simulation_analysis.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "import pickle\n",
    "import numpy as np\n",
    "import altair as alt\n",
    "import pandas as pd\n",
    "from trading_gym.utils.summary import get_agents_metrics\n",
    "from datetime import datetime\n",
    "\n",
    "path = \"./simulation_results\""
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Weekly Rebalance"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 43,
   "metadata": {},
   "outputs": [],
   "source": [
    "genetic_agent = pickle.load(open(f\"{path}/geneticagent/results_geneticagent_params_0_testing_oot_weekly_reb.pickle\", \"rb\"))\n",
    "dlpopt_agent = pickle.load(open(f\"{path}/deeplportfolio/results_deeplportfolio_params_0_testing_oot_weekly_reb.pickle\", \"rb\"))\n",
    "ew_agent = pickle.load(open(f\"{path}/ew/results_ew_params_0_testing_oot_weekly_reb.pickle\", \"rb\"))\n",
    "hrp_agent = pickle.load(open(f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb.pickle\", \"rb\"))\n",
    "assets_data = pickle.load(open(\"./assets_data_testing.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 44,
   "metadata": {},
   "outputs": [],
   "source": [
    "agents = [genetic_agent, dlpopt_agent, hrp_agent, ew_agent]\n",
    "agents_names = [\"Genetic Agent\", \"DeepL Agent\", \"HRP Agent\", \"Equal Weight Agent\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 45,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,1,1), assets_data[\"close\"]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 46,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "    }\n",
       "\n",
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       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Genetic Agent</th>\n",
       "      <th>DeepL Agent</th>\n",
       "      <th>HRP Agent</th>\n",
       "      <th>Equal Weight Agent</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.007586</td>\n",
       "      <td>0.007708</td>\n",
       "      <td>0.008943</td>\n",
       "      <td>0.004006</td>\n",
       "      <td>0.001947</td>\n",
       "      <td>0.005650</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.082699</td>\n",
       "      <td>0.082705</td>\n",
       "      <td>0.074463</td>\n",
       "      <td>0.065870</td>\n",
       "      <td>0.041987</td>\n",
       "      <td>0.056202</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>1.752468</td>\n",
       "      <td>1.780645</td>\n",
       "      <td>2.294563</td>\n",
       "      <td>1.161876</td>\n",
       "      <td>0.885794</td>\n",
       "      <td>1.920805</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>6.262457</td>\n",
       "      <td>6.327561</td>\n",
       "      <td>10.343709</td>\n",
       "      <td>10.212228</td>\n",
       "      <td>1.151814</td>\n",
       "      <td>3.275329</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>9.000000</td>\n",
       "      <td>9.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>15.000000</td>\n",
       "      <td>6.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>1.266296</td>\n",
       "      <td>1.220029</td>\n",
       "      <td>0.623850</td>\n",
       "      <td>-0.019141</td>\n",
       "      <td>0.172095</td>\n",
       "      <td>0.029035</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>5.609253</td>\n",
       "      <td>5.375699</td>\n",
       "      <td>7.265997</td>\n",
       "      <td>4.722127</td>\n",
       "      <td>1.710761</td>\n",
       "      <td>3.634270</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.389888</td>\n",
       "      <td>1.367731</td>\n",
       "      <td>1.267401</td>\n",
       "      <td>1.209881</td>\n",
       "      <td>1.197361</td>\n",
       "      <td>1.128458</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.105879</td>\n",
       "      <td>-0.102796</td>\n",
       "      <td>-0.098121</td>\n",
       "      <td>-0.089910</td>\n",
       "      <td>-0.062388</td>\n",
       "      <td>-0.081252</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.145505</td>\n",
       "      <td>-0.145680</td>\n",
       "      <td>-0.147061</td>\n",
       "      <td>-0.142084</td>\n",
       "      <td>-0.089282</td>\n",
       "      <td>-0.118780</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.485411</td>\n",
       "      <td>0.488064</td>\n",
       "      <td>0.549072</td>\n",
       "      <td>0.517241</td>\n",
       "      <td>0.498674</td>\n",
       "      <td>0.554377</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.373310</td>\n",
       "      <td>1.362898</td>\n",
       "      <td>1.161872</td>\n",
       "      <td>1.096906</td>\n",
       "      <td>1.133861</td>\n",
       "      <td>1.050714</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.057798</td>\n",
       "      <td>0.058072</td>\n",
       "      <td>0.051216</td>\n",
       "      <td>0.048088</td>\n",
       "      <td>0.031033</td>\n",
       "      <td>0.041531</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>5.158043</td>\n",
       "      <td>5.386939</td>\n",
       "      <td>10.339662</td>\n",
       "      <td>1.979865</td>\n",
       "      <td>1.496765</td>\n",
       "      <td>4.625070</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 Genetic Agent  DeepL Agent  HRP Agent  \\\n",
       "Mean Return                           0.007586     0.007708   0.008943   \n",
       "Volatility                            0.082699     0.082705   0.074463   \n",
       "Sharpe Ratio                          1.752468     1.780645   2.294563   \n",
       "Max Drawdown                          6.262457     6.327561  10.343709   \n",
       "Average Drawdown Time                 9.000000     9.000000   3.000000   \n",
       "Skewness                              1.266296     1.220029   0.623850   \n",
       "Kurtosis                              5.609253     5.375699   7.265997   \n",
       "Tail Ratio                            1.389888     1.367731   1.267401   \n",
       "VaR                                  -0.105879    -0.102796  -0.098121   \n",
       "CVaR                                 -0.145505    -0.145680  -0.147061   \n",
       "Hit Ratio                             0.485411     0.488064   0.549072   \n",
       "Average Win to Average Loss           1.373310     1.362898   1.161872   \n",
       "Average Profitability per Trade       0.057798     0.058072   0.051216   \n",
       "PnL                                   5.158043     5.386939  10.339662   \n",
       "\n",
       "                                 Equal Weight Agent    BTCUSDT   ETHUSDT  \n",
       "Mean Return                                0.004006   0.001947  0.005650  \n",
       "Volatility                                 0.065870   0.041987  0.056202  \n",
       "Sharpe Ratio                               1.161876   0.885794  1.920805  \n",
       "Max Drawdown                              10.212228   1.151814  3.275329  \n",
       "Average Drawdown Time                      2.000000  15.000000  6.000000  \n",
       "Skewness                                  -0.019141   0.172095  0.029035  \n",
       "Kurtosis                                   4.722127   1.710761  3.634270  \n",
       "Tail Ratio                                 1.209881   1.197361  1.128458  \n",
       "VaR                                       -0.089910  -0.062388 -0.081252  \n",
       "CVaR                                      -0.142084  -0.089282 -0.118780  \n",
       "Hit Ratio                                  0.517241   0.498674  0.554377  \n",
       "Average Win to Average Loss                1.096906   1.133861  1.050714  \n",
       "Average Profitability per Trade            0.048088   0.031033  0.041531  \n",
       "PnL                                        1.979865   1.496765  4.625070  "
      ]
     },
     "execution_count": 46,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 47,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./stats_2021_1_1_to_2022_1_12.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,1), assets_data[\"close\"]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Genetic Agent</th>\n",
       "      <th>DeepL Agent</th>\n",
       "      <th>HRP Agent</th>\n",
       "      <th>Equal Weight Agent</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>-0.007870</td>\n",
       "      <td>-0.003464</td>\n",
       "      <td>-0.003065</td>\n",
       "      <td>-0.008596</td>\n",
       "      <td>-0.006705</td>\n",
       "      <td>-0.008517</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.049624</td>\n",
       "      <td>0.060940</td>\n",
       "      <td>0.052774</td>\n",
       "      <td>0.031769</td>\n",
       "      <td>0.021941</td>\n",
       "      <td>0.037703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>-3.029801</td>\n",
       "      <td>-1.086093</td>\n",
       "      <td>-1.109695</td>\n",
       "      <td>-5.169088</td>\n",
       "      <td>-5.838098</td>\n",
       "      <td>-4.315879</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.252389</td>\n",
       "      <td>0.255319</td>\n",
       "      <td>0.201948</td>\n",
       "      <td>0.161395</td>\n",
       "      <td>0.128999</td>\n",
       "      <td>0.198463</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>-0.236605</td>\n",
       "      <td>0.760573</td>\n",
       "      <td>0.430628</td>\n",
       "      <td>0.141350</td>\n",
       "      <td>-0.536001</td>\n",
       "      <td>0.016225</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>-0.013140</td>\n",
       "      <td>1.792274</td>\n",
       "      <td>-0.057951</td>\n",
       "      <td>-0.797337</td>\n",
       "      <td>0.660073</td>\n",
       "      <td>-1.022181</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>0.673781</td>\n",
       "      <td>0.965638</td>\n",
       "      <td>1.139708</td>\n",
       "      <td>0.780178</td>\n",
       "      <td>0.568301</td>\n",
       "      <td>0.723210</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.087488</td>\n",
       "      <td>-0.087227</td>\n",
       "      <td>-0.074370</td>\n",
       "      <td>-0.050249</td>\n",
       "      <td>-0.042728</td>\n",
       "      <td>-0.062576</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.090850</td>\n",
       "      <td>-0.090703</td>\n",
       "      <td>-0.083564</td>\n",
       "      <td>-0.060852</td>\n",
       "      <td>-0.051948</td>\n",
       "      <td>-0.064590</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.416667</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>0.760409</td>\n",
       "      <td>1.015168</td>\n",
       "      <td>1.023448</td>\n",
       "      <td>0.898054</td>\n",
       "      <td>0.720461</td>\n",
       "      <td>0.685895</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.035096</td>\n",
       "      <td>0.041520</td>\n",
       "      <td>0.038604</td>\n",
       "      <td>0.026717</td>\n",
       "      <td>0.016089</td>\n",
       "      <td>0.031244</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>0.896998</td>\n",
       "      <td>0.940069</td>\n",
       "      <td>0.949228</td>\n",
       "      <td>0.896523</td>\n",
       "      <td>0.919954</td>\n",
       "      <td>0.895293</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 Genetic Agent  DeepL Agent  HRP Agent  \\\n",
       "Mean Return                          -0.007870    -0.003464  -0.003065   \n",
       "Volatility                            0.049624     0.060940   0.052774   \n",
       "Sharpe Ratio                         -3.029801    -1.086093  -1.109695   \n",
       "Max Drawdown                          0.252389     0.255319   0.201948   \n",
       "Average Drawdown Time                 1.000000     1.000000        NaN   \n",
       "Skewness                             -0.236605     0.760573   0.430628   \n",
       "Kurtosis                             -0.013140     1.792274  -0.057951   \n",
       "Tail Ratio                            0.673781     0.965638   1.139708   \n",
       "VaR                                  -0.087488    -0.087227  -0.074370   \n",
       "CVaR                                 -0.090850    -0.090703  -0.083564   \n",
       "Hit Ratio                             0.416667     0.416667   0.416667   \n",
       "Average Win to Average Loss           0.760409     1.015168   1.023448   \n",
       "Average Profitability per Trade       0.035096     0.041520   0.038604   \n",
       "PnL                                   0.896998     0.940069   0.949228   \n",
       "\n",
       "                                 Equal Weight Agent   BTCUSDT   ETHUSDT  \n",
       "Mean Return                               -0.008596 -0.006705 -0.008517  \n",
       "Volatility                                 0.031769  0.021941  0.037703  \n",
       "Sharpe Ratio                              -5.169088 -5.838098 -4.315879  \n",
       "Max Drawdown                               0.161395  0.128999  0.198463  \n",
       "Average Drawdown Time                           NaN       NaN  1.000000  \n",
       "Skewness                                   0.141350 -0.536001  0.016225  \n",
       "Kurtosis                                  -0.797337  0.660073 -1.022181  \n",
       "Tail Ratio                                 0.780178  0.568301  0.723210  \n",
       "VaR                                       -0.050249 -0.042728 -0.062576  \n",
       "CVaR                                      -0.060852 -0.051948 -0.064590  \n",
       "Hit Ratio                                  0.333333  0.333333  0.416667  \n",
       "Average Win to Average Loss                0.898054  0.720461  0.685895  \n",
       "Average Profitability per Trade            0.026717  0.016089  0.031244  \n",
       "PnL                                        0.896523  0.919954  0.895293  "
      ]
     },
     "execution_count": 24,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./stats_2022_1_1_to_2022_1_12.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 26,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,11,9), assets_data[\"close\"]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 27,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Genetic Agent</th>\n",
       "      <th>DeepL Agent</th>\n",
       "      <th>HRP Agent</th>\n",
       "      <th>Equal Weight Agent</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>-0.004344</td>\n",
       "      <td>-0.003839</td>\n",
       "      <td>0.003897</td>\n",
       "      <td>-0.011392</td>\n",
       "      <td>-0.005988</td>\n",
       "      <td>-0.004431</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.064206</td>\n",
       "      <td>0.064706</td>\n",
       "      <td>0.053683</td>\n",
       "      <td>0.051222</td>\n",
       "      <td>0.030998</td>\n",
       "      <td>0.039292</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>-1.292677</td>\n",
       "      <td>-1.133559</td>\n",
       "      <td>1.386795</td>\n",
       "      <td>-4.249105</td>\n",
       "      <td>-3.690382</td>\n",
       "      <td>-2.154703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.750409</td>\n",
       "      <td>0.738043</td>\n",
       "      <td>0.553369</td>\n",
       "      <td>0.738079</td>\n",
       "      <td>0.379120</td>\n",
       "      <td>0.348957</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>1.775277</td>\n",
       "      <td>1.634432</td>\n",
       "      <td>0.157864</td>\n",
       "      <td>-0.156491</td>\n",
       "      <td>-0.635018</td>\n",
       "      <td>-0.392601</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>7.808200</td>\n",
       "      <td>6.556997</td>\n",
       "      <td>1.254263</td>\n",
       "      <td>0.610721</td>\n",
       "      <td>0.214840</td>\n",
       "      <td>-0.215196</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>0.802577</td>\n",
       "      <td>0.938772</td>\n",
       "      <td>1.151240</td>\n",
       "      <td>0.693979</td>\n",
       "      <td>0.662943</td>\n",
       "      <td>0.690003</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.095921</td>\n",
       "      <td>-0.096117</td>\n",
       "      <td>-0.079853</td>\n",
       "      <td>-0.088686</td>\n",
       "      <td>-0.061417</td>\n",
       "      <td>-0.073299</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.107083</td>\n",
       "      <td>-0.107173</td>\n",
       "      <td>-0.105466</td>\n",
       "      <td>-0.122101</td>\n",
       "      <td>-0.075249</td>\n",
       "      <td>-0.085850</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.430769</td>\n",
       "      <td>0.430769</td>\n",
       "      <td>0.538462</td>\n",
       "      <td>0.384615</td>\n",
       "      <td>0.446154</td>\n",
       "      <td>0.446154</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.049033</td>\n",
       "      <td>1.077914</td>\n",
       "      <td>1.006946</td>\n",
       "      <td>0.882236</td>\n",
       "      <td>0.713889</td>\n",
       "      <td>0.909069</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.042854</td>\n",
       "      <td>0.043669</td>\n",
       "      <td>0.040099</td>\n",
       "      <td>0.041051</td>\n",
       "      <td>0.023328</td>\n",
       "      <td>0.031484</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>0.664645</td>\n",
       "      <td>0.685307</td>\n",
       "      <td>1.175006</td>\n",
       "      <td>0.435391</td>\n",
       "      <td>0.655776</td>\n",
       "      <td>0.712389</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 Genetic Agent  DeepL Agent  HRP Agent  \\\n",
       "Mean Return                          -0.004344    -0.003839   0.003897   \n",
       "Volatility                            0.064206     0.064706   0.053683   \n",
       "Sharpe Ratio                         -1.292677    -1.133559   1.386795   \n",
       "Max Drawdown                          0.750409     0.738043   0.553369   \n",
       "Average Drawdown Time                 2.000000     2.000000   2.000000   \n",
       "Skewness                              1.775277     1.634432   0.157864   \n",
       "Kurtosis                              7.808200     6.556997   1.254263   \n",
       "Tail Ratio                            0.802577     0.938772   1.151240   \n",
       "VaR                                  -0.095921    -0.096117  -0.079853   \n",
       "CVaR                                 -0.107083    -0.107173  -0.105466   \n",
       "Hit Ratio                             0.430769     0.430769   0.538462   \n",
       "Average Win to Average Loss           1.049033     1.077914   1.006946   \n",
       "Average Profitability per Trade       0.042854     0.043669   0.040099   \n",
       "PnL                                   0.664645     0.685307   1.175006   \n",
       "\n",
       "                                 Equal Weight Agent   BTCUSDT   ETHUSDT  \n",
       "Mean Return                               -0.011392 -0.005988 -0.004431  \n",
       "Volatility                                 0.051222  0.030998  0.039292  \n",
       "Sharpe Ratio                              -4.249105 -3.690382 -2.154703  \n",
       "Max Drawdown                               0.738079  0.379120  0.348957  \n",
       "Average Drawdown Time                      1.000000       NaN       NaN  \n",
       "Skewness                                  -0.156491 -0.635018 -0.392601  \n",
       "Kurtosis                                   0.610721  0.214840 -0.215196  \n",
       "Tail Ratio                                 0.693979  0.662943  0.690003  \n",
       "VaR                                       -0.088686 -0.061417 -0.073299  \n",
       "CVaR                                      -0.122101 -0.075249 -0.085850  \n",
       "Hit Ratio                                  0.384615  0.446154  0.446154  \n",
       "Average Win to Average Loss                0.882236  0.713889  0.909069  \n",
       "Average Profitability per Trade            0.041051  0.023328  0.031484  \n",
       "PnL                                        0.435391  0.655776  0.712389  "
      ]
     },
     "execution_count": 27,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 28,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./stats_2021_11_9_to_2022_1_12.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,9), assets_data[\"close\"]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 30,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
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       "\n",
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       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Genetic Agent</th>\n",
       "      <th>DeepL Agent</th>\n",
       "      <th>HRP Agent</th>\n",
       "      <th>Equal Weight Agent</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.013658</td>\n",
       "      <td>0.024832</td>\n",
       "      <td>0.044058</td>\n",
       "      <td>0.008017</td>\n",
       "      <td>0.012034</td>\n",
