Current Implementation of Rolling Evaluation

Oct 13, 2025 by talynt.org 13 views

Introduction

In the realm of machine learning and data science, evaluating model performance is a crucial step in the development process. The TaskGenerator, a tool used to generate tasks for model evaluation, has been a valuable asset in this endeavor. However, the current implementation of rolling evaluation in TaskGenerator has a limitation that can make it unnecessarily verbose and potentially error-prone. In this article, we will explore the current state of rolling evaluation in TaskGenerator and propose a more efficient and user-friendly approach.

Current Implementation of Rolling Evaluation

Currently, to specify multiple windows for rolling evaluation, the user needs to specify all cutoff dates using the variants in a TaskGenerator. This can be seen in the following YAML configuration:

tasks:
- dataset_path: ...
   horizon: 24
   variants:
   - cutoff: -96
   - cutoff: -72
   - cutoff: -48
   - cutoff: -24

As you can see, this approach requires the user to specify each cutoff date individually, which can be time-consuming and prone to errors. For instance, if the user wants to specify 10 windows, they would need to specify 10 cutoff dates, which can be a tedious task.

Proposed Solution: Direct Specification of Backtest Config

To address the limitations of the current implementation, we propose a more convenient and user-friendly approach. Instead of specifying each cutoff date individually, the user can directly specify the backtest config. This can be achieved by adding a backtest section to the YAML configuration, as shown below:

tasks:
- dataset_path: ...
   horizon: 24
   backtest:
     start_cutoff: -96
     num_windows: 4
     val_step_size: 24  # defaults to `horizon`

In this proposed solution, the user can specify the start cutoff date, the number of windows, and the validation step size. The TaskGenerator can then automatically generate the necessary cutoff dates based on the specified configuration.

Benefits of the Proposed Solution

The proposed solution offers several benefits over the current implementation:

Reduced verbosity: The user no longer needs to specify each cutoff date individually, making the configuration more concise and easier to read.
Improved efficiency: The user can specify the backtest config in a single step, reducing the time and effort required to configure the TaskGenerator.
Reduced error-prone: The user is less likely to make errors when specifying the backtest config, as the TaskGenerator can automatically generate the necessary cutoff dates.

Implementation Details

To implement the proposed solution, the following changes need to be made to the TaskGenerator:

Add a backtest section to the YAML configuration: The backtest section should contain the necessary fields to specify the backtest config, such as start_cutoff, num_windows, and val_step_size.
Generate cutoff dates automatically: The TaskGenerator should automatically generate the necessary cutoff dates based on the specified backtest config.
Validate user input: The TaskGenerator should validate the user input to ensure that the specified backtest config is valid and can be used to generate the necessary cutoff dates.

Example Use Cases

The proposed solution can be used in a variety of scenarios, such as:

Rolling evaluation: The user can specify the backtest config to perform rolling evaluation on a dataset, where the model is evaluated on a rolling window of data.
Time series forecasting: The user can specify the backtest config to evaluate the performance of a time series forecasting model on a rolling window of data.
Anomaly detection: The user can specify the backtest config to evaluate the performance of an anomaly detection model on a rolling window of data.

Conclusion

In conclusion, the proposed solution offers a more efficient and user-friendly approach to rolling evaluation in TaskGenerator. By directly specifying the backtest config, the user can reduce verbosity, improve efficiency, and reduce error-prone. The implementation details and example use cases demonstrate the feasibility and potential applications of the proposed solution. We believe that this proposed solution can enhance the usability and effectiveness of TaskGenerator, making it a more valuable tool for machine learning and data science practitioners.

Introduction

In our previous article, we proposed a more efficient and user-friendly approach to rolling evaluation in TaskGenerator. We introduced a new way of specifying the backtest config, which can reduce verbosity, improve efficiency, and reduce error-prone. In this article, we will answer some of the most frequently asked questions about implementing rolling evaluation in TaskGenerator.

Q: What is rolling evaluation in TaskGenerator?

A: Rolling evaluation in TaskGenerator is a feature that allows users to evaluate the performance of a model on a rolling window of data. This means that the model is evaluated on a subset of the data, and then the window is moved forward in time to evaluate the model on the next subset of data.

Q: Why do I need to specify the backtest config?

A: The backtest config is used to specify the parameters of the rolling evaluation, such as the start cutoff date, the number of windows, and the validation step size. By specifying the backtest config, you can customize the rolling evaluation to suit your specific needs.

Q: What is the difference between the current implementation and the proposed solution?

A: The current implementation requires users to specify each cutoff date individually, which can be time-consuming and prone to errors. The proposed solution allows users to directly specify the backtest config, which can reduce verbosity, improve efficiency, and reduce error-prone.

Q: How do I specify the backtest config in the YAML configuration?

A: To specify the backtest config in the YAML configuration, you need to add a backtest section to the YAML file. The backtest section should contain the necessary fields to specify the backtest config, such as start_cutoff, num_windows, and val_step_size.

Q: What are the benefits of using the proposed solution?

A: The proposed solution offers several benefits, including reduced verbosity, improved efficiency, and reduced error-prone. By using the proposed solution, you can customize the rolling evaluation to suit your specific needs and reduce the time and effort required to configure the TaskGenerator.

Q: Can I use the proposed solution with other features of TaskGenerator?

A: Yes, the proposed solution can be used with other features of TaskGenerator, such as data preprocessing, feature engineering, and model selection. By using the proposed solution, you can customize the rolling evaluation to suit your specific needs and integrate it with other features of TaskGenerator.

Q: How do I validate the user input in the proposed solution?

A: To validate the user input in the proposed solution, you need to check that the specified backtest config is valid and can be used to generate the necessary cutoff dates. This can be done by checking that the start cutoff date is valid, that the number of windows is a positive integer, and that the validation step size is a positive integer.

Q: Can I use the proposed solution with other datasets?

A: Yes, the proposed solution can be used with other datasets. By specifying the backtest config, you can customize the rolling evaluation to suit your specific needs and use it with other datasets.

Q: How do I troubleshoot issues with the proposed solution?

A: To troubleshoot issues with the proposed solution, you need to check the error messages and logs to identify the source of the issue. You can also refer to the documentation and online resources for troubleshooting tips and solutions.

Conclusion

In conclusion, the proposed solution offers a more efficient and user-friendly approach to rolling evaluation in TaskGenerator. By directly specifying the backtest config, users can reduce verbosity, improve efficiency, and reduce error-prone. We hope that this article has answered some of the most frequently asked questions about implementing rolling evaluation in TaskGenerator and has provided valuable insights for users.