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MAINT: save data and rebuild model #49

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merged 2 commits into from
Jul 18, 2018
+26 −14
Merged

MAINT: save data and rebuild model #49

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168cfb1
MAINT: save data and rebuild model
eigenfoo Jul 18, 2018
761de76
MAINT: rename dims
eigenfoo Jul 18, 2018
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14 changes: 13 additions & 1 deletion bayesalpha/author_model.py
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Original file line number Diff line number Diff line change
Expand Up @@ -9,6 +9,7 @@
import pandas as pd
from sklearn.preprocessing import LabelEncoder
import pymc3 as pm
import xarray as xr
from .serialize import to_xarray
from ._version import get_versions
from .base import BayesAlphaResult
Expand Down Expand Up @@ -155,7 +156,12 @@ class AuthorModelResult(BayesAlphaResult):
def rebuild_model(self, data=None):
""" Return an AuthorModelBuilder that recreates the original model. """
if data is None:
data = self.trace._data.to_pandas().copy()
data = (self.trace
._data
.to_pandas()
.rename('perf_sharpe_ratio_is')
.reset_index()
.copy())

return AuthorModelBuilder(data)

Expand Down Expand Up @@ -233,6 +239,12 @@ def fit_authors(data,
trace.attrs['model-version'] = get_versions()['version']
trace.attrs['model-type'] = AUTHOR_MODEL_TYPE

if save_data:
d = data.set_index(['meta_user_id',
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These dimension names should match the ones used in the model (line 59)

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That way xarray knows that they are the same dimension, and doesn't store the coordinates twice.

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Ah, so then:

author -> meta_user_id
algo -> meta_algorithm_id
backtest -> meta_code_id

Right?

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yes

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Done!

'meta_algorithm_id',
'meta_code_id']).squeeze()
trace['_data'] = xr.DataArray(d)

return AuthorModelResult(trace)


Expand Down