aml_consolidate_results function

Function to consolidate model test results

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

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

Returns

Function is writing files into Decision Support System folders

Details

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

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

Pairs <- c("EURGBP","EURJPY", "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 = FALSE,
                        log_results = TRUE,
                        path_logs = path_logs)

Author(s)

(C) 2021 Vladimir Zhbanko