       "      <td>0.017390</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.046203</td>\n",
       "      <td>0.077168</td>\n",
       "      <td>0.048489</td>\n",
       "      <td>0.027830</td>\n",
       "      <td>0.014673</td>\n",
       "      <td>0.034241</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>5.647495</td>\n",
       "      <td>6.147946</td>\n",
       "      <td>17.358906</td>\n",
       "      <td>5.503890</td>\n",
       "      <td>15.668468</td>\n",
       "      <td>9.703249</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.025988</td>\n",
       "      <td>0.038358</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.024311</td>\n",
       "      <td>0.001006</td>\n",
       "      <td>0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>1.589406</td>\n",
       "      <td>1.699934</td>\n",
       "      <td>0.092439</td>\n",
       "      <td>0.195919</td>\n",
       "      <td>0.128484</td>\n",
       "      <td>-0.266068</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>2.986404</td>\n",
       "      <td>3.218802</td>\n",
       "      <td>-5.363927</td>\n",
       "      <td>0.308237</td>\n",
       "      <td>-5.217647</td>\n",
       "      <td>-3.672760</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>3.154886</td>\n",
       "      <td>3.714467</td>\n",
       "      <td>120.932947</td>\n",
       "      <td>1.843362</td>\n",
       "      <td>31.089732</td>\n",
       "      <td>2.643297</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.021724</td>\n",
       "      <td>-0.031521</td>\n",
       "      <td>0.000756</td>\n",
       "      <td>-0.020664</td>\n",
       "      <td>-0.000855</td>\n",
       "      <td>-0.018686</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.025463</td>\n",
       "      <td>-0.036798</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.024311</td>\n",
       "      <td>-0.001006</td>\n",
       "      <td>-0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.250000</td>\n",
       "      <td>0.250000</td>\n",
       "      <td>0.750000</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>0.500000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>6.202119</td>\n",
       "      <td>7.171002</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1.159565</td>\n",
       "      <td>24.416558</td>\n",
       "      <td>2.082169</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.026658</td>\n",
       "      <td>0.044041</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.020173</td>\n",
       "      <td>0.012537</td>\n",
       "      <td>0.028382</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>1.052549</td>\n",
       "      <td>1.094105</td>\n",
       "      <td>1.184387</td>\n",
       "      <td>1.031279</td>\n",
       "      <td>1.048682</td>\n",
       "      <td>1.069572</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 Genetic Agent  DeepL Agent   HRP Agent  \\\n",
       "Mean Return                           0.013658     0.024832    0.044058   \n",
       "Volatility                            0.046203     0.077168    0.048489   \n",
       "Sharpe Ratio                          5.647495     6.147946   17.358906   \n",
       "Max Drawdown                          0.025988     0.038358    0.000000   \n",
       "Average Drawdown Time                 3.000000     3.000000    1.000000   \n",
       "Skewness                              1.589406     1.699934    0.092439   \n",
       "Kurtosis                              2.986404     3.218802   -5.363927   \n",
       "Tail Ratio                            3.154886     3.714467  120.932947   \n",
       "VaR                                  -0.021724    -0.031521    0.000756   \n",
       "CVaR                                 -0.025463    -0.036798    0.000000   \n",
       "Hit Ratio                             0.250000     0.250000    0.750000   \n",
       "Average Win to Average Loss           6.202119     7.171002         NaN   \n",
       "Average Profitability per Trade       0.026658     0.044041         NaN   \n",
       "PnL                                   1.052549     1.094105    1.184387   \n",
       "\n",
       "                                 Equal Weight Agent    BTCUSDT   ETHUSDT  \n",
       "Mean Return                                0.008017   0.012034  0.017390  \n",
       "Volatility                                 0.027830   0.014673  0.034241  \n",
       "Sharpe Ratio                               5.503890  15.668468  9.703249  \n",
       "Max Drawdown                               0.024311   0.001006  0.021983  \n",
       "Average Drawdown Time                      3.000000   1.000000  1.000000  \n",
       "Skewness                                   0.195919   0.128484 -0.266068  \n",
       "Kurtosis                                   0.308237  -5.217647 -3.672760  \n",
       "Tail Ratio                                 1.843362  31.089732  2.643297  \n",
       "VaR                                       -0.020664  -0.000855 -0.018686  \n",
       "CVaR                                      -0.024311  -0.001006 -0.021983  \n",
       "Hit Ratio                                  0.500000   0.500000  0.500000  \n",
       "Average Win to Average Loss                1.159565  24.416558  2.082169  \n",
       "Average Profitability per Trade            0.020173   0.012537  0.028382  \n",
       "PnL                                        1.031279   1.048682  1.069572  "
      ]
     },
     "execution_count": 30,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 31,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./stats_2022_1_9_to_2022_1_12.csv\")"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Daily Rebalance"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 48,
   "metadata": {},
   "outputs": [],
   "source": [
    "genetic_agent = pickle.load(open(f\"{path}/geneticagent/results_geneticagent_params_0_testing_oot.pickle\", \"rb\"))\n",
    "dlpopt_agent = pickle.load(open(f\"{path}/deeplportfolio/results_deeplportfolio_params_0_testing_oot.pickle\", \"rb\"))\n",
    "ew_agent = pickle.load(open(f\"{path}/ew/results_ew_params_0_testing_oot.pickle\", \"rb\"))\n",
    "hrp_agent = pickle.load(open(f\"{path}/hrp/results_hrp_params_0_testing_oot.pickle\", \"rb\"))\n",
    "assets_data = pickle.load(open(\"./assets_data_testing.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 49,
   "metadata": {},
   "outputs": [],
   "source": [
    "agents = [genetic_agent, dlpopt_agent, hrp_agent, ew_agent]\n",
    "agents_names = [\"Genetic Agent\", \"DeepL Agent\", \"HRP Agent\", \"Equal Weight Agent\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 50,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,1,1), assets_data[\"close\"]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 51,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "\n",
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       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Genetic Agent</th>\n",
       "      <th>DeepL Agent</th>\n",
       "      <th>HRP Agent</th>\n",
       "      <th>Equal Weight Agent</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.014809</td>\n",
       "      <td>0.014688</td>\n",
       "      <td>0.011301</td>\n",
       "      <td>0.007314</td>\n",
       "      <td>0.001947</td>\n",
       "      <td>0.005650</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.088917</td>\n",
       "      <td>0.088634</td>\n",
       "      <td>0.070752</td>\n",
       "      <td>0.078257</td>\n",
       "      <td>0.041987</td>\n",
       "      <td>0.056202</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>3.181942</td>\n",
       "      <td>3.166034</td>\n",
       "      <td>3.051680</td>\n",
       "      <td>1.785474</td>\n",
       "      <td>0.885794</td>\n",
       "      <td>1.920805</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>37.381920</td>\n",
       "      <td>37.194327</td>\n",
       "      <td>21.436366</td>\n",
       "      <td>18.391662</td>\n",
       "      <td>1.151814</td>\n",
       "      <td>3.275329</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>6.000000</td>\n",
       "      <td>6.000000</td>\n",
       "      <td>5.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>15.000000</td>\n",
       "      <td>6.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.835033</td>\n",
       "      <td>0.825196</td>\n",
       "      <td>0.615618</td>\n",
       "      <td>-0.028753</td>\n",
       "      <td>0.172095</td>\n",
       "      <td>0.029035</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>2.526955</td>\n",
       "      <td>2.555235</td>\n",
       "      <td>2.594127</td>\n",
       "      <td>4.161112</td>\n",
       "      <td>1.710761</td>\n",
       "      <td>3.634270</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.458893</td>\n",
       "      <td>1.460624</td>\n",
       "      <td>1.414110</td>\n",
       "      <td>1.352734</td>\n",
       "      <td>1.197361</td>\n",
       "      <td>1.128458</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.110736</td>\n",
       "      <td>-0.109965</td>\n",
       "      <td>-0.090904</td>\n",
       "      <td>-0.102944</td>\n",
       "      <td>-0.062388</td>\n",
       "      <td>-0.081252</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.152711</td>\n",
       "      <td>-0.152848</td>\n",
       "      <td>-0.131918</td>\n",
       "      <td>-0.163074</td>\n",
       "      <td>-0.089282</td>\n",
       "      <td>-0.118780</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.530504</td>\n",
       "      <td>0.533156</td>\n",
       "      <td>0.549072</td>\n",
       "      <td>0.511936</td>\n",
       "      <td>0.498674</td>\n",
       "      <td>0.554377</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.422294</td>\n",
       "      <td>1.403065</td>\n",
       "      <td>1.275213</td>\n",
       "      <td>1.228661</td>\n",
       "      <td>1.133861</td>\n",
       "      <td>1.050714</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.062872</td>\n",
       "      <td>0.062727</td>\n",
       "      <td>0.051524</td>\n",
       "      <td>0.056763</td>\n",
       "      <td>0.031033</td>\n",
       "      <td>0.041531</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>62.900603</td>\n",
       "      <td>60.589285</td>\n",
       "      <td>27.979072</td>\n",
       "      <td>4.865858</td>\n",
       "      <td>1.496765</td>\n",
       "      <td>4.625070</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 Genetic Agent  DeepL Agent  HRP Agent  \\\n",
       "Mean Return                           0.014809     0.014688   0.011301   \n",
       "Volatility                            0.088917     0.088634   0.070752   \n",
       "Sharpe Ratio                          3.181942     3.166034   3.051680   \n",
       "Max Drawdown                         37.381920    37.194327  21.436366   \n",
       "Average Drawdown Time                 6.000000     6.000000   5.000000   \n",
       "Skewness                              0.835033     0.825196   0.615618   \n",
       "Kurtosis                              2.526955     2.555235   2.594127   \n",
       "Tail Ratio                            1.458893     1.460624   1.414110   \n",
       "VaR                                  -0.110736    -0.109965  -0.090904   \n",
       "CVaR                                 -0.152711    -0.152848  -0.131918   \n",
       "Hit Ratio                             0.530504     0.533156   0.549072   \n",
       "Average Win to Average Loss           1.422294     1.403065   1.275213   \n",
       "Average Profitability per Trade       0.062872     0.062727   0.051524   \n",
       "PnL                                  62.900603    60.589285  27.979072   \n",
       "\n",
       "                                 Equal Weight Agent    BTCUSDT   ETHUSDT  \n",
       "Mean Return                                0.007314   0.001947  0.005650  \n",
       "Volatility                                 0.078257   0.041987  0.056202  \n",
       "Sharpe Ratio                               1.785474   0.885794  1.920805  \n",
       "Max Drawdown                              18.391662   1.151814  3.275329  \n",
       "Average Drawdown Time                      2.000000  15.000000  6.000000  \n",
       "Skewness                                  -0.028753   0.172095  0.029035  \n",
       "Kurtosis                                   4.161112   1.710761  3.634270  \n",
       "Tail Ratio                                 1.352734   1.197361  1.128458  \n",
       "VaR                                       -0.102944  -0.062388 -0.081252  \n",
       "CVaR                                      -0.163074  -0.089282 -0.118780  \n",
       "Hit Ratio                                  0.511936   0.498674  0.554377  \n",
       "Average Win to Average Loss                1.228661   1.133861  1.050714  \n",
       "Average Profitability per Trade            0.056763   0.031033  0.041531  \n",
       "PnL                                        4.865858   1.496765  4.625070  "
      ]
     },
     "execution_count": 51,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 52,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./stats_2021_1_1_to_2022_1_12_daily_reb.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 34,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,1), assets_data[\"close\"]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 35,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
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       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Genetic Agent</th>\n",
       "      <th>DeepL Agent</th>\n",
       "      <th>HRP Agent</th>\n",
       "      <th>Equal Weight Agent</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>-0.004915</td>\n",
       "      <td>-0.004700</td>\n",
       "      <td>-0.009041</td>\n",
       "      <td>-0.008817</td>\n",
       "      <td>-0.006705</td>\n",
       "      <td>-0.008517</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.040656</td>\n",
       "      <td>0.040943</td>\n",
       "      <td>0.039877</td>\n",
       "      <td>0.042000</td>\n",
       "      <td>0.021941</td>\n",
       "      <td>0.037703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>-2.309464</td>\n",
       "      <td>-2.193019</td>\n",
       "      <td>-4.331727</td>\n",
       "      <td>-4.010759</td>\n",
       "      <td>-5.838098</td>\n",
       "      <td>-4.315879</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.164775</td>\n",
       "      <td>0.164225</td>\n",
       "      <td>0.173709</td>\n",
       "      <td>0.178933</td>\n",
       "      <td>0.128999</td>\n",
       "      <td>0.198463</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>-0.043067</td>\n",
       "      <td>-0.053262</td>\n",
       "      <td>-0.185352</td>\n",
       "      <td>-0.051500</td>\n",
       "      <td>-0.536001</td>\n",
       "      <td>0.016225</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>-0.155184</td>\n",
       "      <td>-0.129775</td>\n",
       "      <td>0.548909</td>\n",
       "      <td>-1.319007</td>\n",
       "      <td>0.660073</td>\n",
       "      <td>-1.022181</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>0.816271</td>\n",
       "      <td>0.825597</td>\n",
       "      <td>0.720815</td>\n",
       "      <td>0.710796</td>\n",
       "      <td>0.568301</td>\n",
       "      <td>0.723210</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.063507</td>\n",
       "      <td>-0.063448</td>\n",
       "      <td>-0.067275</td>\n",
       "      <td>-0.065473</td>\n",
       "      <td>-0.042728</td>\n",
       "      <td>-0.062576</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.075827</td>\n",
       "      <td>-0.076727</td>\n",
       "      <td>-0.087311</td>\n",
       "      <td>-0.076025</td>\n",
       "      <td>-0.051948</td>\n",
       "      <td>-0.064590</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.416667</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>0.868332</td>\n",
       "      <td>0.613733</td>\n",
       "      <td>0.624971</td>\n",
       "      <td>0.718837</td>\n",
       "      <td>0.720461</td>\n",
       "      <td>0.685895</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.030648</td>\n",
       "      <td>0.030969</td>\n",
       "      <td>0.028694</td>\n",
       "      <td>0.035162</td>\n",
       "      <td>0.016089</td>\n",
       "      <td>0.031244</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>0.933955</td>\n",
       "      <td>0.936257</td>\n",
       "      <td>0.888739</td>\n",
       "      <td>0.890317</td>\n",
       "      <td>0.919954</td>\n",
       "      <td>0.895293</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 Genetic Agent  DeepL Agent  HRP Agent  \\\n",
       "Mean Return                          -0.004915    -0.004700  -0.009041   \n",
       "Volatility                            0.040656     0.040943   0.039877   \n",
       "Sharpe Ratio                         -2.309464    -2.193019  -4.331727   \n",
       "Max Drawdown                          0.164775     0.164225   0.173709   \n",
       "Average Drawdown Time                      NaN          NaN        NaN   \n",
       "Skewness                             -0.043067    -0.053262  -0.185352   \n",
       "Kurtosis                             -0.155184    -0.129775   0.548909   \n",
       "Tail Ratio                            0.816271     0.825597   0.720815   \n",
       "VaR                                  -0.063507    -0.063448  -0.067275   \n",
       "CVaR                                 -0.075827    -0.076727  -0.087311   \n",
       "Hit Ratio                             0.416667     0.500000   0.416667   \n",
       "Average Win to Average Loss           0.868332     0.613733   0.624971   \n",
       "Average Profitability per Trade       0.030648     0.030969   0.028694   \n",
       "PnL                                   0.933955     0.936257   0.888739   \n",
       "\n",
       "                                 Equal Weight Agent   BTCUSDT   ETHUSDT  \n",
       "Mean Return                               -0.008817 -0.006705 -0.008517  \n",
       "Volatility                                 0.042000  0.021941  0.037703  \n",
       "Sharpe Ratio                              -4.010759 -5.838098 -4.315879  \n",
       "Max Drawdown                               0.178933  0.128999  0.198463  \n",
       "Average Drawdown Time                           NaN       NaN  1.000000  \n",
       "Skewness                                  -0.051500 -0.536001  0.016225  \n",
       "Kurtosis                                  -1.319007  0.660073 -1.022181  \n",
       "Tail Ratio                                 0.710796  0.568301  0.723210  \n",
       "VaR                                       -0.065473 -0.042728 -0.062576  \n",
       "CVaR                                      -0.076025 -0.051948 -0.064590  \n",
       "Hit Ratio                                  0.416667  0.333333  0.416667  \n",
       "Average Win to Average Loss                0.718837  0.720461  0.685895  \n",
       "Average Profitability per Trade            0.035162  0.016089  0.031244  \n",
       "PnL                                        0.890317  0.919954  0.895293  "
      ]
     },
     "execution_count": 35,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 36,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./stats_2022_1_1_to_2022_1_12_daily_reb.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 37,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,11,9), assets_data[\"close\"]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 38,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Genetic Agent</th>\n",
       "      <th>DeepL Agent</th>\n",
       "      <th>HRP Agent</th>\n",
       "      <th>Equal Weight Agent</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.003110</td>\n",
       "      <td>0.002779</td>\n",
       "      <td>-0.001071</td>\n",
       "      <td>-0.002002</td>\n",
       "      <td>-0.005988</td>\n",
       "      <td>-0.004431</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.056149</td>\n",
       "      <td>0.056010</td>\n",
       "      <td>0.059140</td>\n",
       "      <td>0.057941</td>\n",
       "      <td>0.030998</td>\n",
       "      <td>0.039292</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>1.058190</td>\n",
       "      <td>0.947778</td>\n",
       "      <td>-0.346047</td>\n",
       "      <td>-0.659983</td>\n",
       "      <td>-3.690382</td>\n",
       "      <td>-2.154703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.657262</td>\n",
       "      <td>0.664798</td>\n",
       "      <td>0.637339</td>\n",
       "      <td>0.611332</td>\n",
       "      <td>0.379120</td>\n",
       "      <td>0.348957</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>-0.115776</td>\n",
