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add top_bottom filter to numerai_corr, add np.abs to max_feature_correlation #15

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cshanes
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@cshanes cshanes commented Dec 12, 2023

two user reported issues:

  • the top_bottom arg in numerai_corr doesn't do anything.
    • I wasn't 100% sure about whether or not it should happen before the tie_kept_rank__gaussianize__pow_1_5 step, but followed the same convention from signals diagnostics.
  • the max_feature_correlation feature should have an abs because of negative correlations

These changes are not tested yet. @ndharasz lmk if this looks good, and if you aren't able to test I can do it and get this merged

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Pretty sure this logic already exists in the pearson_correlation function. We just need to pass in top_bottom to that function.

@cshanes
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cshanes commented Dec 12, 2023

Pretty sure this logic already exists in the pearson_correlation function. We just need to pass in top_bottom to that function.

that was my initial thought, but wasn't sure if it mattered if top bottom filter happened before the tie_kept_rank__gaussianize__pow_1_5 step. if it doesn't matter then yea it should just be passed into pearson_correlation.

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I was thinking that FNC did the tb200 filtering after neutralization so we should be doing tb200 filtering after any/all preprocessing

@ndharasz ndharasz changed the base branch from master to ndharasz/0.0.14 December 13, 2023 08:01
@ndharasz ndharasz merged commit 6d9d357 into numerai:ndharasz/0.0.14 Dec 13, 2023
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2 participants