I ran a logistic regression model and made predictions of the logit values. I used this to get the points on the ROC curve:

 from sklearn import metrics
 fpr, tpr, thresholds = metrics.roc_curve(Y_test,p)

I know metrics.roc_auc_score gives the area under the ROC curve. Can anyone tell me what command will find the optimal cut-off point (threshold value)?

You can do this using the epi package in R, however I could not find similar package or example in Python.

The optimal cut off point would be where “true positive rate” is high and the “false positive rate” is low. Based on this logic, I have pulled an example below to find optimal threshold.

Python code:

import pandas as pd
import statsmodels.api as sm
import pylab as pl
import numpy as np
from sklearn.metrics import roc_curve, auc

# read the data in
df = pd.read_csv("http://www.ats.ucla.edu/stat/data/binary.csv")

# rename the 'rank' column because there is also a DataFrame method called 'rank'
df.columns = ["admit", "gre", "gpa", "prestige"]
# dummify rank
dummy_ranks = pd.get_dummies(df['prestige'], prefix='prestige')
# create a clean data frame for the regression
cols_to_keep = ['admit', 'gre', 'gpa']
data = df[cols_to_keep].join(dummy_ranks.iloc[:, 'prestige_2':])

# manually add the intercept
data['intercept'] = 1.0

train_cols = data.columns[1:]
# fit the model
result = sm.Logit(data['admit'], data[train_cols]).fit()
print result.summary()

# Add prediction to dataframe
data['pred'] = result.predict(data[train_cols])

fpr, tpr, thresholds =roc_curve(data['admit'], data['pred'])
roc_auc = auc(fpr, tpr)
print("Area under the ROC curve : %f" % roc_auc)

####################################
# The optimal cut off would be where tpr is high and fpr is low
# tpr - (1-fpr) is zero or near to zero is the optimal cut off point
####################################
i = np.arange(len(tpr)) # index for df
roc = pd.DataFrame({'fpr' : pd.Series(fpr, index=i),'tpr' : pd.Series(tpr, index = i), '1-fpr' : pd.Series(1-fpr, index = i), 'tf' : pd.Series(tpr - (1-fpr), index = i), 'thresholds' : pd.Series(thresholds, index = i)})
roc.iloc[(roc.tf-0).abs().argsort()[:1]]

# Plot tpr vs 1-fpr
fig, ax = pl.subplots()
pl.plot(roc['tpr'])
pl.plot(roc['1-fpr'], color = 'red')
pl.xlabel('1-False Positive Rate')
pl.ylabel('True Positive Rate')
pl.title('Receiver operating characteristic')
ax.set_xticklabels([])

The optimal cut off point is 0.317628, so anything above this can be labeled as 1 else 0. You can see from the output/chart that where TPR is crossing 1-FPR the TPR is 63%, FPR is 36% and TPR-(1-FPR) is nearest to zero in the current example.

Output:

        1-fpr       fpr        tf     thresholds       tpr
  171  0.637363  0.362637  0.000433    0.317628     0.637795

Hope this is helpful.

Edit

To simplify and bring in re-usability, I have made a function to find the optimal probability cutoff point.

Python Code:

def Find_Optimal_Cutoff(target, predicted):
    """ Find the optimal probability cutoff point for a classification model related to event rate
    Parameters
    ----------
    target : Matrix with dependent or target data, where rows are observations

    predicted : Matrix with predicted data, where rows are observations

    Returns
    -------     
    list type, with optimal cutoff value
        
    """
    fpr, tpr, threshold = roc_curve(target, predicted)
    i = np.arange(len(tpr)) 
    roc = pd.DataFrame({'tf' : pd.Series(tpr-(1-fpr), index=i), 'threshold' : pd.Series(threshold, index=i)})
    roc_t = roc.iloc[(roc.tf-0).abs().argsort()[:1]]

    return list(roc_t['threshold']) 


# Add prediction probability to dataframe
data['pred_proba'] = result.predict(data[train_cols])

# Find optimal probability threshold
threshold = Find_Optimal_Cutoff(data['admit'], data['pred_proba'])
print threshold
# [0.31762762459360921]

# Find prediction to the dataframe applying threshold
data['pred'] = data['pred_proba'].map(lambda x: 1 if x > threshold else 0)

# Print confusion Matrix
from sklearn.metrics import confusion_matrix
confusion_matrix(data['admit'], data['pred'])
# array([[175,  98],
#        [ 46,  81]])