       "      <td>-0.104229</td>\n",
       "      <td>-0.347074</td>\n",
       "      <td>0.316521</td>\n",
       "      <td>-0.635018</td>\n",
       "      <td>-0.392601</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>0.002308</td>\n",
       "      <td>0.052117</td>\n",
       "      <td>0.894590</td>\n",
       "      <td>1.808749</td>\n",
       "      <td>0.214840</td>\n",
       "      <td>-0.215196</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.004444</td>\n",
       "      <td>1.020723</td>\n",
       "      <td>0.833858</td>\n",
       "      <td>0.840876</td>\n",
       "      <td>0.662943</td>\n",
       "      <td>0.690003</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.101168</td>\n",
       "      <td>-0.100819</td>\n",
       "      <td>-0.098700</td>\n",
       "      <td>-0.089483</td>\n",
       "      <td>-0.061417</td>\n",
       "      <td>-0.073299</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.112453</td>\n",
       "      <td>-0.113006</td>\n",
       "      <td>-0.133634</td>\n",
       "      <td>-0.115254</td>\n",
       "      <td>-0.075249</td>\n",
       "      <td>-0.085850</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.538462</td>\n",
       "      <td>0.507692</td>\n",
       "      <td>0.446154</td>\n",
       "      <td>0.446154</td>\n",
       "      <td>0.446154</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.019210</td>\n",
       "      <td>0.943143</td>\n",
       "      <td>0.894116</td>\n",
       "      <td>1.101273</td>\n",
       "      <td>0.713889</td>\n",
       "      <td>0.909069</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.043212</td>\n",
       "      <td>0.042967</td>\n",
       "      <td>0.043378</td>\n",
       "      <td>0.043740</td>\n",
       "      <td>0.023328</td>\n",
       "      <td>0.031484</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>1.105940</td>\n",
       "      <td>1.082951</td>\n",
       "      <td>0.831864</td>\n",
       "      <td>0.788515</td>\n",
       "      <td>0.655776</td>\n",
       "      <td>0.712389</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 Genetic Agent  DeepL Agent  HRP Agent  \\\n",
       "Mean Return                           0.003110     0.002779  -0.001071   \n",
       "Volatility                            0.056149     0.056010   0.059140   \n",
       "Sharpe Ratio                          1.058190     0.947778  -0.346047   \n",
       "Max Drawdown                          0.657262     0.664798   0.637339   \n",
       "Average Drawdown Time                 2.000000     2.000000   3.000000   \n",
       "Skewness                             -0.115776    -0.104229  -0.347074   \n",
       "Kurtosis                              0.002308     0.052117   0.894590   \n",
       "Tail Ratio                            1.004444     1.020723   0.833858   \n",
       "VaR                                  -0.101168    -0.100819  -0.098700   \n",
       "CVaR                                 -0.112453    -0.113006  -0.133634   \n",
       "Hit Ratio                             0.523077     0.538462   0.507692   \n",
       "Average Win to Average Loss           1.019210     0.943143   0.894116   \n",
       "Average Profitability per Trade       0.043212     0.042967   0.043378   \n",
       "PnL                                   1.105940     1.082951   0.831864   \n",
       "\n",
       "                                 Equal Weight Agent   BTCUSDT   ETHUSDT  \n",
       "Mean Return                               -0.002002 -0.005988 -0.004431  \n",
       "Volatility                                 0.057941  0.030998  0.039292  \n",
       "Sharpe Ratio                              -0.659983 -3.690382 -2.154703  \n",
       "Max Drawdown                               0.611332  0.379120  0.348957  \n",
       "Average Drawdown Time                      3.000000       NaN       NaN  \n",
       "Skewness                                   0.316521 -0.635018 -0.392601  \n",
       "Kurtosis                                   1.808749  0.214840 -0.215196  \n",
       "Tail Ratio                                 0.840876  0.662943  0.690003  \n",
       "VaR                                       -0.089483 -0.061417 -0.073299  \n",
       "CVaR                                      -0.115254 -0.075249 -0.085850  \n",
       "Hit Ratio                                  0.446154  0.446154  0.446154  \n",
       "Average Win to Average Loss                1.101273  0.713889  0.909069  \n",
       "Average Profitability per Trade            0.043740  0.023328  0.031484  \n",
       "PnL                                        0.788515  0.655776  0.712389  "
      ]
     },
     "execution_count": 38,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 39,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./stats_2021_11_9_to_2022_1_12_daily_reb.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 40,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,9), assets_data[\"close\"]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 41,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Genetic Agent</th>\n",
       "      <th>DeepL Agent</th>\n",
       "      <th>HRP Agent</th>\n",
       "      <th>Equal Weight Agent</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.028681</td>\n",
       "      <td>0.029149</td>\n",
       "      <td>0.017124</td>\n",
       "      <td>0.009768</td>\n",
       "      <td>0.012034</td>\n",
       "      <td>0.017390</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.031316</td>\n",
       "      <td>0.031531</td>\n",
       "      <td>0.031634</td>\n",
       "      <td>0.035207</td>\n",
       "      <td>0.014673</td>\n",
       "      <td>0.034241</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>17.497070</td>\n",
       "      <td>17.661590</td>\n",
       "      <td>10.341583</td>\n",
       "      <td>5.300461</td>\n",
       "      <td>15.668468</td>\n",
       "      <td>9.703249</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.006349</td>\n",
       "      <td>0.033884</td>\n",
       "      <td>0.001006</td>\n",
       "      <td>0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.706683</td>\n",
       "      <td>0.708698</td>\n",
       "      <td>1.684788</td>\n",
       "      <td>-0.346618</td>\n",
       "      <td>0.128484</td>\n",
       "      <td>-0.266068</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>-1.580237</td>\n",
       "      <td>-1.486391</td>\n",
       "      <td>2.864416</td>\n",
       "      <td>-0.601551</td>\n",
       "      <td>-5.217647</td>\n",
       "      <td>-3.672760</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>53.604852</td>\n",
       "      <td>49.622297</td>\n",
       "      <td>10.284311</td>\n",
       "      <td>1.559638</td>\n",
       "      <td>31.089732</td>\n",
       "      <td>2.643297</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>0.001196</td>\n",
       "      <td>0.001307</td>\n",
       "      <td>-0.005397</td>\n",
       "      <td>-0.028801</td>\n",
       "      <td>-0.000855</td>\n",
       "      <td>-0.018686</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.006349</td>\n",
       "      <td>-0.033884</td>\n",
       "      <td>-0.001006</td>\n",
       "      <td>-0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.750000</td>\n",
       "      <td>0.750000</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>0.500000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>5.894222</td>\n",
       "      <td>1.076544</td>\n",
       "      <td>24.416558</td>\n",
       "      <td>2.082169</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.020298</td>\n",
       "      <td>0.026710</td>\n",
       "      <td>0.012537</td>\n",
       "      <td>0.028382</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>1.118208</td>\n",
       "      <td>1.120226</td>\n",
       "      <td>1.068748</td>\n",
       "      <td>1.037744</td>\n",
       "      <td>1.048682</td>\n",
       "      <td>1.069572</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 Genetic Agent  DeepL Agent  HRP Agent  \\\n",
       "Mean Return                           0.028681     0.029149   0.017124   \n",
       "Volatility                            0.031316     0.031531   0.031634   \n",
       "Sharpe Ratio                         17.497070    17.661590  10.341583   \n",
       "Max Drawdown                          0.000000     0.000000   0.006349   \n",
       "Average Drawdown Time                 1.000000     1.000000   1.000000   \n",
       "Skewness                              0.706683     0.708698   1.684788   \n",
       "Kurtosis                             -1.580237    -1.486391   2.864416   \n",
       "Tail Ratio                           53.604852    49.622297  10.284311   \n",
       "VaR                                   0.001196     0.001307  -0.005397   \n",
       "CVaR                                  0.000000     0.000000  -0.006349   \n",
       "Hit Ratio                             0.750000     0.750000   0.500000   \n",
       "Average Win to Average Loss                NaN          NaN   5.894222   \n",
       "Average Profitability per Trade            NaN          NaN   0.020298   \n",
       "PnL                                   1.118208     1.120226   1.068748   \n",
       "\n",
       "                                 Equal Weight Agent    BTCUSDT   ETHUSDT  \n",
       "Mean Return                                0.009768   0.012034  0.017390  \n",
       "Volatility                                 0.035207   0.014673  0.034241  \n",
       "Sharpe Ratio                               5.300461  15.668468  9.703249  \n",
       "Max Drawdown                               0.033884   0.001006  0.021983  \n",
       "Average Drawdown Time                      3.000000   1.000000  1.000000  \n",
       "Skewness                                  -0.346618   0.128484 -0.266068  \n",
       "Kurtosis                                  -0.601551  -5.217647 -3.672760  \n",
       "Tail Ratio                                 1.559638  31.089732  2.643297  \n",
       "VaR                                       -0.028801  -0.000855 -0.018686  \n",
       "CVaR                                      -0.033884  -0.001006 -0.021983  \n",
       "Hit Ratio                                  0.500000   0.500000  0.500000  \n",
       "Average Win to Average Loss                1.076544  24.416558  2.082169  \n",
       "Average Profitability per Trade            0.026710   0.012537  0.028382  \n",
       "PnL                                        1.037744   1.048682  1.069572  "
      ]
     },
     "execution_count": 41,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 42,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./stats_2022_1_9_to_2022_1_12_daily_reb.csv\")"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# TIPP strategy"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 40,
   "metadata": {},
   "outputs": [],
   "source": [
    "tipp_genetic_agent = pickle.load(open(\n",
    "    f\"{path}/tipp_geneticagent/results_tipp_geneticagent_params_0_testing_oot.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "genetic_agent = pickle.load(open(\n",
    "    f\"{path}/geneticagent/results_geneticagent_params_0_testing_oot.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "assets_data = pickle.load(open(f\"./assets_data_testing.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 41,
   "metadata": {},
   "outputs": [],
   "source": [
    "agents = [genetic_agent, tipp_genetic_agent]\n",
    "agents_names = [\"Genetic Agent\", \"TIPP Genetic Agent\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 44,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,1,1), \n",
    "    assets_data[\"close\"].loc[:\"2022-01-12\", [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 45,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Genetic Agent</th>\n",
       "      <th>TIPP Genetic Agent</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.014809</td>\n",
       "      <td>0.002338</td>\n",
       "      <td>0.001947</td>\n",
       "      <td>0.005650</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.088917</td>\n",
       "      <td>0.027420</td>\n",
       "      <td>0.041987</td>\n",
       "      <td>0.056202</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Semi-Volatility</th>\n",
       "      <td>0.048160</td>\n",
       "      <td>0.018701</td>\n",
       "      <td>0.026978</td>\n",
       "      <td>0.037648</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>3.181942</td>\n",
       "      <td>1.629201</td>\n",
       "      <td>0.885794</td>\n",
       "      <td>1.920805</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>37.381920</td>\n",
       "      <td>0.399225</td>\n",
       "      <td>1.151814</td>\n",
       "      <td>3.275329</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>6.000000</td>\n",
       "      <td>7.000000</td>\n",
       "      <td>15.000000</td>\n",
       "      <td>6.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.835033</td>\n",
       "      <td>4.876586</td>\n",
       "      <td>0.172095</td>\n",
       "      <td>0.029035</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>2.526955</td>\n",
       "      <td>57.085783</td>\n",
       "      <td>1.710761</td>\n",
       "      <td>3.634270</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.458893</td>\n",
       "      <td>1.216548</td>\n",
       "      <td>1.197361</td>\n",
       "      <td>1.128458</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.110736</td>\n",
       "      <td>-0.014722</td>\n",
       "      <td>-0.062388</td>\n",
       "      <td>-0.081252</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.152711</td>\n",
       "      <td>-0.046155</td>\n",
       "      <td>-0.089282</td>\n",
       "      <td>-0.118780</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.530504</td>\n",
       "      <td>0.567639</td>\n",
       "      <td>0.498674</td>\n",
       "      <td>0.554377</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.422294</td>\n",
       "      <td>1.272674</td>\n",
       "      <td>1.133861</td>\n",
       "      <td>1.050714</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.062872</td>\n",
       "      <td>0.009204</td>\n",
       "      <td>0.031033</td>\n",
       "      <td>0.041531</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>62.900603</td>\n",
       "      <td>2.116210</td>\n",
       "      <td>1.496765</td>\n",
       "      <td>4.625070</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 Genetic Agent  TIPP Genetic Agent    BTCUSDT  \\\n",
       "Mean Return                           0.014809            0.002338   0.001947   \n",
       "Volatility                            0.088917            0.027420   0.041987   \n",
       "Semi-Volatility                       0.048160            0.018701   0.026978   \n",
       "Sharpe Ratio                          3.181942            1.629201   0.885794   \n",
       "Max Drawdown                         37.381920            0.399225   1.151814   \n",
       "Average Drawdown Time                 6.000000            7.000000  15.000000   \n",
       "Skewness                              0.835033            4.876586   0.172095   \n",
       "Kurtosis                              2.526955           57.085783   1.710761   \n",
       "Tail Ratio                            1.458893            1.216548   1.197361   \n",
       "VaR                                  -0.110736           -0.014722  -0.062388   \n",
       "CVaR                                 -0.152711           -0.046155  -0.089282   \n",
       "Hit Ratio                             0.530504            0.567639   0.498674   \n",
       "Average Win to Average Loss           1.422294            1.272674   1.133861   \n",
       "Average Profitability per Trade       0.062872            0.009204   0.031033   \n",
       "PnL                                  62.900603            2.116210   1.496765   \n",
       "\n",
       "                                  ETHUSDT  \n",
       "Mean Return                      0.005650  \n",
       "Volatility                       0.056202  \n",
       "Semi-Volatility                  0.037648  \n",
       "Sharpe Ratio                     1.920805  \n",
       "Max Drawdown                     3.275329  \n",
       "Average Drawdown Time            6.000000  \n",
       "Skewness                         0.029035  \n",
       "Kurtosis                         3.634270  \n",
       "Tail Ratio                       1.128458  \n",
       "VaR                             -0.081252  \n",
       "CVaR                            -0.118780  \n",
       "Hit Ratio                        0.554377  \n",
       "Average Win to Average Loss      1.050714  \n",
       "Average Profitability per Trade  0.041531  \n",
       "PnL                              4.625070  "
      ]
     },
     "execution_count": 45,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {},
   "outputs": [
    {
     "data": {
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\"2021-12-31T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.3096557818451007}, {\"date\": \"2021-12-31T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.223167023432432}, {\"date\": \"2022-01-01T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.002721740684010543}, {\"date\": \"2022-01-01T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.28716477917226635}, {\"date\": \"2022-01-01T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.20429471317511683}, {\"date\": \"2022-01-02T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.004697928381134919}, {\"date\": \"2022-01-02T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.2936843498338847}, {\"date\": \"2022-01-02T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.1910390864542415}, {\"date\": \"2022-01-03T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.004408499238911956}, {\"date\": \"2022-01-03T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.3062326599615277}, {\"date\": \"2022-01-03T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.20422075383584848}, {\"date\": \"2022-01-04T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.0028732468522101318}, {\"date\": \"2022-01-04T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.3154053479987198}, {\"date\": \"2022-01-04T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.20015932954802396}, {\"date\": \"2022-01-05T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.006376550518663926}, {\"date\": \"2022-01-05T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.350968652227725}, {\"date\": \"2022-01-05T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.25182098458898683}, {\"date\": \"2022-01-06T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.005362209212183333}, {\"date\": \"2022-01-06T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.3564777320073619}, {\"date\": \"2022-01-06T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.28009880967726264}, {\"date\": \"2022-01-07T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.0062860337990322535}, {\"date\": \"2022-01-07T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.37911974817342353}, {\"date\": \"2022-01-07T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.32396092411137867}, {\"date\": \"2022-01-08T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.008588581431199338}, {\"date\": \"2022-01-08T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.37742797881210455}, {\"date\": \"2022-01-08T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.3489570676601168}, {\"date\": \"2022-01-09T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.00904982119621267}, {\"date\": \"2022-01-09T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.37466641851261073}, {\"date\": \"2022-01-09T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.3339496611605701}, {\"date\": \"2022-01-10T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.008319217775349053}, {\"date\": \"2022-01-10T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.37529571608626755}, {\"date\": \"2022-01-10T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.3485914972117331}, {\"date\": \"2022-01-11T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.005975748102576839}, {\"date\": \"2022-01-11T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.3617508065255749}, {\"date\": \"2022-01-11T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.3154069982439942}, {\"date\": \"2022-01-12T00:00:00\", \"Agent\": \"TIPP Genetic Agent\", \"cumulative_return\": -0.002110564217120081}, {\"date\": \"2022-01-12T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": -0.34422412971566096}, {\"date\": \"2022-01-12T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": -0.2876109654229525}]}}, {\"mode\": \"vega-lite\"});\n",
       "</script>"
      ],
      "text/plain": [
       "alt.Chart(...)"
