aml_consolidate_results: Function to consolidate model test results

In lazytrade: Learn Computer and Data Science using Algorithmic Trading

Description

Function is designed to evaluate test results of multiple models. This is done to select only group of models with the best performance. In addition, function will provide facility to generate logs hence to allow tracking of long term model performance

Usage

aml_consolidate_results(
  timeframe = 15,
  used_symbols,
  path_model,
  path_sbxm,
  path_sbxs,
  min_quality = 0.75,
  get_quantile = FALSE,
  log_results = FALSE,
  path_logs = NULL
)

Arguments

timeframe	Integer, Data timeframe interval in minutes e.g. 60 min
used_symbols	Vector, containing several financial instruments that were previously used to test the model
path_model	String, User path where the test results were stored
path_sbxm	String, User path to the sandbox where file with strategy test results should be written (master terminal)
path_sbxs	String, User path to the sandbox where file with strategy test results should be written (slave terminal)
min_quality	Double, value typically from 0.25 to 0.95 to select the min threshold value
get_quantile	Bool, whether or not function should return an overall value of model performances this will be used to conditionally update only less performant models
log_results	Bool, option to write logs with cumulative results obtained for all models
path_logs	String, User path to the folder where to log results

Details

Provide a modular facility to aggregate and update files, write performance logs.

Value

Function is writing files into Decision Support System folders

Author(s)

(C) 2021 Vladimir Zhbanko

Examples

library(dplyr)
library(magrittr)
library(readr)
library(lazytrade)
library(stats)

testpath <- normalizePath(tempdir(),winslash = "/")
path_model <- file.path(testpath, "_Model")
path_sbxm <- file.path(testpath, "_T1")
path_sbxs <- file.path(testpath, "_T3")
path_logs <- file.path(testpath, "_LOGS")
dir.create(path_model)
dir.create(path_sbxm)
dir.create(path_sbxs)
dir.create(path_logs)

file.copy(from = system.file("extdata", "StrTest-EURGBPM15.csv", package = "lazytrade"),
          to = file.path(path_model, "StrTest-EURGBPM15.csv"), overwrite = TRUE)

file.copy(from = system.file("extdata", "StrTest-EURJPYM15.csv", package = "lazytrade"),
          to = file.path(path_model, "StrTest-EURJPYM15.csv"), overwrite = TRUE)

file.copy(from = system.file("extdata", "StrTest-EURNZDM15.csv", package = "lazytrade"),
          to = file.path(path_model, "StrTest-EURNZDM15.csv"), overwrite = TRUE)

file.copy(from = system.file("extdata", "StrTest-EURUSDM15.csv", package = "lazytrade"),
          to = file.path(path_model, "StrTest-EURUSDM15.csv"), overwrite = TRUE)

Pairs <- c("EURGBP","EURJPY","EURNZD","EURUSD")

aml_consolidate_results(timeframe = 15,
                        used_symbols = Pairs,
                        path_model = path_model,
                        path_sbxm = path_sbxm,
                        path_sbxs = path_sbxs,
                        min_quality = 0.75,
                        get_quantile = FALSE)


aml_consolidate_results(timeframe = 15,
                        used_symbols = Pairs,
                        path_model = path_model,
                        path_sbxm = path_sbxm,
                        path_sbxs = path_sbxs,
                        min_quality = 0.75,
                        get_quantile = TRUE)


aml_consolidate_results(timeframe = 15,
                        used_symbols = Pairs,
                        path_model = path_model,
                        path_sbxm = path_sbxm,
                        path_sbxs = path_sbxs,
                        min_quality = 0.75,
                        get_quantile = FALSE,
                        log_results = TRUE,
                        path_logs = path_logs)

lazytrade documentation built on Dec. 16, 2021, 1:06 a.m.