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()