mirror of
https://github.com/webclinic017/drift.git
synced 2026-07-28 11:17:47 +00:00
Mark Aron Szulyovszky
49 lines
1.4 KiB
Python
49 lines
1.4 KiB
Python
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,
|
|
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")
|
|
|
|
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"],
|
|
)
|
|
|
|
if sweep:
|
|
if wandb.run is not None:
|
|
wandb.finish()
|