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Update table generator

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Jactus
2020-12-04 12:55:22 +08:00
parent 99adc514a5
commit 86b0b63771
1 changed files with 6 additions and 6 deletions
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12
examples/run_all_model.py
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@@ -137,7 +137,7 @@ def get_all_folders(models, exclude) -> dict:
# function to get all the files under the model folder # function to get all the files under the model folder
def get_all_files(folder_path, dataset) -> (str, str): def get_all_files(folder_path, dataset) -> (str, str):
yaml_path = str(Path(f"{folder_path}") / f"*{dataset}*.yaml") yaml_path = str(Path(f"{folder_path}") / f"*{dataset}*.yaml")
req_path = str(Path(f"{folder_path}") / f"*{dataset}*.txt") req_path = str(Path(f"{folder_path}") / f"*.txt")
return glob.glob(yaml_path)[0], glob.glob(req_path)[0] return glob.glob(yaml_path)[0], glob.glob(req_path)[0]
@@ -172,17 +172,17 @@ def get_all_results(folders) -> dict:
# function to generate and save markdown table # function to generate and save markdown table
def gen_and_save_md_table(metrics, dataset): def gen_and_save_md_table(metrics, dataset):
table = "| Model Name | Dataset | Annualized Return | Information Ratio | Max Drawdown | IC | ICIR | Rank IC | Rank ICIR |\n" table = "| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |\n"
table += "|---|---|---|---|---|---|---|---|---|\n" table += "|---|---|---|---|---|---|---|---|---|\n"
for fn in metrics: for fn in metrics:
ar = metrics[fn]["annualized_return_with_cost"]
ir = metrics[fn]["information_ratio_with_cost"]
md = metrics[fn]["max_drawdown_with_cost"]
ic = metrics[fn]["ic"] ic = metrics[fn]["ic"]
icir = metrics[fn]["icir"] icir = metrics[fn]["icir"]
ric = metrics[fn]["rank_ic"] ric = metrics[fn]["rank_ic"]
ricir = metrics[fn]["rank_icir"] ricir = metrics[fn]["rank_icir"]
table += f"| {fn} | {dataset} | {ar[0]:5.4f}±{ar[1]:2.2f} | {ir[0]:5.4f}±{ir[1]:2.2f}| {md[0]:5.4f}±{md[1]:2.2f} | {ic[0]:5.4f}±{ic[1]:2.2f} | {icir[0]:5.4f}±{icir[1]:2.2f}| {ric[0]:5.4f}±{ric[1]:2.2f} | {ricir[0]:5.4f}±{ricir[1]:2.2f} |\n" ar = metrics[fn]["annualized_return_with_cost"]
ir = metrics[fn]["information_ratio_with_cost"]
md = metrics[fn]["max_drawdown_with_cost"]
table += f"| {fn} | {dataset} | {ic[0]:5.4f}±{ic[1]:2.2f} | {icir[0]:5.4f}±{icir[1]:2.2f}| {ric[0]:5.4f}±{ric[1]:2.2f} | {ricir[0]:5.4f}±{ricir[1]:2.2f} | {ar[0]:5.4f}±{ar[1]:2.2f} | {ir[0]:5.4f}±{ir[1]:2.2f}| {md[0]:5.4f}±{md[1]:2.2f} |\n"
pprint(table) pprint(table)
with open("table.md", "w") as f: with open("table.md", "w") as f:
f.write(table) f.write(table)