This is the official code base for Era Splitting. Using this repository you can install and run the EraHistGradientBoostingRegressor with the new era splitting, directional era splitting, or original criterion implemented via simple arguments.

This is a forked extension of sklearn's HistGradientBoostingRegressor, the supervised learning algorithm Gradient Boosted Decision Trees (GBDTs), but with new splitting criteria aimed at learning invariant predictors. This version accepts an additional argument to the .fit function. This argument is called eras, it is a 1D integer vector the same length as X (input) and Y (target) data. The integer values associated with each data point indicate which era (or domain or environment) the data point came from. This algo and similar OOD learning algorithms utilized this era-wise (environmental) information to find better decision rules.

See the WILDS (https://wilds.stanford.edu/) project for more info on this kind of domain generalization problem. The working hypothesis of this research is that financial data also exhibits this kind of domain, environmental shift in the data distributions over time. Each time period is called an era.

Era Splitting Paper

https://arxiv.org/abs/2309.14496

Source Code and Issue Tracking

https://github.com/jefferythewind/erasplit

Installation via Pip

pip install erasplit

Example Usage

from erasplit.ensemble import EraHistGradientBoostingRegressor

model = EraHistGradientBoostingRegressor(
    early_stopping=False,
    n_jobs = 2,  
    colsample_bytree = 1, #float, between 0 and 1 inclusive, random sample of columns are used to grow each tree
    max_bins = cfg['max_bin'], # int, max number of bins
    max_depth = cfg['max_depth'], #int, max depth of each tree
    max_leaf_nodes = cfg['num_leaves'], #int, maximum leaves in each tree 
    min_samples_leaf = cfg['min_child_samples'], #int, minimum data in a leaf
    max_iter = cfg['n_estimators'], #int, number of boosting rounds (trees)
    l2_regularization = cfg['reg_lambda'], #float, between 0 and 1
    learning_rate = cfg['learning_rate'], #float (exclusive?), between 0 and 1
    blama=1, # Directional Era Splitting Weight (BEGINNERS ALWAYS SET THIS TO 1!)
    min_agreement_threshold=0, #float, between 0 and 1 minimum agreement in direction of split over the eras of data
    verbose=0, #int, 
)

model.fit(
    X,
    Y,
    eras # must be a vector the same length as X and Y, integers, where each value designates the era (or environment) of each data point
)

Example Implementation w/ Numerai Data

from pathlib import Path
from numerapi import NumerAPI #pip install numerapi
import json

"""Era Split Model"""
from erasplit.ensemble import EraHistGradientBoostingRegressor

napi = NumerAPI()
Path("./v4").mkdir(parents=False, exist_ok=True)
napi.download_dataset("v4/train.parquet")
napi.download_dataset("v4/features.json")

with open("v4/features.json", "r") as f:
    feature_metadata = json.load(f)
features = feature_metadata["feature_sets"]['small']
TARGET_COL="target_cyrus_v4_20"

training_data = pd.read_parquet('v4/train.parquet')
training_data['era'] = training_data['era'].astype('int')

model = EraHistGradientBoostingRegressor( 
    early_stopping=False, 
    boltzmann_alpha=0, 
    max_iter=5000, 
    max_depth=5, 
    learning_rate=.01, 
    colsample_bytree=.1, 
    max_leaf_nodes=32, 
    gamma=1, #for era splitting
    #blama=1,  #for directional era splitting
    #vanna=1,  #for original splitting criterion
)
model.fit(training_data[ features ], training_data[ TARGET_COL ], training_data['era'].values)

Explanation of Parameters

Boltzmann Alpha

The Boltzmann alpha parameter varies from -infinity to +infinity. A value of zero recovers the mean, -infinity recovers the minumum and +infinity recovers the maximum. This smooth min/max function is applied to the era-wise impurity scores when evaluating a data split. Negative values here will build more invariant trees.

Read more: https://en.wikipedia.org/wiki/Smooth_maximum

Gamma

Varies over the interval [0,1]. Indicates weight placed on the era splitting criterion.

Blama

Varies over the interval [0,1]. Indicates weight placed on the directional era splitting criterion.

Vanna

Varies over the interval [0,1]. Indicates weight placed on the original splitting criterion.

Behind the scenes, this is for formula which creates a linear combination of the split criteria. Usually we just set one of these to 1 and leave the other at zero.

gain = gamma * era_split_gain + blama * directional_era_split_gain + vanna * original_gain

Complete (New Updated) Code Notebook Examples Available here:

https://github.com/jefferythewind/era-splitting-notebook-examples

Citations:

@misc{delise2023era,
      title={Era Splitting}, 
      author={Timothy DeLise},
      year={2023},
      eprint={2309.14496},
      archivePrefix={arXiv},
      primaryClass={cs.LG}
}

This code was forked from the official scikit-learn repository and is currently a stand-alone version. All community help is welcome for getting these ideas part of the official scikit learn code base or even better, incorporated in the LightGBM code base.

https://scikit-learn.org/stable/about.html#citing-scikit-learn