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: Stats, output_stats: Stats, output_weights: WeightsSeries, config: Config, wandb, ): # 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.file_name).to_csv( "output/predictions.csv" ) print("\n--------\n") print("Benchmark buy-and-hold sharpe: ", output_stats["benchmark_sharpe"]) print("Level-1: Number of samples evaluated: ", directional_stats["no_of_samples"]) print( "Mean Sharpe ratio for Level-1 models: ", round(directional_stats["sharpe"], 3) ) print( "Mean Probabilistic Sharpe ratio for Level-1 models: ", round(directional_stats["prob_sharpe"], 3), ) 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"], )