Numerox is a Numerai tournament toolbox written in Python
Project description
Numerox is a Numerai tournament toolbox written in Python.
All you have to do is create a model. Take a look at model.py for examples.
Once you have a model numerox will do the rest. First download the Numerai dataset and then load it:
>>> import numerox as nx >>> nx.download_dataset('numerai_dataset.zip') >>> data = nx.load_zip('numerai_dataset.zip') >>> data region live, test, train, validation rows 884544 era 98, [era1, eraX] x 50, min 0.0000, mean 0.4993, max 1.0000 y mean 0.499961, fraction missing 0.3109
Let’s use the logistic regression model in numerox to run 5-fold cross validation on the training data:
>>> model = nx.model.logistic() >>> prediction = nx.backtest(model, data, verbosity=1) logistic(inverse_l2=1e-05) logloss auc acc ystd mean 0.692974 0.5226 0.5159 0.0023 | region train std 0.000224 0.0272 0.0205 0.0002 | eras 85 min 0.692360 0.4550 0.4660 0.0020 | consis 0.7647 max 0.693589 0.5875 0.5606 0.0027 | 75th 0.6931
OK, results are good enough for a demo so let’s make a submission file for the tournament. We will fit the model on the train data and make our predictions for the tournament data:
>>> prediction = nx.production(model, data) logistic(inverse_l2=1e-05) logloss auc acc ystd mean 0.692993 0.5157 0.5115 0.0028 | region validation std 0.000225 0.0224 0.0172 0.0000 | eras 12 min 0.692440 0.4853 0.4886 0.0028 | consis 0.7500 max 0.693330 0.5734 0.5555 0.0028 | 75th 0.6931 >>> prediction.to_csv('logistic.csv') # 6 decimal places by default
Examples
Have a look at the numerox examples.
Install
Install with pip:
$ sudo pip install numerox
After you have installed numerox, run the unit tests (please report any failures):
>>> import numerox as nx >>> nx.test()
Requirements:
python
setuptools
numpy
pandas
pytables
sklearn
requests
nose
Resources
Join us on Numerai’s chat
See what’s new
Look at the examples
Report bugs on github
Sponsor
Thank you Numerai for funding the development of Numerox.
License
Numerox is distributed under the the GPL v3+. See LICENSE file for details.
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