任务优于回归任务 (53.10% vs 49.5%) - 全量训练避免了过拟合问题 📦 主要模型文件: - models/checkpoints/dlinear_classification_2026/ - best_model.pt (最佳模型) - preprocessor.pkl (预处理器) - test_2026_results.json (测试结果) Co-Authored-By: Claude Sonnet 4.5 <noreply@anthropic.com>
297 lines
9.0 KiB
Python
297 lines
9.0 KiB
Python
"""Model evaluation metrics and utilities."""
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from typing import Dict, Literal
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import numpy as np
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import torch
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from sklearn.metrics import (
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accuracy_score,
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precision_score,
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recall_score,
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f1_score,
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confusion_matrix,
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mean_squared_error,
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mean_absolute_error
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)
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class ModelEvaluator:
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"""Evaluate model performance with task-specific metrics."""
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def __init__(self, task: Literal['classification', 'regression']):
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"""Initialize evaluator.
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Args:
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task: Task type ('classification' or 'regression')
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"""
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self.task = task
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def evaluate(
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self,
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y_true: np.ndarray,
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y_pred: np.ndarray,
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y_prob: np.ndarray = None
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) -> Dict[str, float]:
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"""Compute evaluation metrics.
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Args:
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y_true: True labels
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y_pred: Predicted labels/values
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y_prob: Prediction probabilities (for classification)
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Returns:
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Dictionary of metrics
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"""
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if self.task == 'classification':
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return self._evaluate_classification(y_true, y_pred, y_prob)
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else:
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return self._evaluate_regression(y_true, y_pred)
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def _evaluate_classification(
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self,
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y_true: np.ndarray,
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y_pred: np.ndarray,
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y_prob: np.ndarray = None
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) -> Dict[str, float]:
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"""Compute classification metrics.
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Args:
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y_true: True labels (0 or 1)
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y_pred: Predicted labels (0 or 1)
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y_prob: Prediction probabilities
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Returns:
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Dictionary of classification metrics
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"""
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metrics = {
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'accuracy': accuracy_score(y_true, y_pred),
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'precision': precision_score(y_true, y_pred, zero_division=0),
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'recall': recall_score(y_true, y_pred, zero_division=0),
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'f1': f1_score(y_true, y_pred, zero_division=0)
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}
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# Confusion matrix
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cm = confusion_matrix(y_true, y_pred)
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if cm.shape == (2, 2):
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tn, fp, fn, tp = cm.ravel()
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metrics['true_negatives'] = int(tn)
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metrics['false_positives'] = int(fp)
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metrics['false_negatives'] = int(fn)
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metrics['true_positives'] = int(tp)
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# Specificity
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if (tn + fp) > 0:
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metrics['specificity'] = tn / (tn + fp)
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# Directional accuracy (if probabilities provided)
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if y_prob is not None:
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metrics['mean_confidence'] = float(np.mean(y_prob))
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return metrics
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def _evaluate_regression(
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self,
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y_true: np.ndarray,
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y_pred: np.ndarray
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) -> Dict[str, float]:
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"""Compute regression metrics.
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Args:
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y_true: True values
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y_pred: Predicted values
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Returns:
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Dictionary of regression metrics
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"""
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# Basic regression metrics
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mse = mean_squared_error(y_true, y_pred)
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mae = mean_absolute_error(y_true, y_pred)
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rmse = np.sqrt(mse)
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# MAPE (Mean Absolute Percentage Error)
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# Avoid division by zero
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epsilon = 1e-8
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mape = np.mean(np.abs((y_true - y_pred) / (np.abs(y_true) + epsilon))) * 100
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# Directional accuracy (sign agreement)
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directional_accuracy = np.mean(np.sign(y_true) == np.sign(y_pred))
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metrics = {
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'mse': float(mse),
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'rmse': float(rmse),
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'mae': float(mae),
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'mape': float(mape),
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'directional_accuracy': float(directional_accuracy)
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}
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return metrics
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def backtest_strategy(
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self,
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y_true: np.ndarray,
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y_pred: np.ndarray,
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initial_capital: float = 10000.0,
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transaction_cost: float = 0.001
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) -> Dict[str, float]:
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"""Simple backtesting with long/short strategy.