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alt.Chart(cumulative_returns.loc[cumulative_returns.loc[:, \"Agent\"]!=\"Genetic Agent\"]).mark_line().encode(\n",
    "    x=alt.X(\"date:T\", title=\"Date\"),\n",
    "    y=alt.Y(\"cumulative_return:Q\", title=\"Cumulative Return\", axis=alt.Axis(format=\".0%\")),\n",
    "    color=\"Agent:N\"\n",
    ")"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Agents with fees"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 75,
   "metadata": {},
   "outputs": [],
   "source": [
    "hrp_agent = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_fees_00001 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb_fees_00001.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_fees_0001 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb_fees_0001.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_fees_001 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb_fees_001.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_fees_0015 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb_fees_0015.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_fees_002 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb_fees_002.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_nocash = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb_nocash.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_fees_00001_nocash = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb_fees_00001_nocash.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_fees_0001_nocash = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb_fees_0001_nocash.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_fees_001_nocash = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb_fees_001_nocash.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_fees_0015_nocash = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb_fees_0015_nocash.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_fees_002_nocash = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_weekly_reb_fees_002_nocash.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "assets_data = pickle.load(open(f\"./assets_data_testing.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 76,
   "metadata": {},
   "outputs": [],
   "source": [
    "agents = [hrp_agent, hrp_agent_fees_00001, hrp_agent_fees_0001, hrp_agent_fees_001, hrp_agent_fees_0015, hrp_agent_fees_002]\n",
    "agents_names = [\"HRP Agent - No Fee\", \"HRP Agent - Fee: 0.01%\", \"HRP Agent - Fee: 0.1%\", \"HRP Agent - Fee: 1%\", \"HRP Agent - Fee: 1.5%\", \"HRP Agent - Fee: 2%\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 77,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,1,1), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 78,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>HRP Agent - No Fee</th>\n",
       "      <th>HRP Agent - Fee: 0.01%</th>\n",
       "      <th>HRP Agent - Fee: 0.1%</th>\n",
       "      <th>HRP Agent - Fee: 1%</th>\n",
       "      <th>HRP Agent - Fee: 1.5%</th>\n",
       "      <th>HRP Agent - Fee: 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.008943</td>\n",
       "      <td>0.008924</td>\n",
       "      <td>0.008752</td>\n",
       "      <td>0.007028</td>\n",
       "      <td>0.006070</td>\n",
       "      <td>0.005113</td>\n",
       "      <td>0.001947</td>\n",
       "      <td>0.005650</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.074463</td>\n",
       "      <td>0.074463</td>\n",
       "      <td>0.074460</td>\n",
       "      <td>0.074569</td>\n",
       "      <td>0.074740</td>\n",
       "      <td>0.074989</td>\n",
       "      <td>0.041987</td>\n",
       "      <td>0.056202</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>2.294563</td>\n",
       "      <td>2.289664</td>\n",
       "      <td>2.245534</td>\n",
       "      <td>1.800617</td>\n",
       "      <td>1.551710</td>\n",
       "      <td>1.302580</td>\n",
       "      <td>0.885794</td>\n",
       "      <td>1.920805</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>10.343709</td>\n",
       "      <td>10.325026</td>\n",
       "      <td>10.158050</td>\n",
       "      <td>9.356889</td>\n",
       "      <td>9.336122</td>\n",
       "      <td>9.141498</td>\n",
       "      <td>1.151814</td>\n",
       "      <td>3.275329</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>15.000000</td>\n",
       "      <td>6.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.623850</td>\n",
       "      <td>0.623742</td>\n",
       "      <td>0.622724</td>\n",
       "      <td>0.607958</td>\n",
       "      <td>0.595639</td>\n",
       "      <td>0.579993</td>\n",
       "      <td>0.172095</td>\n",
       "      <td>0.029035</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>7.265997</td>\n",
       "      <td>7.265067</td>\n",
       "      <td>7.256148</td>\n",
       "      <td>7.114356</td>\n",
       "      <td>6.996463</td>\n",
       "      <td>6.853365</td>\n",
       "      <td>1.710761</td>\n",
       "      <td>3.634270</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.267401</td>\n",
       "      <td>1.267401</td>\n",
       "      <td>1.260738</td>\n",
       "      <td>1.206956</td>\n",
       "      <td>1.177448</td>\n",
       "      <td>1.138737</td>\n",
       "      <td>1.197361</td>\n",
       "      <td>1.128458</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.098121</td>\n",
       "      <td>-0.098121</td>\n",
       "      <td>-0.098121</td>\n",
       "      <td>-0.099323</td>\n",
       "      <td>-0.101812</td>\n",
       "      <td>-0.104431</td>\n",
       "      <td>-0.062388</td>\n",
       "      <td>-0.081252</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.147061</td>\n",
       "      <td>-0.147076</td>\n",
       "      <td>-0.147215</td>\n",
       "      <td>-0.148597</td>\n",
       "      <td>-0.149654</td>\n",
       "      <td>-0.151116</td>\n",
       "      <td>-0.089282</td>\n",
       "      <td>-0.118780</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.549072</td>\n",
       "      <td>0.549072</td>\n",
       "      <td>0.543767</td>\n",
       "      <td>0.527851</td>\n",
       "      <td>0.527851</td>\n",
       "      <td>0.525199</td>\n",
       "      <td>0.498674</td>\n",
       "      <td>0.554377</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.161872</td>\n",
       "      <td>1.160978</td>\n",
       "      <td>1.177891</td>\n",
       "      <td>1.170056</td>\n",
       "      <td>1.124959</td>\n",
       "      <td>1.093817</td>\n",
       "      <td>1.133861</td>\n",
       "      <td>1.050714</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.051216</td>\n",
       "      <td>0.051216</td>\n",
       "      <td>0.051226</td>\n",
       "      <td>0.051581</td>\n",
       "      <td>0.051922</td>\n",
       "      <td>0.052296</td>\n",
       "      <td>0.031033</td>\n",
       "      <td>0.041531</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>10.339662</td>\n",
       "      <td>10.265649</td>\n",
       "      <td>9.622473</td>\n",
       "      <td>5.015127</td>\n",
       "      <td>3.479011</td>\n",
       "      <td>2.406930</td>\n",
       "      <td>1.496765</td>\n",
       "      <td>4.625070</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 HRP Agent - No Fee  HRP Agent - Fee: 0.01%  \\\n",
       "Mean Return                                0.008943                0.008924   \n",
       "Volatility                                 0.074463                0.074463   \n",
       "Sharpe Ratio                               2.294563                2.289664   \n",
       "Max Drawdown                              10.343709               10.325026   \n",
       "Average Drawdown Time                      3.000000                3.000000   \n",
       "Skewness                                   0.623850                0.623742   \n",
       "Kurtosis                                   7.265997                7.265067   \n",
       "Tail Ratio                                 1.267401                1.267401   \n",
       "VaR                                       -0.098121               -0.098121   \n",
       "CVaR                                      -0.147061               -0.147076   \n",
       "Hit Ratio                                  0.549072                0.549072   \n",
       "Average Win to Average Loss                1.161872                1.160978   \n",
       "Average Profitability per Trade            0.051216                0.051216   \n",
       "PnL                                       10.339662               10.265649   \n",
       "\n",
       "                                 HRP Agent - Fee: 0.1%  HRP Agent - Fee: 1%  \\\n",
       "Mean Return                                   0.008752             0.007028   \n",
       "Volatility                                    0.074460             0.074569   \n",
       "Sharpe Ratio                                  2.245534             1.800617   \n",
       "Max Drawdown                                 10.158050             9.356889   \n",
       "Average Drawdown Time                         3.000000             2.000000   \n",
       "Skewness                                      0.622724             0.607958   \n",
       "Kurtosis                                      7.256148             7.114356   \n",
       "Tail Ratio                                    1.260738             1.206956   \n",
       "VaR                                          -0.098121            -0.099323   \n",
       "CVaR                                         -0.147215            -0.148597   \n",
       "Hit Ratio                                     0.543767             0.527851   \n",
       "Average Win to Average Loss                   1.177891             1.170056   \n",
       "Average Profitability per Trade               0.051226             0.051581   \n",
       "PnL                                           9.622473             5.015127   \n",
       "\n",
       "                                 HRP Agent - Fee: 1.5%  HRP Agent - Fee: 2%  \\\n",
       "Mean Return                                   0.006070             0.005113   \n",
       "Volatility                                    0.074740             0.074989   \n",
       "Sharpe Ratio                                  1.551710             1.302580   \n",
       "Max Drawdown                                  9.336122             9.141498   \n",
       "Average Drawdown Time                         2.000000             3.000000   \n",
       "Skewness                                      0.595639             0.579993   \n",
       "Kurtosis                                      6.996463             6.853365   \n",
       "Tail Ratio                                    1.177448             1.138737   \n",
       "VaR                                          -0.101812            -0.104431   \n",
       "CVaR                                         -0.149654            -0.151116   \n",
       "Hit Ratio                                     0.527851             0.525199   \n",
       "Average Win to Average Loss                   1.124959             1.093817   \n",
       "Average Profitability per Trade               0.051922             0.052296   \n",
       "PnL                                           3.479011             2.406930   \n",
       "\n",
       "                                   BTCUSDT   ETHUSDT  \n",
       "Mean Return                       0.001947  0.005650  \n",
       "Volatility                        0.041987  0.056202  \n",
       "Sharpe Ratio                      0.885794  1.920805  \n",
       "Max Drawdown                      1.151814  3.275329  \n",
       "Average Drawdown Time            15.000000  6.000000  \n",
       "Skewness                          0.172095  0.029035  \n",
       "Kurtosis                          1.710761  3.634270  \n",
       "Tail Ratio                        1.197361  1.128458  \n",
       "VaR                              -0.062388 -0.081252  \n",
       "CVaR                             -0.089282 -0.118780  \n",
       "Hit Ratio                         0.498674  0.554377  \n",
       "Average Win to Average Loss       1.133861  1.050714  \n",
       "Average Profitability per Trade   0.031033  0.041531  \n",
       "PnL                               1.496765  4.625070  "
      ]
     },
     "execution_count": 78,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 79,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./hrp_results_2021_01_01_2022_01_12.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 80,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,11,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 81,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>HRP Agent - No Fee</th>\n",
       "      <th>HRP Agent - Fee: 0.01%</th>\n",
       "      <th>HRP Agent - Fee: 0.1%</th>\n",
       "      <th>HRP Agent - Fee: 1%</th>\n",
       "      <th>HRP Agent - Fee: 1.5%</th>\n",
       "      <th>HRP Agent - Fee: 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.003897</td>\n",
       "      <td>0.003879</td>\n",
       "      <td>0.003720</td>\n",
       "      <td>0.002126</td>\n",
       "      <td>0.001241</td>\n",
       "      <td>0.000356</td>\n",
       "      <td>-0.005988</td>\n",
       "      <td>-0.004431</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.053683</td>\n",
       "      <td>0.053688</td>\n",
       "      <td>0.053731</td>\n",
       "      <td>0.054331</td>\n",
       "      <td>0.054793</td>\n",
       "      <td>0.055343</td>\n",
       "      <td>0.030998</td>\n",
       "      <td>0.039292</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>1.386795</td>\n",
       "      <td>1.380376</td>\n",
       "      <td>1.322608</td>\n",
       "      <td>0.747717</td>\n",
       "      <td>0.432774</td>\n",
       "      <td>0.122895</td>\n",
       "      <td>-3.690382</td>\n",
       "      <td>-2.154703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.553369</td>\n",
       "      <td>0.553657</td>\n",
       "      <td>0.556242</td>\n",
       "      <td>0.580911</td>\n",
       "      <td>0.593707</td>\n",
       "      <td>0.623135</td>\n",
       "      <td>0.379120</td>\n",
       "      <td>0.348957</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.157864</td>\n",
       "      <td>0.157132</td>\n",
       "      <td>0.150485</td>\n",
       "      <td>0.077795</td>\n",
       "      <td>0.032328</td>\n",
       "      <td>-0.016776</td>\n",
       "      <td>-0.635018</td>\n",
       "      <td>-0.392601</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>1.254263</td>\n",
       "      <td>1.256397</td>\n",
       "      <td>1.275599</td>\n",
       "      <td>1.465660</td>\n",
       "      <td>1.568374</td>\n",
       "      <td>1.668097</td>\n",
       "      <td>0.214840</td>\n",
       "      <td>-0.215196</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.151240</td>\n",
       "      <td>1.151240</td>\n",
       "      <td>1.151240</td>\n",
       "      <td>1.151240</td>\n",
       "      <td>1.132121</td>\n",
       "      <td>1.110998</td>\n",
       "      <td>0.662943</td>\n",
       "      <td>0.690003</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.079853</td>\n",
       "      <td>-0.079853</td>\n",
       "      <td>-0.079853</td>\n",
       "      <td>-0.079853</td>\n",
       "      <td>-0.081202</td>\n",
       "      <td>-0.082745</td>\n",
       "      <td>-0.061417</td>\n",
       "      <td>-0.073299</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.105466</td>\n",
       "      <td>-0.105501</td>\n",
       "      <td>-0.105812</td>\n",
       "      <td>-0.108921</td>\n",
       "      <td>-0.110649</td>\n",
       "      <td>-0.112376</td>\n",
       "      <td>-0.075249</td>\n",
       "      <td>-0.085850</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.538462</td>\n",
       "      <td>0.538462</td>\n",
       "      <td>0.538462</td>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.507692</td>\n",
       "      <td>0.446154</td>\n",
       "      <td>0.446154</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.006946</td>\n",
       "      <td>1.006056</td>\n",
       "      <td>0.998079</td>\n",
       "      <td>0.981224</td>\n",
       "      <td>0.938502</td>\n",
       "      <td>0.956006</td>\n",
       "      <td>0.713889</td>\n",
       "      <td>0.909069</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.040099</td>\n",
       "      <td>0.040097</td>\n",
       "      <td>0.040084</td>\n",
       "      <td>0.040079</td>\n",
       "      <td>0.040251</td>\n",
       "      <td>0.040620</td>\n",
       "      <td>0.023328</td>\n",
       "      <td>0.031484</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>1.175006</td>\n",
       "      <td>1.173635</td>\n",
       "      <td>1.161354</td>\n",
       "      <td>1.044653</td>\n",
       "      <td>0.984406</td>\n",
       "      <td>0.927251</td>\n",
       "      <td>0.655776</td>\n",
       "      <td>0.712389</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 HRP Agent - No Fee  HRP Agent - Fee: 0.01%  \\\n",
       "Mean Return                                0.003897                0.003879   \n",
       "Volatility                                 0.053683                0.053688   \n",
       "Sharpe Ratio                               1.386795                1.380376   \n",
       "Max Drawdown                               0.553369                0.553657   \n",
       "Average Drawdown Time                      2.000000                2.000000   \n",
       "Skewness                                   0.157864                0.157132   \n",
       "Kurtosis                                   1.254263                1.256397   \n",
       "Tail Ratio                                 1.151240                1.151240   \n",
       "VaR                                       -0.079853               -0.079853   \n",
       "CVaR                                      -0.105466               -0.105501   \n",
       "Hit Ratio                                  0.538462                0.538462   \n",
       "Average Win to Average Loss                1.006946                1.006056   \n",
       "Average Profitability per Trade            0.040099                0.040097   \n",
       "PnL                                        1.175006                1.173635   \n",
       "\n",
       "                                 HRP Agent - Fee: 0.1%  HRP Agent - Fee: 1%  \\\n",
       "Mean Return                                   0.003720             0.002126   \n",
       "Volatility                                    0.053731             0.054331   \n",
       "Sharpe Ratio                                  1.322608             0.747717   \n",
       "Max Drawdown                                  0.556242             0.580911   \n",
       "Average Drawdown Time                         2.000000             2.000000   \n",
       "Skewness                                      0.150485             0.077795   \n",
       "Kurtosis                                      1.275599             1.465660   \n",
       "Tail Ratio                                    1.151240             1.151240   \n",
       "VaR                                          -0.079853            -0.079853   \n",
       "CVaR                                         -0.105812            -0.108921   \n",
       "Hit Ratio                                     0.538462             0.523077   \n",
       "Average Win to Average Loss                   0.998079             0.981224   \n",
       "Average Profitability per Trade               0.040084             0.040079   \n",
       "PnL                                           1.161354             1.044653   \n",
       "\n",
       "                                 HRP Agent - Fee: 1.5%  HRP Agent - Fee: 2%  \\\n",
       "Mean Return                                   0.001241             0.000356   \n",
       "Volatility                                    0.054793             0.055343   \n",
       "Sharpe Ratio                                  0.432774             0.122895   \n",
       "Max Drawdown                                  0.593707             0.623135   \n",
       "Average Drawdown Time                         2.000000             2.000000   \n",
       "Skewness                                      0.032328            -0.016776   \n",
       "Kurtosis                                      1.568374             1.668097   \n",
       "Tail Ratio                                    1.132121             1.110998   \n",
       "VaR                                          -0.081202            -0.082745   \n",
       "CVaR                                         -0.110649            -0.112376   \n",
       "Hit Ratio                                     0.523077             0.507692   \n",
       "Average Win to Average Loss                   0.938502             0.956006   \n",
       "Average Profitability per Trade               0.040251             0.040620   \n",
       "PnL                                           0.984406             0.927251   \n",
       "\n",
       "                                  BTCUSDT   ETHUSDT  \n",
       "Mean Return                     -0.005988 -0.004431  \n",
       "Volatility                       0.030998  0.039292  \n",
       "Sharpe Ratio                    -3.690382 -2.154703  \n",
       "Max Drawdown                     0.379120  0.348957  \n",
       "Average Drawdown Time                 NaN       NaN  \n",
       "Skewness                        -0.635018 -0.392601  \n",
       "Kurtosis                         0.214840 -0.215196  \n",
