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Update CI

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Jactus
2020-12-04 11:51:45 +08:00
parent 07fb9031c6
commit 99adc514a5
3 changed files with 7 additions and 11 deletions
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10
examples/run_all_model.py
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@@ -171,9 +171,9 @@ def get_all_results(folders) -> dict:
# function to generate and save markdown table
def gen_and_save_md_table(metrics):
table = "| Model Name | Annualized Return | Information Ratio | Max Drawdown | IC | ICIR | Rank IC | Rank ICIR |\n"
table += "|---|---|---|---|---|---|---|---|\n"
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 += "|---|---|---|---|---|---|---|---|---|\n"
for fn in metrics:
ar = metrics[fn]["annualized_return_with_cost"]
ir = metrics[fn]["information_ratio_with_cost"]
@@ -182,7 +182,7 @@ def gen_and_save_md_table(metrics):
icir = metrics[fn]["icir"]
ric = metrics[fn]["rank_ic"]
ricir = metrics[fn]["rank_icir"]
table += f"| {fn} | {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"
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"
pprint(table)
with open("table.md", "w") as f:
f.write(table)
@@ -289,7 +289,7 @@ def run(times=1, models=None, dataset="Alpha360", exclude=False):
results = cal_mean_std(results)
# generating md table
sys.stderr.write(f"Generating markdown table...\n")
gen_and_save_md_table(results)
gen_and_save_md_table(results, dataset)
sys.stderr.write("\n")
# print erros
sys.stderr.write(f"Here are some of the errors of the models...\n")