File size: 3,968 Bytes
8f8fb44 bcc98e7 8f8fb44 bcc98e7 8f8fb44 bcc98e7 8f8fb44 | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 | """Shared constants and JSONL helpers for the QuantInvBench release."""
from __future__ import annotations
import hashlib
import json
import math
from pathlib import Path
from typing import Iterable, Mapping, Sequence
COINS = ("bitcoin", "ethereum", "tether", "xrp", "bnb")
ASSETS = ("BTC", "ETH", "USDT", "XRP", "BNB")
COIN_TO_ASSET = dict(zip(COINS, ASSETS))
BENCHMARK_VERSION = "2.0.0"
ATTACK_PROTOCOL_VERSION = "quantinv-byzantine-v1"
STRATEGIES = (
"Momentum",
"MaxSharpe",
"TSMom14",
"TSMom60",
"RiskParity",
"MinVar",
"NewsSentiment",
"Size",
"ValueNVT",
"Liquidity",
)
REBALANCE_DAYS = 7
TRANSACTION_COST = 0.001
WEIGHT_TOLERANCE = 1e-6
EXPECTED_SPLIT_COUNTS = {"train": 297, "validation": 52, "test": 52}
EXPECTED_SPLIT_RANGES = {
"train": {
"execution_start": "2018-07-04T00:00:00Z",
"execution_end": "2024-03-06T00:00:00Z",
"label_end": "2024-03-13T00:00:00Z",
},
"validation": {
"execution_start": "2024-03-16T00:00:00Z",
"execution_end": "2025-03-08T00:00:00Z",
"label_end": "2025-03-15T00:00:00Z",
},
"test": {
"execution_start": "2025-03-16T00:00:00Z",
"execution_end": "2026-03-08T00:00:00Z",
"label_end": "2026-03-15T00:00:00Z",
},
}
EVALUATION_PROTOCOL = {
"initial_portfolio": "equal_weight",
"submitted_methods": "rebalance_every_record",
"equal_weight_baseline": "buy_and_hold",
"turnover": "half_l1_target_vs_return_drifted_holdings",
"sharpe": "weekly_returns_sqrt_52_ddof_0",
"max_drawdown": "daily_nav",
}
def sha256_file(path: Path) -> str:
digest = hashlib.sha256()
with path.open("rb") as handle:
for block in iter(lambda: handle.read(1024 * 1024), b""):
digest.update(block)
return digest.hexdigest()
def read_jsonl(path: Path) -> list[dict]:
records = []
with path.open(encoding="utf-8") as handle:
for line_number, line in enumerate(handle, start=1):
if not line.strip():
continue
try:
records.append(json.loads(line))
except json.JSONDecodeError as exc:
raise ValueError(f"{path}:{line_number}: invalid JSON: {exc}") from exc
return records
def write_jsonl(path: Path, records: Iterable[dict]) -> None:
path.parent.mkdir(parents=True, exist_ok=True)
with path.open("w", encoding="utf-8", newline="\n") as handle:
for record in records:
handle.write(json.dumps(record, ensure_ascii=False, allow_nan=False))
handle.write("\n")
def validated_weights(
values: Mapping[str, float] | Sequence[float],
*,
label: str,
) -> list[float]:
if isinstance(values, Mapping):
weights = [float(values[coin]) for coin in COINS]
else:
weights = [float(value) for value in values]
if len(weights) != len(ASSETS):
raise ValueError(f"{label}: expected {len(ASSETS)} weights, got {len(weights)}")
if not all(math.isfinite(value) for value in weights):
raise ValueError(f"{label}: weights contain NaN or Infinity")
if any(value < -WEIGHT_TOLERANCE for value in weights):
raise ValueError(f"{label}: weights must be non-negative: {weights}")
weights = [max(0.0, value) for value in weights]
total = sum(weights)
if total <= 0:
raise ValueError(f"{label}: weights sum to zero")
normalized = [value / total for value in weights]
rounded = [round(value, 10) for value in normalized]
largest_index = max(range(len(rounded)), key=rounded.__getitem__)
rounded[largest_index] = round(
rounded[largest_index] + (1.0 - sum(rounded)), 10
)
if abs(sum(rounded) - 1.0) > WEIGHT_TOLERANCE:
raise ValueError(f"{label}: normalized weights do not sum to one")
return rounded
def usdt_fallback() -> dict[str, float]:
return {coin: (1.0 if coin == "tether" else 0.0) for coin in COINS}
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