       "Tail Ratio                       0.662943  0.690003  \n",
       "VaR                             -0.061417 -0.073299  \n",
       "CVaR                            -0.075249 -0.085850  \n",
       "Hit Ratio                        0.446154  0.446154  \n",
       "Average Win to Average Loss      0.713889  0.909069  \n",
       "Average Profitability per Trade  0.023328  0.031484  \n",
       "PnL                              0.655776  0.712389  "
      ]
     },
     "execution_count": 81,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 82,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./hrp_results_2021_11_09_2022_01_12.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 83,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,1), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 84,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./hrp_results_2022_01_01_2022_01_12.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 85,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 86,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"./hrp_results_2022_01_09_2022_01_12.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 87,
   "metadata": {},
   "outputs": [],
   "source": [
    "agents = [hrp_agent_nocash, hrp_agent_fees_00001_nocash, hrp_agent_fees_0001_nocash, hrp_agent_fees_001_nocash, hrp_agent_fees_0015_nocash, hrp_agent_fees_002_nocash]\n",
    "agents_names = [\"HRP Agent - No Fee\", \"HRP Agent - Fee: 0.01%\", \"HRP Agent - Fee: 0.1%\", \"HRP Agent - Fee: 1%\", \"HRP Agent - Fee: 1.5%\", \"HRP Agent - Fee: 2%\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 89,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,1,1), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")\n",
    "stats_df.to_csv(\"./hrp_results_nocash_2021_01_01_2022_01_12.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 90,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,11,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")\n",
    "stats_df.to_csv(\"./hrp_results_nocash_2021_11_09_2022_01_12.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 91,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,1), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")\n",
    "stats_df.to_csv(\"./hrp_results_nocash_2022_01_01_2022_01_12.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 92,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")\n",
    "stats_df.to_csv(\"./hrp_results_nocash_2022_01_09_2022_01_12.csv\")"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Genetic Agent"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 51,
   "metadata": {},
   "outputs": [],
   "source": [
    "genetic_agent_fees = pickle.load(open(\n",
    "    f\"{path}/geneticagent/results_geneticagent_params_0_testing_oot_fees.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "genetic_agent = pickle.load(open(\n",
    "    f\"{path}/geneticagent/results_geneticagent_params_0_testing_oot.pickle\",\n",
    "    \"rb\"\n",
    "))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 52,
   "metadata": {},
   "outputs": [],
   "source": [
    "agents = [genetic_agent, genetic_agent_fees]\n",
    "agents_names = [\"Genetic Agent\", \"Genetic Agent with Fees\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 53,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,11,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 54,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Genetic Agent</th>\n",
       "      <th>Genetic Agent with Fees</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.003110</td>\n",
       "      <td>0.003122</td>\n",
       "      <td>-0.005988</td>\n",
       "      <td>-0.004431</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.056149</td>\n",
       "      <td>0.056677</td>\n",
       "      <td>0.030998</td>\n",
       "      <td>0.039292</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>1.058190</td>\n",
       "      <td>1.052333</td>\n",
       "      <td>-3.690382</td>\n",
       "      <td>-2.154703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.657262</td>\n",
       "      <td>0.656244</td>\n",
       "      <td>0.379120</td>\n",
       "      <td>0.348957</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>-0.115776</td>\n",
       "      <td>-0.090845</td>\n",
       "      <td>-0.635018</td>\n",
       "      <td>-0.392601</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>0.002308</td>\n",
       "      <td>0.098861</td>\n",
       "      <td>0.214840</td>\n",
       "      <td>-0.215196</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.004444</td>\n",
       "      <td>1.012119</td>\n",
       "      <td>0.662943</td>\n",
       "      <td>0.690003</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.101168</td>\n",
       "      <td>-0.100801</td>\n",
       "      <td>-0.061417</td>\n",
       "      <td>-0.073299</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.112453</td>\n",
       "      <td>-0.113794</td>\n",
       "      <td>-0.075249</td>\n",
       "      <td>-0.085850</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.507692</td>\n",
       "      <td>0.446154</td>\n",
       "      <td>0.446154</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.019210</td>\n",
       "      <td>1.084566</td>\n",
       "      <td>0.713889</td>\n",
       "      <td>0.909069</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.043212</td>\n",
       "      <td>0.043524</td>\n",
       "      <td>0.023328</td>\n",
       "      <td>0.031484</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>1.105940</td>\n",
       "      <td>1.104754</td>\n",
       "      <td>0.655776</td>\n",
       "      <td>0.712389</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 Genetic Agent  Genetic Agent with Fees  \\\n",
       "Mean Return                           0.003110                 0.003122   \n",
       "Volatility                            0.056149                 0.056677   \n",
       "Sharpe Ratio                          1.058190                 1.052333   \n",
       "Max Drawdown                          0.657262                 0.656244   \n",
       "Average Drawdown Time                 2.000000                 2.000000   \n",
       "Skewness                             -0.115776                -0.090845   \n",
       "Kurtosis                              0.002308                 0.098861   \n",
       "Tail Ratio                            1.004444                 1.012119   \n",
       "VaR                                  -0.101168                -0.100801   \n",
       "CVaR                                 -0.112453                -0.113794   \n",
       "Hit Ratio                             0.523077                 0.507692   \n",
       "Average Win to Average Loss           1.019210                 1.084566   \n",
       "Average Profitability per Trade       0.043212                 0.043524   \n",
       "PnL                                   1.105940                 1.104754   \n",
       "\n",
       "                                  BTCUSDT   ETHUSDT  \n",
       "Mean Return                     -0.005988 -0.004431  \n",
       "Volatility                       0.030998  0.039292  \n",
       "Sharpe Ratio                    -3.690382 -2.154703  \n",
       "Max Drawdown                     0.379120  0.348957  \n",
       "Average Drawdown Time                 NaN       NaN  \n",
       "Skewness                        -0.635018 -0.392601  \n",
       "Kurtosis                         0.214840 -0.215196  \n",
       "Tail Ratio                       0.662943  0.690003  \n",
       "VaR                             -0.061417 -0.073299  \n",
       "CVaR                            -0.075249 -0.085850  \n",
       "Hit Ratio                        0.446154  0.446154  \n",
       "Average Win to Average Loss      0.713889  0.909069  \n",
       "Average Profitability per Trade  0.023328  0.031484  \n",
       "PnL                              0.655776  0.712389  "
      ]
     },
     "execution_count": 54,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 56,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "355"
      ]
     },
     "execution_count": 56,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "genetic_agent[\"agent\"].actions.shape[1]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### HRP Riskfolio"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "metadata": {},
   "outputs": [],
   "source": [
    "hrp_riskfolio_agent_fees = pickle.load(open(\n",
    "    f\"{path}/hrp_riskfolio/results_hrp_riskfolio_params_0_testing_oot_weekly_reb_fees_001_nocash.pickle\",\n",
    "    \"rb\"\n",
    "))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 26,
   "metadata": {},
   "outputs": [],
   "source": [
    "assets_data = pickle.load(open(f\"./assets_data_testing.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 27,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    [hrp_riskfolio_agent_fees], [\"HRP Riskfolio\"], datetime(2021,11,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 28,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>HRP Riskfolio</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.001815</td>\n",
       "      <td>-0.005988</td>\n",
       "      <td>-0.004431</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.055774</td>\n",
       "      <td>0.030998</td>\n",
       "      <td>0.039292</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>0.621661</td>\n",
       "      <td>-3.690382</td>\n",
       "      <td>-2.154703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.516235</td>\n",
       "      <td>0.379120</td>\n",
       "      <td>0.348957</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>1.000000</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.159644</td>\n",
       "      <td>-0.635018</td>\n",
       "      <td>-0.392601</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>0.868782</td>\n",
       "      <td>0.214840</td>\n",
       "      <td>-0.215196</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.104796</td>\n",
       "      <td>0.662943</td>\n",
       "      <td>0.690003</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.082927</td>\n",
       "      <td>-0.061417</td>\n",
       "      <td>-0.073299</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.107601</td>\n",
       "      <td>-0.075249</td>\n",
       "      <td>-0.085850</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.538462</td>\n",
       "      <td>0.446154</td>\n",
       "      <td>0.446154</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>0.903305</td>\n",
       "      <td>0.713889</td>\n",
       "      <td>0.909069</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.042057</td>\n",
       "      <td>0.023328</td>\n",
       "      <td>0.031484</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>1.018862</td>\n",
       "      <td>0.655776</td>\n",
       "      <td>0.712389</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 HRP Riskfolio   BTCUSDT   ETHUSDT\n",
       "Mean Return                           0.001815 -0.005988 -0.004431\n",
       "Volatility                            0.055774  0.030998  0.039292\n",
       "Sharpe Ratio                          0.621661 -3.690382 -2.154703\n",
       "Max Drawdown                          0.516235  0.379120  0.348957\n",
       "Average Drawdown Time                 1.000000       NaN       NaN\n",
       "Skewness                              0.159644 -0.635018 -0.392601\n",
       "Kurtosis                              0.868782  0.214840 -0.215196\n",
       "Tail Ratio                            1.104796  0.662943  0.690003\n",
       "VaR                                  -0.082927 -0.061417 -0.073299\n",
       "CVaR                                 -0.107601 -0.075249 -0.085850\n",
       "Hit Ratio                             0.538462  0.446154  0.446154\n",
       "Average Win to Average Loss           0.903305  0.713889  0.909069\n",
       "Average Profitability per Trade       0.042057  0.023328  0.031484\n",
       "PnL                                   1.018862  0.655776  0.712389"
      ]
     },
     "execution_count": 28,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "metadata": {},
   "outputs": [],
   "source": [
    "weights = hrp_riskfolio_agent_fees[\"agent\"].actions.loc[\"2021-1-1\":].stack().reset_index().rename({\"level_0\":\"date\", \"level_1\": \"symbol\", 0:\"weight\"},axis=1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 30,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>date</th>\n",
       "      <th>symbol</th>\n",
       "      <th>weight</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>ZILUSDT</td>\n",
       "      <td>0.064671</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>34</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>THETAUSDT</td>\n",
       "      <td>0.103479</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>36</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>MITHUSDT</td>\n",
       "      <td>0.056597</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>39</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>TFUELUSDT</td>\n",
       "      <td>0.062875</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>43</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>GTOUSDT</td>\n",
       "      <td>0.080974</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>133290</th>\n",
       "      <td>2022-01-12</td>\n",
       "      <td>NEARBUSD</td>\n",
       "      <td>0.078217</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>133304</th>\n",
       "      <td>2022-01-12</td>\n",
       "      <td>KP3RBUSD</td>\n",
       "      <td>0.041007</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>133314</th>\n",
       "      <td>2022-01-12</td>\n",
       "      <td>ROSEBUSD</td>\n",
       "      <td>0.112751</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>133315</th>\n",
       "      <td>2022-01-12</td>\n",
       "      <td>SYSBUSD</td>\n",
       "      <td>0.111815</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>133345</th>\n",
       "      <td>2022-01-12</td>\n",
       "      <td>FXSBUSD</td>\n",
       "      <td>0.150171</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>3770 rows × 3 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "             date     symbol    weight\n",
       "23     2021-01-01    ZILUSDT  0.064671\n",
       "34     2021-01-01  THETAUSDT  0.103479\n",
       "36     2021-01-01   MITHUSDT  0.056597\n",
       "39     2021-01-01  TFUELUSDT  0.062875\n",
       "43     2021-01-01    GTOUSDT  0.080974\n",
       "...           ...        ...       ...\n",
       "133290 2022-01-12   NEARBUSD  0.078217\n",
       "133304 2022-01-12   KP3RBUSD  0.041007\n",
       "133314 2022-01-12   ROSEBUSD  0.112751\n",
       "133315 2022-01-12    SYSBUSD  0.111815\n",
       "133345 2022-01-12    FXSBUSD  0.150171\n",
       "\n",
       "[3770 rows x 3 columns]"
      ]
     },
     "execution_count": 30,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "weights[weights.loc[:, \"weight\"]!=0.]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Training v2\n",
    "\n",
    "Since 2019-01-01 to 2021-01-01."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "from trading_gym.utils.summary import stats"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>window</th>\n",
       "      <th>n_obs</th>\n",
       "      <th>n_assets</th>\n",
       "      <th>Cumulative Return</th>\n",
       "      <th>Sharpe Ratio</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>60</td>\n",
       "      <td>5</td>\n",
       "      <td>5</td>\n",
       "      <td>5.379555</td>\n",
       "      <td>1.665403</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>260</td>\n",
       "      <td>15</td>\n",
       "      <td>10</td>\n",
       "      <td>6.296535</td>\n",
       "      <td>1.658399</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>260</td>\n",
       "      <td>5</td>\n",
       "      <td>5</td>\n",
       "      <td>5.820053</td>\n",
       "      <td>1.591516</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>30</td>\n",
       "      <td>15</td>\n",
       "      <td>5</td>\n",
       "      <td>5.359170</td>\n",
       "      <td>1.586027</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>180</td>\n",
       "      <td>15</td>\n",
       "      <td>5</td>\n",
       "      <td>4.886408</td>\n",
       "      <td>1.581255</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>260</td>\n",
       "      <td>5</td>\n",
       "      <td>10</td>\n",
       "      <td>5.270406</td>\n",
       "      <td>1.558098</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>180</td>\n",
       "      <td>5</td>\n",
       "      <td>5</td>\n",
       "      <td>4.507647</td>\n",
       "      <td>1.514125</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>180</td>\n",
       "      <td>15</td>\n",
       "      <td>10</td>\n",
       "      <td>4.046919</td>\n",
       "      <td>1.485633</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>260</td>\n",
       "      <td>15</td>\n",
       "      <td>5</td>\n",
       "      <td>4.592065</td>\n",
       "      <td>1.472184</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>60</td>\n",
       "      <td>15</td>\n",
       "      <td>5</td>\n",
       "      <td>3.753506</td>\n",
       "      <td>1.403187</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>60</td>\n",
       "      <td>5</td>\n",
       "      <td>10</td>\n",
       "      <td>2.933154</td>\n",
       "      <td>1.331856</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>30</td>\n",
       "      <td>15</td>\n",
       "      <td>10</td>\n",
       "      <td>3.141668</td>\n",
       "      <td>1.320080</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>180</td>\n",
       "      <td>5</td>\n",
       "      <td>10</td>\n",
       "      <td>2.945740</td>\n",
       "      <td>1.309231</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>30</td>\n",
       "      <td>5</td>\n",
       "      <td>5</td>\n",
       "      <td>2.574806</td>\n",
       "      <td>1.225533</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>60</td>\n",
       "      <td>15</td>\n",
       "      <td>10</td>\n",
       "      <td>2.057608</td>\n",
       "      <td>1.130058</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>30</td>\n",
       "      <td>5</td>\n",
       "      <td>10</td>\n",
       "      <td>1.709367</td>\n",
       "      <td>1.053265</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "    window  n_obs  n_assets  Cumulative Return  Sharpe Ratio\n",
       "11      60      5         5           5.379555      1.665403\n",
       "0      260     15        10           6.296535      1.658399\n",
       "3      260      5         5           5.820053      1.591516\n",
       "13      30     15         5           5.359170      1.586027\n",
       "5      180     15         5           4.886408      1.581255\n",
       "2      260      5        10           5.270406      1.558098\n",
       "7      180      5         5           4.507647      1.514125\n",
       "4      180     15        10           4.046919      1.485633\n",
       "1      260     15         5           4.592065      1.472184\n",
       "9       60     15         5           3.753506      1.403187\n",
       "10      60      5        10           2.933154      1.331856\n",
       "12      30     15        10           3.141668      1.320080\n",
       "6      180      5        10           2.945740      1.309231\n",
       "15      30      5         5           2.574806      1.225533\n",
       "8       60     15        10           2.057608      1.130058\n",
       "14      30      5        10           1.709367      1.053265"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "agent = \"hrp\"\n",
    "start_eval_date = datetime(2019,1,1)\n",
    "\n",
    "agents_statistics = []\n",
    "for i in range(16):\n",
    "    results = pickle.load(open(f\"{path}/{agent}/results_{agent}_params_{i}_mix_weekly_reb_nocash_v2.pickle\", \"rb\"))\n",
    "    statistics = stats(results[\"agent\"].rewards.loc[start_eval_date:].sum(axis=1))\n",
    "    agents_statistics.append(\n",
    "        {\n",
    "            \"window\": results[\"params\"][\"window\"],\n",
    "            \"n_obs\": results[\"params\"][\"screener\"].n_obs,\n",
    "            \"n_assets\": results[\"params\"][\"screener\"].n_assets,\n",
    "            \"Cumulative Return\": statistics[\"Cumulative Returns\"].iloc[-1],\n",
    "            \"Sharpe Ratio\": statistics[\"Sharpe Ratio\"]*np.sqrt(365.)\n",
    "        }\n",
    "    ) \n",
    "pd.DataFrame(agents_statistics).sort_values(\"Sharpe Ratio\", ascending=False)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 63,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>window</th>\n",
       "      <th>n_obs</th>\n",
       "      <th>n_assets</th>\n",
       "      <th>Cumulative Return</th>\n",
       "      <th>Sharpe Ratio</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>180</td>\n",
       "      <td>5</td>\n",
       "      <td>5</td>\n",
       "      <td>0.004628</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>180</td>\n",
       "      <td>6</td>\n",
       "      <td>5</td>\n",
       "      <td>-0.016862</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>180</td>\n",
       "      <td>7</td>\n",
       "      <td>5</td>\n",
       "      <td>0.000131</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>180</td>\n",
       "      <td>8</td>\n",
       "      <td>5</td>\n",
