Skip to content

Add documentation comments to _compute_quantile_df and _compute_weigh… #33

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
Ireliven wants to merge 4 commits into
base: dev
Choose a base branch
from
Open

Add documentation comments to _compute_quantile_df and _compute_weigh… #33

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
4 commits
Select commit Hold shift + click to select a range
b9698fe
Add documentation comments to _compute_quantile_df and _compute_weigh…
Ireliven Jun 28, 2025
76a947d
Add 2 functions to generate latex tables
Ireliven Jul 4, 2025
e5164a2
various latex code for tables
Ireliven Jul 10, 2025
2e332c2
test ipynb
Ireliven Jul 17, 2025
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
47 changes: 44 additions & 3 deletions firefin/evaluation/academia/AcaEvaluatorModel.py
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,6 +1,20 @@
import typing
import pandas as pd
from ..eva_utils import compute_ic, summarise_ic, generate_latex_code, ForwardReturns, QuantileReturns
from ..eva_utils import (
compute_ic,
summarise_ic,
generate_latex_code,
ForwardReturns,
QuantileReturns,
single_sort_table1_latex,
single_sort_table2_latex,
single_sort_table3_latex,
fama_macbeth_latex,
regression_latex,
else1_latex,
else2_latex,
else3_latex
)
from ...core.algorithm.regression import least_square, RollingRegressor, BatchRegressionResult
from ...common.config import logger
from .anomaly_test import AnomalyTest
Expand Down Expand Up @@ -142,7 +156,6 @@ def run_ic(
pd.DataFrame
A DataFrame containing IC values for each evaluation period.
"""

ic = compute_ic(self.factor, self.forward_returns, method = method)
if plot:
plots.plt_ic(ic, plot_dir = plot_dir)
Expand Down Expand Up @@ -270,4 +283,32 @@ def run_all(self) -> dict:
results['anomaly_stat'] = {k:self.run_anomaly_test(portfolio_returns= pd.DataFrame(v.iloc[:,-1]), return_stats= True)}
logger.info("Anomaly Test Completed")

return results
return results

# TODO: Complete the comments about df and return
@staticmethod
def output_latex(df_dict: dict):
keys = ['table1', 'table2', 'table3', 'fama_macbeth', 'regression', 'else1', 'else2', 'else3']
str1 = single_sort_table1_latex(df1 = df_dict['df1'], df2 = df_dict['df2'])
str2 = single_sort_table2_latex(df = df_dict['df3'])
str3 = single_sort_table3_latex(df1 =df_dict['df4'], df2 = df_dict['df5'])
str4 = fama_macbeth_latex(
df1 = df_dict['df6'],
df2 = df_dict['df7'],
df3 = df_dict['df8'],
df4 = df_dict['df9']
)
str5 = regression_latex(
df1 = df_dict['df10'],
df2 = df_dict['df11'],
df3 = df_dict['df12'],
df4 = df_dict['df13']
)
str6 = else1_latex(df1 = df_dict['df14'], df2 = df_dict['df15'])
str7 = else2_latex(df = df_dict['df16'])
str8 = else3_latex(df = df_dict['df17'])
values = [str1, str2, str3, str4, str5, str6, str7, str8]

result_dict = dict(zip(keys, values))
return result_dict

Loading