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add analyser batch run performance
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cedricporter committed Apr 5, 2017
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28 changes: 28 additions & 0 deletions docs/source/intro/optimizing_parameters.rst
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Expand Up @@ -107,3 +107,31 @@ TBD
==================
分析批量回测结果
==================

.. code-block:: python
import glob
import pandas as pd
results = []
for name in glob.glob("results/*.pkl"):
result_dict = pd.read_pickle(name)
summary = result_dict["summary"]
results.append({
"name": name,
"annualized_returns": summary["annualized_returns"],
"sharpe": summary["sharpe"],
"max_drawdown": summary["max_drawdown"],
})
results_df = pd.DataFrame(results)
print("-" * 50)
print("Sort by sharpe")
print(results_df.sort_values("sharpe", ascending=False)[:10])
print("-" * 50)
print("Sort by annualized_returns")
print(results_df.sort_values("annualized_returns", ascending=False)[:10])

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