drift/reporting/reporting.py

from reporting.wandb import send_report_to_wandb
import pandas as pd
from utils.helpers import weighted_average
from config.types import Config 
from training.types import WeightsSeries, Stats

def report_results(directional_stats: list[Stats], output_stats: Stats, output_weights: WeightsSeries, config: Config, wandb, sweep: bool):

    # Only send the results of the final model to wandb
    send_report_to_wandb(output_stats, wandb)
    pd.Series(output_stats).to_csv('output/results.csv')

    output_weights.rename(config.target_asset[1]).to_csv('output/predictions.csv')

    print("\n--------\n")
    directional_avg_stats = weighted_average(pd.concat([pd.Series(stat) for stat in directional_stats], axis = 1), 'no_of_samples')

    print("Benchmark buy-and-hold sharpe: ", output_stats['benchmark_sharpe'])

    print("Level-1: Number of samples evaluated: ", directional_avg_stats.loc['no_of_samples'].sum())
    print("Mean Sharpe ratio for Level-1 models: ", round(directional_avg_stats.loc['sharpe'], 3))
    print("Mean Probabilistic Sharpe ratio for Level-1 models: ", round(directional_avg_stats.loc['prob_sharpe'].mean(), 3))

    if len(config.meta_models) > 0: 
        print("Level-2 (Ensemble): Number of samples evaluated: ", output_stats['no_of_samples'])
        print("Mean Sharpe ratio for Level-2 (Ensemble) models: ", output_stats['sharpe'])
        print("Mean Probabilistic Sharpe ratio for Level-2 (Ensemble) models: ", output_stats['prob_sharpe'])

    if sweep:
        if wandb.run is not None:
            wandb.finish()