230 lines
7.3 KiB
Python
230 lines
7.3 KiB
Python
#####################################################
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# Copyright (c) Xuanyi Dong [GitHub D-X-Y], 2021.02 #
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#####################################################
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# python exps/trading/organize_results.py #
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#####################################################
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import sys, argparse
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import numpy as np
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from typing import List, Text
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from collections import defaultdict, OrderedDict
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from pathlib import Path
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from pprint import pprint
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import ruamel.yaml as yaml
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lib_dir = (Path(__file__).parent / ".." / ".." / "lib").resolve()
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if str(lib_dir) not in sys.path:
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sys.path.insert(0, str(lib_dir))
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import qlib
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from qlib.config import REG_CN
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from qlib.workflow import R
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class QResult:
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def __init__(self):
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self._result = defaultdict(list)
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def append(self, key, value):
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self._result[key].append(value)
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@property
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def result(self):
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return self._result
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def __len__(self):
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return len(self._result)
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def update(self, metrics, filter_keys=None):
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for key, value in metrics.items():
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if filter_keys is not None and key in filter_keys:
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key = filter_keys[key]
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elif filter_keys is not None:
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continue
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self.append(key, value)
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@staticmethod
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def full_str(xstr, space):
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xformat = "{:" + str(space) + "s}"
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return xformat.format(str(xstr))
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@staticmethod
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def merge_dict(dict_list):
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new_dict = dict()
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for xkey in dict_list[0].keys():
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values = [x for xdict in dict_list for x in xdict[xkey]]
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new_dict[xkey] = values
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return new_dict
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def info(
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self,
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keys: List[Text],
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separate: Text = "& ",
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space: int = 20,
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verbose: bool = True,
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):
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avaliable_keys = []
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for key in keys:
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if key not in self.result:
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print("There are invalid key [{:}].".format(key))
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else:
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avaliable_keys.append(key)
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head_str = separate.join([self.full_str(x, space) for x in avaliable_keys])
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values = []
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for key in avaliable_keys:
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# current_values = self._result[key]
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current_values = [x * 100 for x in self._result[key]]
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mean = np.mean(current_values)
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std = np.std(current_values)
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# values.append("{:.4f} $\pm$ {:.4f}".format(mean, std))
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values.append("{:.2f} $\pm$ {:.2f}".format(mean, std))
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value_str = separate.join([self.full_str(x, space) for x in values])
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if verbose:
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print(head_str)
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print(value_str)
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return head_str, value_str
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def compare_results(
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heads, values, names, space=10, separate="& ", verbose=True, sort_key=False
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):
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for idx, x in enumerate(heads):
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assert x == heads[0], "[{:}] \n{:}\nvs\n{:}".format(idx, x, heads[0])
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new_head = QResult.full_str("Name", space) + separate + heads[0]
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info_str_dict = dict(head=new_head, lines=[])
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for name, value in zip(names, values):
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xline = QResult.full_str(name, space) + separate + value
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info_str_dict["lines"].append(xline)
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if verbose:
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print("\nThere are {:} algorithms.".format(len(values)))
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print(info_str_dict["head"])
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if sort_key:
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lines = sorted(
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list(zip(values, info_str_dict["lines"])),
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key=lambda x: float(x[0].split(" ")[0]),
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)
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lines = [x[1] for x in lines]
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else:
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lines = info_str_dict["lines"]
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for xline in lines:
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print(xline + "\\\\")
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return info_str_dict
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def filter_finished(recorders):
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returned_recorders = dict()
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not_finished = 0
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for key, recorder in recorders.items():
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if recorder.status == "FINISHED":
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returned_recorders[key] = recorder
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else:
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not_finished += 1
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return returned_recorders, not_finished
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def query_info(save_dir, verbose):
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R.set_uri(save_dir)
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experiments = R.list_experiments()
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key_map = {
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# "RMSE": "RMSE",
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"IC": "IC",
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"ICIR": "ICIR",
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"Rank IC": "Rank_IC",
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"Rank ICIR": "Rank_ICIR",
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"excess_return_with_cost.annualized_return": "Annualized_Return",
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# "excess_return_with_cost.information_ratio": "Information_Ratio",
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"excess_return_with_cost.max_drawdown": "Max_Drawdown",
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}
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all_keys = list(key_map.values())
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if verbose:
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print("There are {:} experiments.".format(len(experiments)))
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head_strs, value_strs, names = [], [], []
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for idx, (key, experiment) in enumerate(experiments.items()):
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if experiment.id == "0":
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continue
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recorders = experiment.list_recorders()
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recorders, not_finished = filter_finished(recorders)
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if verbose:
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print(
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"====>>>> {:02d}/{:02d}-th experiment {:9s} has {:02d}/{:02d} finished recorders.".format(
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idx + 1,
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len(experiments),
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experiment.name,
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len(recorders),
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len(recorders) + not_finished,
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)
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)
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result = QResult()
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for recorder_id, recorder in recorders.items():
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result.update(recorder.list_metrics(), key_map)
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if not len(result):
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print("There are no valid recorders for {:}".format(experiment))
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continue
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else:
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print(
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"There are {:} valid recorders for {:}".format(
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len(recorders), experiment.name
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)
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)
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head_str, value_str = result.info(all_keys, verbose=verbose)
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head_strs.append(head_str)
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value_strs.append(value_str)
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names.append(experiment.name)
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info_str_dict = compare_results(
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head_strs, value_strs, names, space=10, verbose=verbose
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)
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info_value_dict = dict(heads=head_strs, values=value_strs, names=names)
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return info_str_dict, info_value_dict
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if __name__ == "__main__":
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parser = argparse.ArgumentParser("Show Results")
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def str2bool(v):
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if isinstance(v, bool):
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return v
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elif v.lower() in ("yes", "true", "t", "y", "1"):
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return True
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elif v.lower() in ("no", "false", "f", "n", "0"):
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return False
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else:
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raise argparse.ArgumentTypeError("Boolean value expected.")
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parser.add_argument(
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"--save_dir",
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type=str,
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nargs="+",
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default=[],
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help="The checkpoint directory.",
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)
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parser.add_argument(
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"--verbose",
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type=str2bool,
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default=False,
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help="Print detailed log information or not.",
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)
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args = parser.parse_args()
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print("Show results of {:}".format(args.save_dir))
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if not args.save_dir:
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raise ValueError("Receive no input directory for [args.save_dir]")
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provider_uri = "~/.qlib/qlib_data/cn_data"
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qlib.init(provider_uri=provider_uri, region=REG_CN)
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all_info_dict = []
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for save_dir in args.save_dir:
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_, info_dict = query_info(save_dir, args.verbose)
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all_info_dict.append(info_dict)
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info_dict = QResult.merge_dict(all_info_dict)
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compare_results(
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info_dict["heads"],
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info_dict["values"],
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info_dict["names"],
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space=14,
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verbose=True,
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sort_key=True,
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)
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