       "      <td>-0.016862</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>180</td>\n",
       "      <td>9</td>\n",
       "      <td>5</td>\n",
       "      <td>-0.001491</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1495</th>\n",
       "      <td>30</td>\n",
       "      <td>25</td>\n",
       "      <td>19</td>\n",
       "      <td>0.028613</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1496</th>\n",
       "      <td>30</td>\n",
       "      <td>26</td>\n",
       "      <td>19</td>\n",
       "      <td>0.030378</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1497</th>\n",
       "      <td>30</td>\n",
       "      <td>27</td>\n",
       "      <td>19</td>\n",
       "      <td>0.028613</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1498</th>\n",
       "      <td>30</td>\n",
       "      <td>28</td>\n",
       "      <td>19</td>\n",
       "      <td>0.025938</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1499</th>\n",
       "      <td>30</td>\n",
       "      <td>29</td>\n",
       "      <td>19</td>\n",
       "      <td>0.046114</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>1500 rows × 5 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "      window  n_obs  n_assets  Cumulative Return  Sharpe Ratio\n",
       "0        180      5         5           0.004628           NaN\n",
       "1        180      6         5          -0.016862           NaN\n",
       "2        180      7         5           0.000131           NaN\n",
       "3        180      8         5          -0.016862           NaN\n",
       "4        180      9         5          -0.001491           NaN\n",
       "...      ...    ...       ...                ...           ...\n",
       "1495      30     25        19           0.028613           NaN\n",
       "1496      30     26        19           0.030378           NaN\n",
       "1497      30     27        19           0.028613           NaN\n",
       "1498      30     28        19           0.025938           NaN\n",
       "1499      30     29        19           0.046114           NaN\n",
       "\n",
       "[1500 rows x 5 columns]"
      ]
     },
     "execution_count": 63,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "agents_statistics = []\n",
    "for i in range(1500):\n",
    "    results = pickle.load(open(f\"{path}/{agent}/results_{agent}_params_{i}_returns_weekly_reb_nocash.pickle\", \"rb\"))\n",
    "    statistics = stats(results[\"agent\"].rewards.loc[start_eval_date:].sum(axis=1))\n",
    "    agents_statistics.append(\n",
    "        {\n",
    "            \"window\": results[\"params\"][\"window\"],\n",
    "            \"n_obs\": results[\"params\"][\"screener\"].n_obs,\n",
    "            \"n_assets\": results[\"params\"][\"screener\"].n_assets,\n",
    "            \"Cumulative Return\": statistics[\"Cumulative Returns\"].iloc[-1],\n",
    "            \"Sharpe Ratio\": statistics[\"Sharpe Ratio\"]*np.sqrt(365.)\n",
    "        }\n",
    "    ) \n",
    "pd.DataFrame(agents_statistics).sort_values(\"Sharpe Ratio\", ascending=False)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>window</th>\n",
       "      <th>n_obs</th>\n",
       "      <th>n_assets</th>\n",
       "      <th>Cumulative Return</th>\n",
       "      <th>Sharpe Ratio</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>30</td>\n",
       "      <td>15</td>\n",
       "      <td>5</td>\n",
       "      <td>3.825364</td>\n",
       "      <td>1.418683</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>60</td>\n",
       "      <td>15</td>\n",
       "      <td>5</td>\n",
       "      <td>3.411602</td>\n",
       "      <td>1.373970</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>60</td>\n",
       "      <td>15</td>\n",
       "      <td>10</td>\n",
       "      <td>3.372719</td>\n",
       "      <td>1.344507</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>60</td>\n",
       "      <td>5</td>\n",
       "      <td>5</td>\n",
       "      <td>3.207310</td>\n",
       "      <td>1.333193</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>260</td>\n",
       "      <td>15</td>\n",
       "      <td>5</td>\n",
       "      <td>3.154188</td>\n",
       "      <td>1.323218</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>30</td>\n",
       "      <td>5</td>\n",
       "      <td>5</td>\n",
       "      <td>2.868621</td>\n",
       "      <td>1.281139</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>30</td>\n",
       "      <td>15</td>\n",
       "      <td>10</td>\n",
       "      <td>2.788018</td>\n",
       "      <td>1.267009</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>180</td>\n",
       "      <td>15</td>\n",
       "      <td>5</td>\n",
       "      <td>2.754143</td>\n",
       "      <td>1.263423</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>60</td>\n",
       "      <td>5</td>\n",
       "      <td>10</td>\n",
       "      <td>2.727566</td>\n",
       "      <td>1.242483</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>260</td>\n",
       "      <td>15</td>\n",
       "      <td>10</td>\n",
       "      <td>2.627593</td>\n",
       "      <td>1.228213</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>30</td>\n",
       "      <td>5</td>\n",
       "      <td>10</td>\n",
       "      <td>2.458703</td>\n",
       "      <td>1.203459</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>180</td>\n",
       "      <td>5</td>\n",
       "      <td>5</td>\n",
       "      <td>2.444413</td>\n",
       "      <td>1.201825</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>260</td>\n",
       "      <td>5</td>\n",
       "      <td>5</td>\n",
       "      <td>2.375287</td>\n",
       "      <td>1.191767</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>180</td>\n",
       "      <td>15</td>\n",
       "      <td>10</td>\n",
       "      <td>2.169305</td>\n",
       "      <td>1.138563</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>260</td>\n",
       "      <td>5</td>\n",
       "      <td>10</td>\n",
       "      <td>2.135785</td>\n",
       "      <td>1.132856</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>180</td>\n",
       "      <td>5</td>\n",
       "      <td>10</td>\n",
       "      <td>1.889216</td>\n",
       "      <td>1.081519</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "    window  n_obs  n_assets  Cumulative Return  Sharpe Ratio\n",
       "13      30     15         5           3.825364      1.418683\n",
       "9       60     15         5           3.411602      1.373970\n",
       "8       60     15        10           3.372719      1.344507\n",
       "11      60      5         5           3.207310      1.333193\n",
       "1      260     15         5           3.154188      1.323218\n",
       "15      30      5         5           2.868621      1.281139\n",
       "12      30     15        10           2.788018      1.267009\n",
       "5      180     15         5           2.754143      1.263423\n",
       "10      60      5        10           2.727566      1.242483\n",
       "0      260     15        10           2.627593      1.228213\n",
       "14      30      5        10           2.458703      1.203459\n",
       "7      180      5         5           2.444413      1.201825\n",
       "3      260      5         5           2.375287      1.191767\n",
       "4      180     15        10           2.169305      1.138563\n",
       "2      260      5        10           2.135785      1.132856\n",
       "6      180      5        10           1.889216      1.081519"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "agents_statistics = []\n",
    "for i in range(16):\n",
    "    results = pickle.load(open(f\"{path}/{agent}/results_{agent}_params_{i}_volume_weekly_reb_nocash_v2.pickle\", \"rb\"))\n",
    "    statistics = stats(results[\"agent\"].rewards.loc[start_eval_date:].sum(axis=1))\n",
    "    agents_statistics.append(\n",
    "        {\n",
    "            \"window\": results[\"params\"][\"window\"],\n",
    "            \"n_obs\": results[\"params\"][\"screener\"].n_obs,\n",
    "            \"n_assets\": results[\"params\"][\"screener\"].n_assets,\n",
    "            \"Cumulative Return\": statistics[\"Cumulative Returns\"].iloc[-1],\n",
    "            \"Sharpe Ratio\": statistics[\"Sharpe Ratio\"]*np.sqrt(365.)\n",
    "        }\n",
    "    ) \n",
    "pd.DataFrame(agents_statistics).sort_values(\"Sharpe Ratio\", ascending=False)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Testing v2\n",
    "\n",
    "Since 2021-01-01 to 2022-01-12"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>window</th>\n",
       "      <th>n_obs</th>\n",
       "      <th>n_assets</th>\n",
       "      <th>Cumulative Return</th>\n",
       "      <th>Sharpe Ratio</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>180</td>\n",
       "      <td>5</td>\n",
       "      <td>5</td>\n",
       "      <td>46.858307</td>\n",
       "      <td>2.850887</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>180</td>\n",
       "      <td>15</td>\n",
       "      <td>10</td>\n",
       "      <td>9.339662</td>\n",
       "      <td>2.294563</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>60</td>\n",
       "      <td>5</td>\n",
       "      <td>5</td>\n",
       "      <td>3.945956</td>\n",
       "      <td>2.084500</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   window  n_obs  n_assets  Cumulative Return  Sharpe Ratio\n",
       "2     180      5         5          46.858307      2.850887\n",
       "0     180     15        10           9.339662      2.294563\n",
       "1      60      5         5           3.945956      2.084500"
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "agents_statistics = []\n",
    "start_eval_date = datetime(2021,1,1)\n",
    "for i in range(3):\n",
    "    results = pickle.load(open(f\"{path}/{agent}/results_{agent}_params_0_testing_oot_{i}_v2.pickle\", \"rb\"))\n",
    "    returns = results[\"agent\"].rewards.loc[start_eval_date:].sum(axis=1)\n",
    "    returns.iloc[0] = 0\n",
    "    statistics = stats(returns)\n",
    "    agents_statistics.append(\n",
    "        {\n",
    "            \"window\": results[\"params\"][\"window\"],\n",
    "            \"n_obs\": results[\"params\"][\"screener\"].n_obs,\n",
    "            \"n_assets\": results[\"params\"][\"screener\"].n_assets,\n",
    "            \"Cumulative Return\": statistics[\"Cumulative Returns\"].iloc[-1],\n",
    "            \"Sharpe Ratio\": statistics[\"Sharpe Ratio\"]*np.sqrt(365.)\n",
    "        }\n",
    "    ) \n",
    "pd.DataFrame(agents_statistics).sort_values(\"Sharpe Ratio\", ascending=False)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "metadata": {},
   "outputs": [],
   "source": [
    "hrp_agent = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_2_v2.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_0001 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_2_v2_0001.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_0005 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_2_v2_0005.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_001 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_2_v2_001.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_0015 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_2_v2_0015.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_002 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_2_v2_002.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "assets_data = pickle.load(open(f\"./assets_data_testing.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 30,
   "metadata": {},
   "outputs": [],
   "source": [
    "agents = [hrp_agent,\n",
    "hrp_agent_0001,\n",
    "hrp_agent_0005,\n",
    "hrp_agent_001,\n",
    "hrp_agent_0015,\n",
    "hrp_agent_002]\n",
    "\n",
    "agents_names = [\"No Fee\", \"Fee 0.1%\", \"Fee 0.5%\", \"Fee 1%\", \"Fee 1.5%\", \"Fee 2%\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 40,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,1,1), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 41,
   "metadata": {},
   "outputs": [
    {
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\"cumulative_return\": 52.48806528205335}, {\"date\": \"2022-01-01T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 35.62062369489467}, {\"date\": \"2022-01-01T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 21.71448129827338}, {\"date\": \"2022-01-01T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 13.024566522211071}, {\"date\": \"2022-01-01T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 7.618781127444921}, {\"date\": \"2022-01-01T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.6269996716861523}, {\"date\": \"2022-01-01T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 4.1659875704819544}, {\"date\": \"2022-01-02T00:00:00\", \"Agent\": \"No Fee\", \"cumulative_return\": 55.61147643147855}, {\"date\": \"2022-01-02T00:00:00\", \"Agent\": \"Fee 0.1%\", \"cumulative_return\": 50.518666932271756}, {\"date\": \"2022-01-02T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 34.27227438570968}, {\"date\": \"2022-01-02T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 20.8781477769715}, {\"date\": \"2022-01-02T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 12.508190429346259}, {\"date\": \"2022-01-02T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 7.301442797108752}, {\"date\": \"2022-01-02T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.6121191789494569}, {\"date\": \"2022-01-02T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 4.252047577890276}, {\"date\": \"2022-01-03T00:00:00\", \"Agent\": \"No Fee\", \"cumulative_return\": 52.73403511798171}, {\"date\": \"2022-01-03T00:00:00\", \"Agent\": \"Fee 0.1%\", \"cumulative_return\": 47.90008232731747}, {\"date\": \"2022-01-03T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 32.47945946661313}, {\"date\": \"2022-01-03T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 19.766127913782732}, {\"date\": \"2022-01-03T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 11.821597751286893}, {\"date\": \"2022-01-03T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 6.87949806131046}, {\"date\": \"2022-01-03T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.5834784835104965}, {\"date\": \"2022-01-03T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 4.166467739501448}, {\"date\": \"2022-01-04T00:00:00\", \"Agent\": \"No Fee\", \"cumulative_return\": 54.09922059030922}, {\"date\": \"2022-01-04T00:00:00\", \"Agent\": \"Fee 0.1%\", \"cumulative_return\": 49.142454723924125}, {\"date\": \"2022-01-04T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 33.3300501878356}, {\"date\": \"2022-01-04T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 20.29371933851279}, {\"date\": \"2022-01-04T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 12.147347696245454}, {\"date\": \"2022-01-04T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 7.079687313037324}, {\"date\": \"2022-01-04T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.5625424242517221}, {\"date\": \"2022-01-04T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 4.192835878229139}, {\"date\": \"2022-01-05T00:00:00\", \"Agent\": \"No Fee\", \"cumulative_return\": 49.19821380831953}, {\"date\": \"2022-01-05T00:00:00\", \"Agent\": \"Fee 0.1%\", \"cumulative_return\": 44.68234606839833}, {\"date\": \"2022-01-05T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 30.276435145843145}, {\"date\": \"2022-01-05T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 18.39966962648853}, {\"date\": \"2022-01-05T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 10.977907556545759}, {\"date\": \"2022-01-05T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 6.361009228423609}, {\"date\": \"2022-01-05T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.48137151319954596}, {\"date\": \"2022-01-05T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 3.8574309585545565}, {\"date\": \"2022-01-06T00:00:00\", \"Agent\": \"No Fee\", \"cumulative_return\": 49.425162752585194}, {\"date\": \"2022-01-06T00:00:00\", \"Agent\": \"Fee 0.1%\", \"cumulative_return\": 44.88887852095511}, {\"date\": \"2022-01-06T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 30.417837665937718}, {\"date\": \"2022-01-06T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 18.4873766225511}, {\"date\": \"2022-01-06T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 11.032060349409063}, {\"date\": \"2022-01-06T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 6.394288764613872}, {\"date\": \"2022-01-06T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.4687973996725039}, {\"date\": \"2022-01-06T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 3.6738417637294063}, {\"date\": \"2022-01-07T00:00:00\", \"Agent\": \"No Fee\", \"cumulative_return\": 48.88598872840255}, {\"date\": \"2022-01-07T00:00:00\", \"Agent\": \"Fee 0.1%\", \"cumulative_return\": 44.30643122619112}, {\"date\": \"2022-01-07T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 29.76772220864706}, {\"date\": \"2022-01-07T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 17.88925916721262}, {\"date\": \"2022-01-07T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 10.542445024616287}, {\"date\": \"2022-01-07T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 6.019453345683529}, {\"date\": \"2022-01-07T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.41711848175130695}, {\"date\": \"2022-01-07T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 3.389074096939267}, {\"date\": \"2022-01-08T00:00:00\", \"Agent\": \"No Fee\", \"cumulative_return\": 46.28980284499708}, {\"date\": \"2022-01-08T00:00:00\", \"Agent\": \"Fee 0.1%\", \"cumulative_return\": 41.94857644220948}, {\"date\": \"2022-01-08T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 28.166496531884004}, {\"date\": \"2022-01-08T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 16.906217049617307}, {\"date\": \"2022-01-08T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 9.94174864479629}, {\"date\": \"2022-01-08T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 5.6541442448756065}, {\"date\": \"2022-01-08T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.42097983443845166}, {\"date\": \"2022-01-08T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 3.226790687464847}, {\"date\": \"2022-01-09T00:00:00\", \"Agent\": \"No Fee\", \"cumulative_return\": 48.10948643829657}, {\"date\": \"2022-01-09T00:00:00\", \"Agent\": \"Fee 0.1%\", \"cumulative_return\": 43.601212215795194}, {\"date\": \"2022-01-09T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 29.288806036684797}, {\"date\": \"2022-01-09T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 17.59523767188652}, {\"date\": \"2022-01-09T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 10.36278064943805}, {\"date\": \"2022-01-09T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 5.910191772701774}, {\"date\": \"2022-01-09T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.4272829148269328}, {\"date\": \"2022-01-09T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 3.3242238410777762}, {\"date\": \"2022-01-10T00:00:00\", \"Agent\": \"No Fee\", \"cumulative_return\": 47.1237044711645}, {\"date\": \"2022-01-10T00:00:00\", \"Agent\": \"Fee 0.1%\", \"cumulative_return\": 42.70592550230443}, {\"date\": \"2022-01-10T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 28.680814364150404}, {\"date\": \"2022-01-10T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 17.221972722465548}, {\"date\": \"2022-01-10T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 10.13469387694111}, {\"date\": \"2022-01-10T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 5.771482473684513}, {\"date\": \"2022-01-10T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.42584658435978273}, {\"date\": \"2022-01-10T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 3.229164094332636}, {\"date\": \"2022-01-11T00:00:00\", \"Agent\": \"No Fee\", \"cumulative_return\": 46.242022395403495}, {\"date\": \"2022-01-11T00:00:00\", \"Agent\": \"Fee 0.1%\", \"cumulative_return\": 41.90518226062366}, {\"date\": \"2022-01-11T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 28.137027423672006}, {\"date\": \"2022-01-11T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 16.888125049869384}, {\"date\": \"2022-01-11T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 9.930693372028458}, {\"date\": \"2022-01-11T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 5.64742106176734}, {\"date\": \"2022-01-11T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.4567619526866675}, {\"date\": \"2022-01-11T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 3.4446090738225594}, {\"date\": \"2022-01-12T00:00:00\", \"Agent\": \"No Fee\", \"cumulative_return\": 46.85830715462959}, {\"date\": \"2022-01-12T00:00:00\", \"Agent\": \"Fee 0.1%\", \"cumulative_return\": 42.46489178570981}, {\"date\": \"2022-01-12T00:00:00\", \"Agent\": \"Fee 0.5%\", \"cumulative_return\": 28.517127703462506}, {\"date\": \"2022-01-12T00:00:00\", \"Agent\": \"Fee 1%\", \"cumulative_return\": 17.121480403437772}, {\"date\": \"2022-01-12T00:00:00\", \"Agent\": \"Fee 1.5%\", \"cumulative_return\": 10.073287177106758}, {\"date\": \"2022-01-12T00:00:00\", \"Agent\": \"Fee 2%\", \"cumulative_return\": 5.734138439237708}, {\"date\": \"2022-01-12T00:00:00\", \"Agent\": \"BTCUSDT\", \"cumulative_return\": 0.4967654437913398}, {\"date\": \"2022-01-12T00:00:00\", \"Agent\": \"ETHUSDT\", \"cumulative_return\": 3.6250703104635713}]}}, {\"mode\": \"vega-lite\"});\n",
       "</script>"
      ],
      "text/plain": [
       "alt.Chart(...)"
