Skip to content
Merged
Show file tree
Hide file tree
Changes from all commits
Commits
File filter

Filter by extension

Filter by extension

Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
35 changes: 27 additions & 8 deletions quantscenariobench/benchmark/runner/_run_benchmark.py
Original file line number Diff line number Diff line change
Expand Up @@ -43,16 +43,35 @@ def _utc_now() -> str:
return datetime.datetime.now(datetime.timezone.utc).isoformat()


def _serialize_parameter(value: Any) -> Any:
"""One strategy field → a JSON-native value (issue #99).

Primitives and None pass through unchanged; lists/tuples/dicts are
serialized recursively. Anything else first keeps the historical
float() conversion (scalar JAX/NumPy arrays), then falls back to
repr() — so a strategy holding, say, a neural-network module as a
field serializes to an identifying string instead of raising. The
broad except is deliberate: __float__ on arbitrary objects can raise
anything, and serialization must never fail a completed run.
"""
if value is None or isinstance(value, (bool, int, float, str)):
return value
if isinstance(value, (list, tuple)):
return [_serialize_parameter(item) for item in value]
if isinstance(value, dict):
return {str(key): _serialize_parameter(item) for key, item in value.items()}
try:
return float(value)
except Exception:
return repr(value)


def _strategy_parameters(strategy: Any) -> dict:
"""JSON-native snapshot of a strategy's own recorded fields (AD-15, AD-24)."""
params: dict = {}
for field in dataclasses.fields(strategy):
value = getattr(strategy, field.name)
if isinstance(value, (bool, int, float, str)):
params[field.name] = value
else:
params[field.name] = float(value)
return params
return {
field.name: _serialize_parameter(getattr(strategy, field.name))
for field in dataclasses.fields(strategy)
}


def _run_rebalancing_loop(
Expand Down
74 changes: 74 additions & 0 deletions tests/test_benchmark_result_schema.py
Original file line number Diff line number Diff line change
Expand Up @@ -218,3 +218,77 @@ def test_concentration_metrics_survive_evaluation_result_json_round_trip():

restored_metrics = {m.name: m.value for m in restored.metrics}
assert restored_metrics == result.metrics


# ---------------------------------------------------------------------------
# Issue #99: strategy_parameters must serialize non-primitive strategy
# fields (e.g. a neural-network module held as a field) instead of
# raising on float() — primitives and None pass through, collections
# recurse, scalar arrays keep the historical float() conversion, and
# anything else falls back to repr().
# ---------------------------------------------------------------------------

class _FakeNeuralNet:
"""Stands in for a torch.nn.Module / Flax module: not float()-able."""

def __repr__(self):
return "FakeNeuralNet(layers=2)"


def test_strategy_parameters_serialize_non_primitive_fields():
from quantscenariobench.benchmark.interface import (
PolicyStrategy,
PortfolioWeights,
RebalanceSchedule,
)

class NeuralPolicy(PolicyStrategy):
model: object
learning_rate: float
window: object # None — optional field left unset
hidden_sizes: tuple # collection of primitives, recursed
decay: object # scalar JAX array — historical float() path

def allocate_sequence(self, observed_returns):
n = observed_returns.shape[1]
return PortfolioWeights(jnp.full((n,), 1.0 / n))

strategy = NeuralPolicy(
model=_FakeNeuralNet(),
learning_rate=1e-3,
window=None,
hidden_sizes=(64, 32),
decay=jnp.asarray(0.9),
)
result = _run(strategy, rebalance_schedule=RebalanceSchedule(k=5))

params = result.strategy_parameters
assert params["model"] == "FakeNeuralNet(layers=2)"
assert params["learning_rate"] == 1e-3
assert params["window"] is None
assert params["hidden_sizes"] == [64, 32]
assert params["decay"] == pytest.approx(0.9)


def test_strategy_parameters_with_non_primitive_fields_json_round_trip():
from quantscenariobench.benchmark.interface import (
PolicyStrategy,
PortfolioWeights,
RebalanceSchedule,
)

class ModelBackedPolicy(PolicyStrategy):
model: object

def allocate_sequence(self, observed_returns):
n = observed_returns.shape[1]
return PortfolioWeights(jnp.full((n,), 1.0 / n))

result = _run(
ModelBackedPolicy(model=_FakeNeuralNet()),
rebalance_schedule=RebalanceSchedule(k=5),
)

payload = json.dumps(dataclasses.asdict(result))
restored = json.loads(payload)
assert restored["strategy_parameters"]["model"] == "FakeNeuralNet(layers=2)"