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58 lines
2.5 KiB
58 lines
2.5 KiB
4 days ago
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# Analysis Report: Enhanced Prediction Comparison Visualization
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## Issue Identified
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The original `prediction_comparison.png` visualization lacked meaningful evaluation metrics such as:
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- IC (Information Coefficient) time series
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- RankIC (Rank Information Coefficient) time series
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- Top-tier return cumulative difference
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- Other requested financial metrics
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Instead, it only showed basic scatter plots and prediction distributions.
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## Solution Implemented
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Updated the `compare_predictions.py` script with enhanced visualization functionality that includes:
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### 1. IC Time Series Comparison
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- Calculates daily IC for both 0_7 and 0_7_beta prediction sets
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- Plots both series on the same chart for easy comparison
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- Shows temporal trends in predictive power
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### 2. RankIC Time Series Comparison
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- Calculates daily RankIC (Spearman correlation) for both versions
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- Displays time series comparison to show rank correlation trends
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- Helps evaluate monotonic relationships over time
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### 3. Cumulative Top-Tier Returns
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- Identifies top 10% of stocks based on predictions each day
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- Calculates cumulative returns for both prediction sets
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- Shows performance divergence over time
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### 4. Difference in Cumulative Returns
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- Visualizes the spread between 0_7 and 0_7_beta cumulative returns
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- Helps quantify the performance gap between the two approaches
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- Provides insight into which version performs better over time
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### 5. Additional Improvements
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- Fixed date type mismatch issues that prevented proper joins
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- Added graceful fallback to basic visualization when actual returns unavailable
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- Maintained all original basic comparison plots for comprehensive analysis
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## Files Updated
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- `compare_predictions.py` - Enhanced visualization functionality
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- `generate_mock_returns.py` - Script to create test returns data
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- `test_enhanced_visualization.py` - Verification script
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## Results
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The enhanced visualization now provides:
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- Meaningful financial metrics that directly address the comparison requirements
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- Time series analysis of IC and RankIC metrics
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- Cumulative performance comparison of top-tier selections
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- Proper error handling for different data formats
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- Comprehensive side-by-side comparison of both alpha versions
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## Verification
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Successfully tested the enhanced functionality with mock data, confirming that:
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- All requested metrics are now visualized
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- The plot contains 6 meaningful panels with financial insights
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- The output file `prediction_comparison.png` includes all requested metrics
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- Basic comparison functionality remains intact
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