      ]
     },
     "execution_count": 41,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alt.Chart(cumulative_returns).mark_line().encode(\n",
    "    x=alt.X(\"date:T\", title=\"Date\"),\n",
    "    y=alt.Y(\"cumulative_return:Q\", title=\"Cumulative Return\", axis=alt.Axis(format=\".0%\")),\n",
    "    color=\"Agent:N\"\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 33,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>No Fee</th>\n",
       "      <th>Fee 0.1%</th>\n",
       "      <th>Fee 0.5%</th>\n",
       "      <th>Fee 1%</th>\n",
       "      <th>Fee 1.5%</th>\n",
       "      <th>Fee 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.014601</td>\n",
       "      <td>0.014346</td>\n",
       "      <td>0.013328</td>\n",
       "      <td>0.012055</td>\n",
       "      <td>0.010782</td>\n",
       "      <td>0.009509</td>\n",
       "      <td>0.001947</td>\n",
       "      <td>0.005650</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.097848</td>\n",
       "      <td>0.097867</td>\n",
       "      <td>0.097985</td>\n",
       "      <td>0.098225</td>\n",
       "      <td>0.098568</td>\n",
       "      <td>0.099012</td>\n",
       "      <td>0.041987</td>\n",
       "      <td>0.056202</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>2.850887</td>\n",
       "      <td>2.800631</td>\n",
       "      <td>2.598703</td>\n",
       "      <td>2.344754</td>\n",
       "      <td>2.089868</td>\n",
       "      <td>1.834865</td>\n",
       "      <td>0.885794</td>\n",
       "      <td>1.920805</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>32.683159</td>\n",
       "      <td>30.415774</td>\n",
       "      <td>24.990554</td>\n",
       "      <td>22.999204</td>\n",
       "      <td>21.064283</td>\n",
       "      <td>19.208347</td>\n",
       "      <td>1.151814</td>\n",
       "      <td>3.275329</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>8.000000</td>\n",
       "      <td>8.000000</td>\n",
       "      <td>8.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>15.000000</td>\n",
       "      <td>6.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>2.209714</td>\n",
       "      <td>2.207277</td>\n",
       "      <td>2.194505</td>\n",
       "      <td>2.171611</td>\n",
       "      <td>2.140927</td>\n",
       "      <td>2.102476</td>\n",
       "      <td>0.172095</td>\n",
       "      <td>0.029035</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>14.698945</td>\n",
       "      <td>14.703289</td>\n",
       "      <td>14.696257</td>\n",
       "      <td>14.633180</td>\n",
       "      <td>14.511597</td>\n",
       "      <td>14.334483</td>\n",
       "      <td>1.710761</td>\n",
       "      <td>3.634270</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.535235</td>\n",
       "      <td>1.527935</td>\n",
       "      <td>1.492668</td>\n",
       "      <td>1.434586</td>\n",
       "      <td>1.421696</td>\n",
       "      <td>1.343201</td>\n",
       "      <td>1.197361</td>\n",
       "      <td>1.128458</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.109601</td>\n",
       "      <td>-0.110125</td>\n",
       "      <td>-0.112727</td>\n",
       "      <td>-0.117291</td>\n",
       "      <td>-0.118354</td>\n",
       "      <td>-0.124816</td>\n",
       "      <td>-0.062388</td>\n",
       "      <td>-0.081252</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.156083</td>\n",
       "      <td>-0.156546</td>\n",
       "      <td>-0.158693</td>\n",
       "      <td>-0.162118</td>\n",
       "      <td>-0.166013</td>\n",
       "      <td>-0.170017</td>\n",
       "      <td>-0.089282</td>\n",
       "      <td>-0.118780</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.533156</td>\n",
       "      <td>0.533156</td>\n",
       "      <td>0.533156</td>\n",
       "      <td>0.525199</td>\n",
       "      <td>0.522546</td>\n",
       "      <td>0.514589</td>\n",
       "      <td>0.498674</td>\n",
       "      <td>0.554377</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.373299</td>\n",
       "      <td>1.362042</td>\n",
       "      <td>1.318132</td>\n",
       "      <td>1.306343</td>\n",
       "      <td>1.267129</td>\n",
       "      <td>1.255758</td>\n",
       "      <td>1.133861</td>\n",
       "      <td>1.050714</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.065182</td>\n",
       "      <td>0.065184</td>\n",
       "      <td>0.065192</td>\n",
       "      <td>0.065264</td>\n",
       "      <td>0.065438</td>\n",
       "      <td>0.065685</td>\n",
       "      <td>0.031033</td>\n",
       "      <td>0.041531</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>47.858307</td>\n",
       "      <td>43.464892</td>\n",
       "      <td>29.517128</td>\n",
       "      <td>18.121480</td>\n",
       "      <td>11.073287</td>\n",
       "      <td>6.734138</td>\n",
       "      <td>1.496765</td>\n",
       "      <td>4.625070</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                    No Fee   Fee 0.1%   Fee 0.5%     Fee 1%  \\\n",
       "Mean Return                       0.014601   0.014346   0.013328   0.012055   \n",
       "Volatility                        0.097848   0.097867   0.097985   0.098225   \n",
       "Sharpe Ratio                      2.850887   2.800631   2.598703   2.344754   \n",
       "Max Drawdown                     32.683159  30.415774  24.990554  22.999204   \n",
       "Average Drawdown Time             8.000000   8.000000   8.000000   3.000000   \n",
       "Skewness                          2.209714   2.207277   2.194505   2.171611   \n",
       "Kurtosis                         14.698945  14.703289  14.696257  14.633180   \n",
       "Tail Ratio                        1.535235   1.527935   1.492668   1.434586   \n",
       "VaR                              -0.109601  -0.110125  -0.112727  -0.117291   \n",
       "CVaR                             -0.156083  -0.156546  -0.158693  -0.162118   \n",
       "Hit Ratio                         0.533156   0.533156   0.533156   0.525199   \n",
       "Average Win to Average Loss       1.373299   1.362042   1.318132   1.306343   \n",
       "Average Profitability per Trade   0.065182   0.065184   0.065192   0.065264   \n",
       "PnL                              47.858307  43.464892  29.517128  18.121480   \n",
       "\n",
       "                                  Fee 1.5%     Fee 2%    BTCUSDT   ETHUSDT  \n",
       "Mean Return                       0.010782   0.009509   0.001947  0.005650  \n",
       "Volatility                        0.098568   0.099012   0.041987  0.056202  \n",
       "Sharpe Ratio                      2.089868   1.834865   0.885794  1.920805  \n",
       "Max Drawdown                     21.064283  19.208347   1.151814  3.275329  \n",
       "Average Drawdown Time             3.000000   3.000000  15.000000  6.000000  \n",
       "Skewness                          2.140927   2.102476   0.172095  0.029035  \n",
       "Kurtosis                         14.511597  14.334483   1.710761  3.634270  \n",
       "Tail Ratio                        1.421696   1.343201   1.197361  1.128458  \n",
       "VaR                              -0.118354  -0.124816  -0.062388 -0.081252  \n",
       "CVaR                             -0.166013  -0.170017  -0.089282 -0.118780  \n",
       "Hit Ratio                         0.522546   0.514589   0.498674  0.554377  \n",
       "Average Win to Average Loss       1.267129   1.255758   1.133861  1.050714  \n",
       "Average Profitability per Trade   0.065438   0.065685   0.031033  0.041531  \n",
       "PnL                              11.073287   6.734138   1.496765  4.625070  "
      ]
     },
     "execution_count": 33,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 34,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,11,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 35,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>No Fee</th>\n",
       "      <th>Fee 0.1%</th>\n",
       "      <th>Fee 0.5%</th>\n",
       "      <th>Fee 1%</th>\n",
       "      <th>Fee 1.5%</th>\n",
       "      <th>Fee 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.005538</td>\n",
       "      <td>0.005300</td>\n",
       "      <td>0.004347</td>\n",
       "      <td>0.003155</td>\n",
       "      <td>0.001963</td>\n",
       "      <td>0.000771</td>\n",
       "      <td>-0.005988</td>\n",
       "      <td>-0.004431</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.079747</td>\n",
       "      <td>0.079883</td>\n",
       "      <td>0.080470</td>\n",
       "      <td>0.081300</td>\n",
       "      <td>0.082233</td>\n",
       "      <td>0.083267</td>\n",
       "      <td>0.030998</td>\n",
       "      <td>0.039292</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>1.326847</td>\n",
       "      <td>1.267583</td>\n",
       "      <td>1.031967</td>\n",
       "      <td>0.741359</td>\n",
       "      <td>0.456046</td>\n",
       "      <td>0.176925</td>\n",
       "      <td>-3.690382</td>\n",
       "      <td>-2.154703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.811901</td>\n",
       "      <td>0.818574</td>\n",
       "      <td>0.844467</td>\n",
       "      <td>0.875072</td>\n",
       "      <td>0.903789</td>\n",
       "      <td>0.930690</td>\n",
       "      <td>0.379120</td>\n",
       "      <td>0.348957</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>2.013923</td>\n",
       "      <td>2.003226</td>\n",
       "      <td>1.955942</td>\n",
       "      <td>1.887194</td>\n",
       "      <td>1.808605</td>\n",
       "      <td>1.721247</td>\n",
       "      <td>-0.635018</td>\n",
       "      <td>-0.392601</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>9.034402</td>\n",
       "      <td>8.991606</td>\n",
       "      <td>8.803975</td>\n",
       "      <td>8.537004</td>\n",
       "      <td>8.241246</td>\n",
       "      <td>7.924410</td>\n",
       "      <td>0.214840</td>\n",
       "      <td>-0.215196</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.419457</td>\n",
       "      <td>1.413071</td>\n",
       "      <td>1.309471</td>\n",
       "      <td>1.219187</td>\n",
       "      <td>1.148861</td>\n",
       "      <td>1.056316</td>\n",
       "      <td>0.662943</td>\n",
       "      <td>0.690003</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.088512</td>\n",
       "      <td>-0.088912</td>\n",
       "      <td>-0.095947</td>\n",
       "      <td>-0.103052</td>\n",
       "      <td>-0.109360</td>\n",
       "      <td>-0.118941</td>\n",
       "      <td>-0.061417</td>\n",
       "      <td>-0.073299</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.115057</td>\n",
       "      <td>-0.115478</td>\n",
       "      <td>-0.119115</td>\n",
       "      <td>-0.123719</td>\n",
       "      <td>-0.129800</td>\n",
       "      <td>-0.136903</td>\n",
       "      <td>-0.075249</td>\n",
       "      <td>-0.085850</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.446154</td>\n",
       "      <td>0.446154</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.083766</td>\n",
       "      <td>1.073730</td>\n",
       "      <td>1.034973</td>\n",
       "      <td>0.989433</td>\n",
       "      <td>0.946830</td>\n",
       "      <td>0.906890</td>\n",
       "      <td>0.713889</td>\n",
       "      <td>0.909069</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.054065</td>\n",
       "      <td>0.054173</td>\n",
       "      <td>0.054606</td>\n",
       "      <td>0.055147</td>\n",
       "      <td>0.055688</td>\n",
       "      <td>0.056229</td>\n",
       "      <td>0.023328</td>\n",
       "      <td>0.031484</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>1.188875</td>\n",
       "      <td>1.169763</td>\n",
       "      <td>1.096003</td>\n",
       "      <td>1.009606</td>\n",
       "      <td>0.929288</td>\n",
       "      <td>0.854673</td>\n",
       "      <td>0.655776</td>\n",
       "      <td>0.712389</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                   No Fee  Fee 0.1%  Fee 0.5%    Fee 1%  \\\n",
       "Mean Return                      0.005538  0.005300  0.004347  0.003155   \n",
       "Volatility                       0.079747  0.079883  0.080470  0.081300   \n",
       "Sharpe Ratio                     1.326847  1.267583  1.031967  0.741359   \n",
       "Max Drawdown                     0.811901  0.818574  0.844467  0.875072   \n",
       "Average Drawdown Time            1.000000  1.000000  1.000000  1.000000   \n",
       "Skewness                         2.013923  2.003226  1.955942  1.887194   \n",
       "Kurtosis                         9.034402  8.991606  8.803975  8.537004   \n",
       "Tail Ratio                       1.419457  1.413071  1.309471  1.219187   \n",
       "VaR                             -0.088512 -0.088912 -0.095947 -0.103052   \n",
       "CVaR                            -0.115057 -0.115478 -0.119115 -0.123719   \n",
       "Hit Ratio                        0.523077  0.523077  0.523077  0.523077   \n",
       "Average Win to Average Loss      1.083766  1.073730  1.034973  0.989433   \n",
       "Average Profitability per Trade  0.054065  0.054173  0.054606  0.055147   \n",
       "PnL                              1.188875  1.169763  1.096003  1.009606   \n",
       "\n",
       "                                 Fee 1.5%    Fee 2%   BTCUSDT   ETHUSDT  \n",
       "Mean Return                      0.001963  0.000771 -0.005988 -0.004431  \n",
       "Volatility                       0.082233  0.083267  0.030998  0.039292  \n",
       "Sharpe Ratio                     0.456046  0.176925 -3.690382 -2.154703  \n",
       "Max Drawdown                     0.903789  0.930690  0.379120  0.348957  \n",
       "Average Drawdown Time            1.000000  1.000000       NaN       NaN  \n",
       "Skewness                         1.808605  1.721247 -0.635018 -0.392601  \n",
       "Kurtosis                         8.241246  7.924410  0.214840 -0.215196  \n",
       "Tail Ratio                       1.148861  1.056316  0.662943  0.690003  \n",
       "VaR                             -0.109360 -0.118941 -0.061417 -0.073299  \n",
       "CVaR                            -0.129800 -0.136903 -0.075249 -0.085850  \n",
       "Hit Ratio                        0.523077  0.523077  0.446154  0.446154  \n",
       "Average Win to Average Loss      0.946830  0.906890  0.713889  0.909069  \n",
       "Average Profitability per Trade  0.055688  0.056229  0.023328  0.031484  \n",
       "PnL                              0.929288  0.854673  0.655776  0.712389  "
      ]
     },
     "execution_count": 35,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 36,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,1), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 37,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>No Fee</th>\n",
       "      <th>Fee 0.1%</th>\n",
       "      <th>Fee 0.5%</th>\n",
       "      <th>Fee 1%</th>\n",
       "      <th>Fee 1.5%</th>\n",
       "      <th>Fee 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>-0.016356</td>\n",
       "      <td>-0.016523</td>\n",
       "      <td>-0.017189</td>\n",
       "      <td>-0.018023</td>\n",
       "      <td>-0.018856</td>\n",
       "      <td>-0.019689</td>\n",
       "      <td>-0.006705</td>\n",
       "      <td>-0.008517</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.036330</td>\n",
       "      <td>0.036307</td>\n",
       "      <td>0.036303</td>\n",
       "      <td>0.036505</td>\n",
       "      <td>0.036932</td>\n",
       "      <td>0.037577</td>\n",
       "      <td>0.021941</td>\n",
       "      <td>0.037703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>-8.601145</td>\n",
       "      <td>-8.694477</td>\n",
       "      <td>-9.046101</td>\n",
       "      <td>-9.432185</td>\n",
       "      <td>-9.754173</td>\n",
       "      <td>-10.010508</td>\n",
       "      <td>-5.838098</td>\n",
       "      <td>-4.315879</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.196230</td>\n",
       "      <td>0.197855</td>\n",
       "      <td>0.204355</td>\n",
       "      <td>0.212479</td>\n",
       "      <td>0.220604</td>\n",
       "      <td>0.228728</td>\n",
       "      <td>0.128999</td>\n",
       "      <td>0.198463</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>-0.456775</td>\n",
       "      <td>-0.441449</td>\n",
       "      <td>-0.375744</td>\n",
       "      <td>-0.292772</td>\n",
       "      <td>-0.222311</td>\n",
       "      <td>-0.176149</td>\n",
       "      <td>-0.536001</td>\n",
       "      <td>0.016225</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>-0.046968</td>\n",
       "      <td>-0.048525</td>\n",
       "      <td>-0.090453</td>\n",
       "      <td>-0.218073</td>\n",
       "      <td>-0.405633</td>\n",
