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[BUG] Something went wrong with multi-index if backtest (issue #461) #771

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merged 35 commits into from Jul 13, 2022
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[BUG] Something went wrong with multi-index if backtest (issue #461) #771

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Update base.py
mvakhmenin Jun 22, 2022
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make format
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2 changes: 1 addition & 1 deletion CHANGELOG.md
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Expand Up @@ -39,7 +39,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
- Fix missing prophet in docker images ([#767](https://github.com/tinkoff-ai/etna/pull/767))
- Add `known_future` parameter to CLI ([#758](https://github.com/tinkoff-ai/etna/pull/758))
- FutureWarning: The frame.append method is deprecated. Use pandas.concat instead ([#764](https://github.com/tinkoff-ai/etna/pull/764))
-
- Correct ordering if multi-index in backtest ([#771](https://github.com/tinkoff-ai/etna/pull/771))
-
-
-
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1 change: 1 addition & 0 deletions etna/pipeline/base.py
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Expand Up @@ -457,6 +457,7 @@ def _get_backtest_forecasts(self) -> pd.DataFrame:
forecast = forecast.join(fold_number_df)
forecasts_list.append(forecast)
forecasts = pd.concat(forecasts_list)
forecasts.sort_index(axis=1, inplace=True)
return forecasts
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We dont need specify ascending order here.

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@martins0n
Checks failed with the following error. I cannot understand, what should I do
ImportError while loading conftest '/home/runner/work/etna/etna/tests/test_ensembles/conftest.py'. tests/test_ensembles/conftest.py:16: in <module> from etna.models import ProphetModel E ImportError: cannot import name 'ProphetModel' from 'etna.models' (/home/runner/work/etna/etna/etna/models/__init__.py) Error: Process completed with exit code 4.

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@martins0n martins0n Jun 30, 2022 •
edited

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It's ok, will fix it today or next day

You can make futher changes and test locally, via command poetry run pytest tests -v --cov=etna -m "not long" --cov-report=xml and run linters via make lint

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@mvakhmenin We've merged updates to master branch. You can rebase on updated master.

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@martins0n
Tests fail without ascending order

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@martins0n martins0n Jul 4, 2022 •
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@mvakhmenin We don't expect such ordering anyway, it've just happened by chanse.

it's better to change fixtures in conftest to make tests pass

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@martins0n
I do not understand, what's the problem with lint

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You can run linters locally and fix issues with command: make format and make lint

Current error could be fixed with make format I guess.

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You can find more information about contributing in guide


def _prepare_fold_masks(self, ts: TSDataset, masks: Union[int, List[FoldMask]], mode: str) -> List[FoldMask]:
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5 changes: 2 additions & 3 deletions tests/test_pipeline/conftest.py
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Expand Up @@ -162,13 +162,12 @@ def step_ts() -> Tuple[TSDataset, pd.DataFrame, pd.DataFrame]:
target_forecast += [start_value + i * add_value] * horizon
fold_number_forecast += [i] * horizon
forecast_df = pd.DataFrame(
{"target": target_forecast, "fold_number": fold_number_forecast},
{"fold_number": fold_number_forecast, "target": target_forecast},
index=timestamp_forecast,
)
forecast_df.columns = pd.MultiIndex.from_product(
[[segment], ["target", "fold_number"]], names=("segment", "feature")
[[segment], ["fold_number", "target"]], names=("segment", "feature")
)

return ts, metrics_df, forecast_df


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7 changes: 7 additions & 0 deletions tests/test_pipeline/test_pipeline.py
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Expand Up @@ -573,3 +573,10 @@ def test_backtest_nans_at_beginning_with_mask(ts_name, request):
metrics=[MAE()],
n_folds=[mask],
)


def test_forecast_backtest_correct_ordering(step_ts: TSDataset):
ts, _, expected_forecast_df = step_ts
pipeline = Pipeline(model=NaiveModel(), horizon=5)
_, forecast_df, _ = pipeline.backtest(ts=ts, metrics=[MAE()], n_folds=3)
assert np.all(forecast_df.values == expected_forecast_df.values)