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Keras Callback to track Numerai consistency

Project description

A Keras callback that calculates your model’s consistency during training at each epoch. The callback prints the consistency and also adds the consistency at the end of each epoch to the training history under the consistency key.


Here is a usage example:

import pandas as pd
from numeraicb import Consistency
from keras.models import Sequential
from keras.layers.core import Dense

train = pd.read_csv('numerai_training_data.csv')
tourn = pd.read_csv('numerai_tournament_data.csv')

validation = tourn[tourn.data_type == 'validation']

features = ['feature{}'.format(i) for i in range(1, 51)]

X = train[features].values
Y =

X_validation = validation[features].values
Y_validation =

model = Sequential()
model.add(Dense(30, kernel_initializer='uniform', input_dim=X.shape[1], activation='relu'))
model.add(Dense(1, activation='sigmoid'))
model.compile(optimizer='adamax', loss='binary_crossentropy')

cb = Consistency(tourn)

# Now your models consistency will be printed at each epoch
history =, Y, callbacks=[cb], validation_data=(X_validation, Y_validation))

# Consistency is stored in the history as well
for epoch, consistency in enumerate(history.history['consistency']):
    print('consistency at epoch {}: {:.2%}'.format(epoch, consistency))

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