from reporting.wandb import send_report_to_wandb import pandas as pd from utils.helpers import weighted_average from config.types import Config def report_results(results:pd.DataFrame, all_predictions:pd.DataFrame, config: Config, wandb, sweep: bool, project_name:str): primary_results = results[[column for column in results.columns if 'ensemble' not in column]] ensemble_results = results[[column for column in results.columns if 'ensemble' in column]] # Only send the results of the final model to wandb results_to_send = ensemble_results if ensemble_results.shape[1] > 0 else primary_results send_report_to_wandb(results_to_send, wandb) results.to_csv('output/results.csv') primary_weights = all_predictions[[column for column in all_predictions.columns if 'ensemble' not in column]] ensemble_weights = all_predictions[[column for column in all_predictions.columns if 'ensemble' in column]] predictions_to_save = ensemble_weights if ensemble_weights.shape[1] > 0 else primary_weights predictions_to_save.to_csv('output/predictions.csv') print("\n--------\n") all_avg_results = weighted_average(results, 'no_of_samples') primary_avg_results = weighted_average(primary_results, 'no_of_samples') ensemble_avg_results = weighted_average(ensemble_results, 'no_of_samples') print("Benchmark buy-and-hold sharpe: ", round(all_avg_results.loc['benchmark_sharpe'], 3)) print("Level-1: Number of samples evaluated: ", primary_results.loc['no_of_samples'].sum()) print("Mean Sharpe ratio for Level-1 models: ", round(primary_avg_results.loc['sharpe'], 3)) print("Mean Probabilistic Sharpe ratio for Level-1 models: ", round(primary_avg_results.loc['prob_sharpe'].mean(), 3)) if len(config.meta_labeling_models) > 0: print("Level-2 (Ensemble): Number of samples evaluated: ", ensemble_results.loc['no_of_samples'].sum()) print("Mean Sharpe ratio for Level-2 (Ensemble) models: ", round(ensemble_avg_results.loc['sharpe'].mean(), 3)) print("Mean Probabilistic Sharpe ratio for Level-2 (Ensemble) models: ", round(ensemble_avg_results.loc['prob_sharpe'].mean(), 3)) ensemble_avg_results.to_csv('output/results_level2.csv') if sweep: if wandb.run is not None: wandb.finish()