From e0443ace64b6072b190ddb3d3374477d691ae4c3 Mon Sep 17 00:00:00 2001 From: Cedric Porter Date: Wed, 5 Apr 2017 23:47:50 +0800 Subject: [PATCH] add analyser batch run performance --- docs/source/intro/optimizing_parameters.rst | 28 +++++++++++++++++++++ 1 file changed, 28 insertions(+) diff --git a/docs/source/intro/optimizing_parameters.rst b/docs/source/intro/optimizing_parameters.rst index aff46c545..a98cc59a4 100644 --- a/docs/source/intro/optimizing_parameters.rst +++ b/docs/source/intro/optimizing_parameters.rst @@ -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])