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feat(Metrics): added probabilistic sharpe ratio (#82)

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* feat(Metrics): added probabilistic sharpe ratio

* Apply suggestions from code review
This commit is contained in:
Mark Aron Szulyovszky
2021-12-23 17:06:22 +01:00
committed by GitHub
parent 4fb1f303d7
commit eea88103f4
3 changed files with 373 additions and 25 deletions
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run_pipeline.py
+8 -1
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@@ -82,9 +82,16 @@ def pipeline(project_name:str, wandb, sweep:bool, model_config:dict, training_co
level1_columns = results[[column for column in results.columns if 'Ensemble' not in column]]
ensemble_columns = results[[column for column in results.columns if 'Ensemble' in column]]
print("Mean no of samples: ", results.loc['no_of_samples'].mean())
print("\n--------\n")
print("Benchmark buy-and-hold sharpe: ", round(results.loc['benchmark_sharpe'].mean(), 3))
print("Level-1: Number of samples evaluated: ", level1_columns.loc['no_of_samples'].sum())
print("Mean Sharpe ratio for Level-1 models: ", round(level1_columns.loc['sharpe'].mean(), 3))
print("Mean Probabilistic Sharpe ratio for Level-1 models: ", round(level1_columns.loc['prob_sharpe'].mean(), 3))
print("Level-2 (Ensemble): Number of samples evaluated: ", ensemble_columns.loc['no_of_samples'].sum())
print("Mean Sharpe ratio for Level-2 (Ensemble) models: ", round(ensemble_columns.loc['sharpe'].mean(), 3))
print("Mean Probabilistic Sharpe ratio for Level-2 (Ensemble) models: ", round(ensemble_columns.loc['prob_sharpe'].mean(), 3))
if sweep:
if wandb.run is not None: