fix(mlx): remove double normalization in walk-forward validation

Add normalize=False parameter to MLXFilter.fit() so external callers
can skip internal normalization. Remove the external normalization +
manual _mean/_std reset hack from walk_forward_auc() in train_mlx_model.py.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
21in7
2026-03-21 18:31:11 +09:00
parent 0fe87bb366
commit 24f0faa540
3 changed files with 40 additions and 22 deletions

View File

@@ -77,3 +77,26 @@ def test_equity_curve_includes_unrealized_pnl():
last = bt.equity_curve[-1]
assert last["equity"] == 1050.0, f"Expected 1050.0 (1000+50), got {last['equity']}"
def test_mlx_no_double_normalization():
"""MLXFilter.fit()에 normalize=False를 전달하면 내부 정규화를 건너뛰어야 한다."""
pytest.importorskip("mlx.core")
import numpy as np
import pandas as pd
from src.mlx_filter import MLXFilter
from src.ml_features import FEATURE_COLS
n_features = len(FEATURE_COLS)
rng = np.random.default_rng(42)
X = pd.DataFrame(
rng.standard_normal((100, n_features)).astype(np.float32),
columns=FEATURE_COLS,
)
y = pd.Series(rng.integers(0, 2, 100).astype(np.float32))
model = MLXFilter(input_dim=n_features, hidden_dim=16, epochs=1, batch_size=32)
model.fit(X, y, normalize=False)
assert np.allclose(model._mean, 0.0), "normalize=False시 mean은 0이어야 한다"
assert np.allclose(model._std, 1.0), "normalize=False시 std는 1이어야 한다"