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Args:
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y_true: True returns
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y_pred: Predicted labels (classification) or returns (regression)
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initial_capital: Starting capital
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transaction_cost: Transaction cost per trade (e.g., 0.001 = 0.1%)
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Returns:
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Dictionary of backtest metrics
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"""
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capital = initial_capital
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positions = []
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returns_list = []
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for i in range(len(y_pred)):
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if self.task == 'classification':
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# Classification: y_pred已经是0/1的标签(不是概率)
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# 1 = buy, 0 = sell/short
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position = 1 if y_pred[i] == 1 else -1
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else:
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# Regression: positive prediction = buy, negative = sell
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position = 1 if y_pred[i] > 0 else -1
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# Calculate return based on position
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actual_return = y_true[i]
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strategy_return = position * actual_return
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# Apply transaction cost if position changes
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if i > 0 and positions[-1] != position:
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strategy_return -= transaction_cost
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# Update capital
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capital *= (1 + strategy_return)
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positions.append(position)
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returns_list.append(strategy_return)
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# Calculate metrics
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returns_array = np.array(returns_list)
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total_return = (capital - initial_capital) / initial_capital
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# Sharpe ratio (annualized, assuming hourly data)
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# For hourly data: sqrt(24 * 365) ≈ 93
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if len(returns_array) > 0 and returns_array.std() > 0:
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sharpe_ratio = (returns_array.mean() / returns_array.std()) * np.sqrt(93)
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else:
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sharpe_ratio = 0.0
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# Maximum drawdown
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cumulative = np.cumprod(1 + returns_array)
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running_max = np.maximum.accumulate(cumulative)
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drawdown = (cumulative - running_max) / running_max
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max_drawdown = float(drawdown.min())
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# Win rate
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win_rate = np.mean(returns_array > 0)
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return {
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'total_return': float(total_return),
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'final_capital': float(capital),
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'sharpe_ratio': float(sharpe_ratio),
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'max_drawdown': float(max_drawdown),
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'win_rate': float(win_rate),
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'num_trades': int(np.sum(np.diff(positions) != 0))
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}
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def evaluate_model(
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model: torch.nn.Module,
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dataloader: torch.utils.data.DataLoader,
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task: Literal['classification', 'regression'],
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device: str = 'cpu'
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) -> Dict[str, float]:
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"""Evaluate a model on a dataset.
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Args:
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model: PyTorch model
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dataloader: DataLoader with evaluation data
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task: Task type
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device: Device to run evaluation on
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Returns:
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Dictionary of evaluation metrics
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"""
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model.eval()
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model = model.to(device)
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all_preds = []
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all_probs = []
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all_labels = []
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with torch.no_grad():
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for batch_X, batch_y in dataloader:
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batch_X = batch_X.to(device)
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batch_y = batch_y.to(device)
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# Forward pass
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outputs = model(batch_X).squeeze()
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if task == 'classification':
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# 注意:修复后的模型输出logits,需要应用sigmoid得到概率
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probs = torch.sigmoid(outputs).cpu().numpy()
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preds = (probs > 0.5).astype(int)
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# 确保是1维数组
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if probs.ndim == 0:
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probs = np.array([probs])
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if preds.ndim == 0:
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preds = np.array([preds])
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all_probs.extend(probs.flatten())
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all_preds.extend(preds.flatten())
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else:
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# Regression predictions
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preds = outputs.cpu().numpy()
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if preds.ndim == 0:
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preds = np.array([preds])
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all_preds.extend(preds.flatten())
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# Labels
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labels = batch_y.cpu().numpy()
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if labels.ndim == 0:
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labels = np.array([labels])
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all_labels.extend(labels.flatten())
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# Convert to arrays
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y_true = np.array(all_labels)
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y_pred = np.array(all_preds)
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y_prob = np.array(all_probs) if task == 'classification' else None
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# Evaluate
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evaluator = ModelEvaluator(task)
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metrics = evaluator.evaluate(y_true, y_pred, y_prob)
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# Add backtesting metrics
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backtest = evaluator.backtest_strategy(y_true, y_pred)
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metrics.update({f'backtest_{k}': v for k, v in backtest.items()})
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return metrics
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if __name__ == "__main__":
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# Test classification evaluation
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y_true = np.array([0, 1, 1, 0, 1, 0, 1, 1, 0, 0])
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y_pred = np.array([0, 1, 1, 0, 0, 1, 1, 1, 0, 1])
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y_prob = np.array([0.3, 0.8, 0.9, 0.2, 0.4, 0.6, 0.7, 0.85, 0.1, 0.55])
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evaluator = ModelEvaluator('classification')
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metrics = evaluator.evaluate(y_true, y_pred, y_prob)
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print("Classification metrics:")
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for k, v in metrics.items():
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print(f" {k}: {v}")
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# Test regression evaluation
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y_true_reg = np.random.randn(100) * 0.02
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y_pred_reg = y_true_reg + np.random.randn(100) * 0.01
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evaluator_reg = ModelEvaluator('regression')
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metrics_reg = evaluator_reg.evaluate(y_true_reg, y_pred_reg)
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print("\nRegression metrics:")
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for k, v in metrics_reg.items():
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print(f" {k}: {v}")
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