{ "cells": [ { "cell_type": "code", "execution_count": 1, "metadata": { "collapsed": false, "deletable": true, "editable": true }, "outputs": [], "source": [ "import pandas as pd\n", "import numpy as np\n", "import seaborn\n", "%matplotlib inline\n", "\n", "from IPython.display import Image\n", "from IPython.core.display import HTML " ] }, { "cell_type": "code", "execution_count": 2, "metadata": { "collapsed": true, "deletable": true, "editable": true }, "outputs": [], "source": [ "file = 'ExperimentFullResults_noPercentage.csv'\n", "df = pd.read_csv(file)" ] }, { "cell_type": "markdown", "metadata": { "deletable": true, "editable": true }, "source": [ "# Experiment results analysis.\n", "\n", "## Clean data and descriptive statistics.\n", "\n", "From the 1250 runs, 260 were erroneous, mainly because the portfolio value went below zero (and this creates a stackoverflow error when estimating the final statistics, I think this error is fixed in a recent patch)." ] }, { "cell_type": "code", "execution_count": 3, "metadata": { "collapsed": false, "deletable": true, "editable": true }, "outputs": [ { "data": { "text/plain": [ "260" ] }, "execution_count": 3, "metadata": {}, "output_type": "execute_result" } ], "source": [ "df[df.TotalTrades == 0].shape[0]" ] }, { "cell_type": "code", "execution_count": 4, "metadata": { "collapsed": true, "deletable": true, "editable": true }, "outputs": [], "source": [ "df = df[df.TotalTrades != 0]" ] }, { "cell_type": "code", "execution_count": 5, "metadata": { "collapsed": false, "deletable": true, "editable": true }, "outputs": [ { "data": { "text/html": [ "
\n", " | TotalTrades | \n", "AverageWin | \n", "AverageLoss | \n", "CompoundingAnnualReturn | \n", "Drawdown | \n", "Expectancy | \n", "NetProfit | \n", "SharpeRatio | \n", "LossRate | \n", "WinRate | \n", "... | \n", "AnnualStandardDeviation | \n", "AnnualVariance | \n", "InformationRatio | \n", "TrackingError | \n", "TreynorRatio | \n", "TotalFees | \n", "MaxExposure | \n", "Leverage | \n", "InitialCash | \n", "PairsToTrade | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "... | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "990.000000 | \n", "
mean | \n", "1001.993939 | \n", "0.026291 | \n", "-0.026413 | \n", "-0.030644 | \n", "0.512565 | \n", "0.016145 | \n", "-0.127610 | \n", "0.135249 | \n", "0.496717 | \n", "0.503283 | \n", "... | \n", "0.319380 | \n", "0.647293 | \n", "-0.216307 | \n", "0.354697 | \n", "-0.399678 | \n", "3743.065495 | \n", "0.415455 | \n", "10.200000 | \n", "333535.353535 | \n", "3.009091 | \n", "
std | \n", "501.122852 | \n", "0.051129 | \n", "0.050953 | \n", "0.084435 | \n", "0.319709 | \n", "0.128365 | \n", "0.279853 | \n", "0.125491 | \n", "0.029475 | \n", "0.029475 | \n", "... | \n", "0.738854 | \n", "14.030692 | \n", "0.290198 | \n", "0.726263 | \n", "4.056452 | \n", "8763.064810 | \n", "0.198053 | \n", "10.712645 | \n", "377734.219805 | \n", "1.428058 | \n", "
min | \n", "7.000000 | \n", "-0.049700 | \n", "-0.695000 | \n", "-0.946200 | \n", "0.002000 | \n", "-0.631000 | \n", "-0.981950 | \n", "-0.215000 | \n", "0.160000 | \n", "0.420000 | \n", "... | \n", "0.001000 | \n", "0.000000 | \n", "-0.596000 | \n", "0.113000 | \n", "-48.368000 | \n", "0.000000 | \n", "0.200000 | \n", "1.000000 | \n", "10000.000000 | \n", "1.000000 | \n", "
25% | \n", "684.000000 | \n", "0.004200 | \n", "-0.028000 | \n", "-0.033930 | \n", "0.198250 | \n", "-0.015000 | \n", "-0.221470 | \n", "0.063000 | \n", "0.490000 | \n", "0.490000 | \n", "... | \n", "0.063250 | \n", "0.004000 | \n", "-0.493000 | \n", "0.126000 | \n", "0.072000 | \n", "0.000000 | \n", "0.300000 | \n", "2.000000 | \n", "50000.000000 | \n", "2.000000 | \n", "
50% | \n", "1026.000000 | \n", "0.012600 | \n", "-0.012600 | \n", "-0.002065 | \n", "0.524500 | \n", "0.003000 | \n", "-0.014850 | \n", "0.099000 | \n", "0.500000 | \n", "0.500000 | \n", "... | \n", "0.195000 | \n", "0.038000 | \n", "-0.210000 | \n", "0.219000 | \n", "0.131000 | \n", "0.000000 | \n", "0.400000 | \n", "5.000000 | \n", "100000.000000 | \n", "3.000000 | \n", "
75% | \n", "1376.000000 | \n", "0.026700 | \n", "-0.004200 | \n", "0.002730 | \n", "0.804000 | \n", "0.013000 | \n", "0.019985 | \n", "0.175000 | \n", "0.510000 | \n", "0.510000 | \n", "... | \n", "0.399000 | \n", "0.159000 | \n", "-0.024000 | \n", "0.407000 | \n", "0.247000 | \n", "2000.190000 | \n", "0.500000 | \n", "10.000000 | \n", "500000.000000 | \n", "4.000000 | \n", "
max | \n", "1724.000000 | \n", "0.528200 | \n", "-0.000300 | \n", "0.354120 | \n", "1.000000 | \n", "2.008000 | \n", "0.480640 | \n", "1.336000 | \n", "0.580000 | \n", "0.840000 | \n", "... | \n", "21.003000 | \n", "441.106000 | \n", "1.361000 | \n", "20.974000 | \n", "10.025000 | \n", "55883.380000 | \n", "0.800000 | \n", "50.000000 | \n", "1000000.000000 | \n", "5.000000 | \n", "
8 rows × 23 columns
\n", "