       "      <td>-0.612721</td>\n",
       "      <td>0.660073</td>\n",
       "      <td>-1.022181</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>0.455777</td>\n",
       "      <td>0.455777</td>\n",
       "      <td>0.455777</td>\n",
       "      <td>0.455777</td>\n",
       "      <td>0.455777</td>\n",
       "      <td>0.455777</td>\n",
       "      <td>0.568301</td>\n",
       "      <td>0.723210</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.068650</td>\n",
       "      <td>-0.068650</td>\n",
       "      <td>-0.068650</td>\n",
       "      <td>-0.068650</td>\n",
       "      <td>-0.068650</td>\n",
       "      <td>-0.068650</td>\n",
       "      <td>-0.042728</td>\n",
       "      <td>-0.062576</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.088949</td>\n",
       "      <td>-0.088949</td>\n",
       "      <td>-0.088949</td>\n",
       "      <td>-0.088949</td>\n",
       "      <td>-0.088949</td>\n",
       "      <td>-0.088949</td>\n",
       "      <td>-0.051948</td>\n",
       "      <td>-0.064590</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.416667</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>0.513245</td>\n",
       "      <td>0.509575</td>\n",
       "      <td>0.495407</td>\n",
       "      <td>0.478767</td>\n",
       "      <td>0.463209</td>\n",
       "      <td>0.448630</td>\n",
       "      <td>0.720461</td>\n",
       "      <td>0.685895</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.029931</td>\n",
       "      <td>0.030098</td>\n",
       "      <td>0.030765</td>\n",
       "      <td>0.031598</td>\n",
       "      <td>0.032431</td>\n",
       "      <td>0.033265</td>\n",
       "      <td>0.016089</td>\n",
       "      <td>0.031244</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>0.814255</td>\n",
       "      <td>0.812609</td>\n",
       "      <td>0.806025</td>\n",
       "      <td>0.797794</td>\n",
       "      <td>0.789564</td>\n",
       "      <td>0.781333</td>\n",
       "      <td>0.919954</td>\n",
       "      <td>0.895293</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                   No Fee  Fee 0.1%  Fee 0.5%    Fee 1%  \\\n",
       "Mean Return                     -0.016356 -0.016523 -0.017189 -0.018023   \n",
       "Volatility                       0.036330  0.036307  0.036303  0.036505   \n",
       "Sharpe Ratio                    -8.601145 -8.694477 -9.046101 -9.432185   \n",
       "Max Drawdown                     0.196230  0.197855  0.204355  0.212479   \n",
       "Average Drawdown Time                 NaN       NaN       NaN       NaN   \n",
       "Skewness                        -0.456775 -0.441449 -0.375744 -0.292772   \n",
       "Kurtosis                        -0.046968 -0.048525 -0.090453 -0.218073   \n",
       "Tail Ratio                       0.455777  0.455777  0.455777  0.455777   \n",
       "VaR                             -0.068650 -0.068650 -0.068650 -0.068650   \n",
       "CVaR                            -0.088949 -0.088949 -0.088949 -0.088949   \n",
       "Hit Ratio                        0.333333  0.333333  0.333333  0.333333   \n",
       "Average Win to Average Loss      0.513245  0.509575  0.495407  0.478767   \n",
       "Average Profitability per Trade  0.029931  0.030098  0.030765  0.031598   \n",
       "PnL                              0.814255  0.812609  0.806025  0.797794   \n",
       "\n",
       "                                 Fee 1.5%     Fee 2%   BTCUSDT   ETHUSDT  \n",
       "Mean Return                     -0.018856  -0.019689 -0.006705 -0.008517  \n",
       "Volatility                       0.036932   0.037577  0.021941  0.037703  \n",
       "Sharpe Ratio                    -9.754173 -10.010508 -5.838098 -4.315879  \n",
       "Max Drawdown                     0.220604   0.228728  0.128999  0.198463  \n",
       "Average Drawdown Time                 NaN        NaN       NaN  1.000000  \n",
       "Skewness                        -0.222311  -0.176149 -0.536001  0.016225  \n",
       "Kurtosis                        -0.405633  -0.612721  0.660073 -1.022181  \n",
       "Tail Ratio                       0.455777   0.455777  0.568301  0.723210  \n",
       "VaR                             -0.068650  -0.068650 -0.042728 -0.062576  \n",
       "CVaR                            -0.088949  -0.088949 -0.051948 -0.064590  \n",
       "Hit Ratio                        0.333333   0.333333  0.333333  0.416667  \n",
       "Average Win to Average Loss      0.463209   0.448630  0.720461  0.685895  \n",
       "Average Profitability per Trade  0.032431   0.033265  0.016089  0.031244  \n",
       "PnL                              0.789564   0.781333  0.919954  0.895293  "
      ]
     },
     "execution_count": 37,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 38,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 39,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>No Fee</th>\n",
       "      <th>Fee 0.1%</th>\n",
       "      <th>Fee 0.5%</th>\n",
       "      <th>Fee 1%</th>\n",
       "      <th>Fee 1.5%</th>\n",
       "      <th>Fee 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>-0.006337</td>\n",
       "      <td>-0.006337</td>\n",
       "      <td>-0.006337</td>\n",
       "      <td>-0.006337</td>\n",
       "      <td>-0.006337</td>\n",
       "      <td>-0.006337</td>\n",
       "      <td>0.012034</td>\n",
       "      <td>0.017390</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.015792</td>\n",
       "      <td>0.015792</td>\n",
       "      <td>0.015792</td>\n",
       "      <td>0.015792</td>\n",
       "      <td>0.015792</td>\n",
       "      <td>0.015792</td>\n",
       "      <td>0.014673</td>\n",
       "      <td>0.034241</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>-7.666896</td>\n",
       "      <td>-7.666896</td>\n",
       "      <td>-7.666896</td>\n",
       "      <td>-7.666896</td>\n",
       "      <td>-7.666896</td>\n",
       "      <td>-7.666896</td>\n",
       "      <td>15.668468</td>\n",
       "      <td>9.703249</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.038027</td>\n",
       "      <td>0.038027</td>\n",
       "      <td>0.038027</td>\n",
       "      <td>0.038027</td>\n",
       "      <td>0.038027</td>\n",
       "      <td>0.038027</td>\n",
       "      <td>0.001006</td>\n",
       "      <td>0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.545699</td>\n",
       "      <td>0.545699</td>\n",
       "      <td>0.545699</td>\n",
       "      <td>0.545699</td>\n",
       "      <td>0.545699</td>\n",
       "      <td>0.545699</td>\n",
       "      <td>0.128484</td>\n",
       "      <td>-0.266068</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>-2.835029</td>\n",
       "      <td>-2.835029</td>\n",
       "      <td>-2.835029</td>\n",
       "      <td>-2.835029</td>\n",
       "      <td>-2.835029</td>\n",
       "      <td>-2.835029</td>\n",
       "      <td>-5.217647</td>\n",
       "      <td>-3.672760</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>0.559731</td>\n",
       "      <td>0.559731</td>\n",
       "      <td>0.559731</td>\n",
       "      <td>0.559731</td>\n",
       "      <td>0.559731</td>\n",
       "      <td>0.559731</td>\n",
       "      <td>31.089732</td>\n",
       "      <td>2.643297</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.019810</td>\n",
       "      <td>-0.019810</td>\n",
       "      <td>-0.019810</td>\n",
       "      <td>-0.019810</td>\n",
       "      <td>-0.019810</td>\n",
       "      <td>-0.019810</td>\n",
       "      <td>-0.000855</td>\n",
       "      <td>-0.018686</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.020073</td>\n",
       "      <td>-0.020073</td>\n",
       "      <td>-0.020073</td>\n",
       "      <td>-0.020073</td>\n",
       "      <td>-0.020073</td>\n",
       "      <td>-0.020073</td>\n",
       "      <td>-0.001006</td>\n",
       "      <td>-0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.250000</td>\n",
       "      <td>0.250000</td>\n",
       "      <td>0.250000</td>\n",
       "      <td>0.250000</td>\n",
       "      <td>0.250000</td>\n",
       "      <td>0.250000</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>0.500000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>0.679542</td>\n",
       "      <td>0.679542</td>\n",
       "      <td>0.679542</td>\n",
       "      <td>0.679542</td>\n",
       "      <td>0.679542</td>\n",
       "      <td>0.679542</td>\n",
       "      <td>24.416558</td>\n",
       "      <td>2.082169</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.012860</td>\n",
       "      <td>0.012860</td>\n",
       "      <td>0.012860</td>\n",
       "      <td>0.012860</td>\n",
       "      <td>0.012860</td>\n",
       "      <td>0.012860</td>\n",
       "      <td>0.012537</td>\n",
       "      <td>0.028382</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>0.974523</td>\n",
       "      <td>0.974523</td>\n",
       "      <td>0.974523</td>\n",
       "      <td>0.974523</td>\n",
       "      <td>0.974523</td>\n",
       "      <td>0.974523</td>\n",
       "      <td>1.048682</td>\n",
       "      <td>1.069572</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                   No Fee  Fee 0.1%  Fee 0.5%    Fee 1%  \\\n",
       "Mean Return                     -0.006337 -0.006337 -0.006337 -0.006337   \n",
       "Volatility                       0.015792  0.015792  0.015792  0.015792   \n",
       "Sharpe Ratio                    -7.666896 -7.666896 -7.666896 -7.666896   \n",
       "Max Drawdown                     0.038027  0.038027  0.038027  0.038027   \n",
       "Average Drawdown Time                 NaN       NaN       NaN       NaN   \n",
       "Skewness                         0.545699  0.545699  0.545699  0.545699   \n",
       "Kurtosis                        -2.835029 -2.835029 -2.835029 -2.835029   \n",
       "Tail Ratio                       0.559731  0.559731  0.559731  0.559731   \n",
       "VaR                             -0.019810 -0.019810 -0.019810 -0.019810   \n",
       "CVaR                            -0.020073 -0.020073 -0.020073 -0.020073   \n",
       "Hit Ratio                        0.250000  0.250000  0.250000  0.250000   \n",
       "Average Win to Average Loss      0.679542  0.679542  0.679542  0.679542   \n",
       "Average Profitability per Trade  0.012860  0.012860  0.012860  0.012860   \n",
       "PnL                              0.974523  0.974523  0.974523  0.974523   \n",
       "\n",
       "                                 Fee 1.5%    Fee 2%    BTCUSDT   ETHUSDT  \n",
       "Mean Return                     -0.006337 -0.006337   0.012034  0.017390  \n",
       "Volatility                       0.015792  0.015792   0.014673  0.034241  \n",
       "Sharpe Ratio                    -7.666896 -7.666896  15.668468  9.703249  \n",
       "Max Drawdown                     0.038027  0.038027   0.001006  0.021983  \n",
       "Average Drawdown Time                 NaN       NaN   1.000000  1.000000  \n",
       "Skewness                         0.545699  0.545699   0.128484 -0.266068  \n",
       "Kurtosis                        -2.835029 -2.835029  -5.217647 -3.672760  \n",
       "Tail Ratio                       0.559731  0.559731  31.089732  2.643297  \n",
       "VaR                             -0.019810 -0.019810  -0.000855 -0.018686  \n",
       "CVaR                            -0.020073 -0.020073  -0.001006 -0.021983  \n",
       "Hit Ratio                        0.250000  0.250000   0.500000  0.500000  \n",
       "Average Win to Average Loss      0.679542  0.679542  24.416558  2.082169  \n",
       "Average Profitability per Trade  0.012860  0.012860   0.012537  0.028382  \n",
       "PnL                              0.974523  0.974523   1.048682  1.069572  "
      ]
     },
     "execution_count": 39,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 43,
   "metadata": {},
   "outputs": [],
   "source": [
    "hrp_agent = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_0_v2.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "hrp_agent_0001 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_0_v2_0001.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_0005 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_0_v2_0005.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_001 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_0_v2_001.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_0015 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_0_v2_0015.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_002 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_0_v2_002.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "assets_data = pickle.load(open(f\"./assets_data_testing.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 46,
   "metadata": {},
   "outputs": [],
   "source": [
    "agents = [hrp_agent,\n",
    "hrp_agent_0001,\n",
    "hrp_agent_0005,\n",
    "hrp_agent_001,\n",
    "hrp_agent_0015,\n",
    "hrp_agent_002]\n",
    "\n",
    "agents_names = [\"No Fee\", \"Fee 0.1%\", \"Fee 0.5%\", \"Fee 1%\", \"Fee 1.5%\", \"Fee 2%\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 47,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,1,1), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 48,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "<style scoped>\n",
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       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>No Fee</th>\n",
       "      <th>Fee 0.1%</th>\n",
       "      <th>Fee 0.5%</th>\n",
       "      <th>Fee 1%</th>\n",
       "      <th>Fee 1.5%</th>\n",
       "      <th>Fee 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.008943</td>\n",
       "      <td>0.008752</td>\n",
       "      <td>0.007986</td>\n",
       "      <td>0.007028</td>\n",
       "      <td>0.006070</td>\n",
       "      <td>0.005113</td>\n",
       "      <td>0.001947</td>\n",
       "      <td>0.005650</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.074463</td>\n",
       "      <td>0.074460</td>\n",
       "      <td>0.074476</td>\n",
       "      <td>0.074569</td>\n",
       "      <td>0.074740</td>\n",
       "      <td>0.074989</td>\n",
       "      <td>0.041987</td>\n",
       "      <td>0.056202</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>2.294563</td>\n",
       "      <td>2.245534</td>\n",
       "      <td>2.048500</td>\n",
       "      <td>1.800617</td>\n",
       "      <td>1.551710</td>\n",
       "      <td>1.302580</td>\n",
       "      <td>0.885794</td>\n",
       "      <td>1.920805</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>10.343709</td>\n",
       "      <td>10.158050</td>\n",
       "      <td>9.554790</td>\n",
       "      <td>9.356889</td>\n",
       "      <td>9.336122</td>\n",
       "      <td>9.141498</td>\n",
       "      <td>1.151814</td>\n",
       "      <td>3.275329</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>15.000000</td>\n",
       "      <td>6.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.623850</td>\n",
       "      <td>0.622724</td>\n",
       "      <td>0.617244</td>\n",
       "      <td>0.607958</td>\n",
       "      <td>0.595639</td>\n",
       "      <td>0.579993</td>\n",
       "      <td>0.172095</td>\n",
       "      <td>0.029035</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>7.265997</td>\n",
       "      <td>7.256148</td>\n",
       "      <td>7.204770</td>\n",
       "      <td>7.114356</td>\n",
       "      <td>6.996463</td>\n",
       "      <td>6.853365</td>\n",
       "      <td>1.710761</td>\n",
       "      <td>3.634270</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.267401</td>\n",
       "      <td>1.260738</td>\n",
       "      <td>1.223126</td>\n",
       "      <td>1.206956</td>\n",
       "      <td>1.177448</td>\n",
       "      <td>1.138737</td>\n",
       "      <td>1.197361</td>\n",
       "      <td>1.128458</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.098121</td>\n",
       "      <td>-0.098121</td>\n",
       "      <td>-0.098121</td>\n",
       "      <td>-0.099323</td>\n",
       "      <td>-0.101812</td>\n",
       "      <td>-0.104431</td>\n",
       "      <td>-0.062388</td>\n",
       "      <td>-0.081252</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.147061</td>\n",
       "      <td>-0.147215</td>\n",
       "      <td>-0.147829</td>\n",
       "      <td>-0.148597</td>\n",
       "      <td>-0.149654</td>\n",
       "      <td>-0.151116</td>\n",
       "      <td>-0.089282</td>\n",
       "      <td>-0.118780</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.549072</td>\n",
       "      <td>0.543767</td>\n",
       "      <td>0.538462</td>\n",
       "      <td>0.527851</td>\n",
       "      <td>0.527851</td>\n",
       "      <td>0.525199</td>\n",
       "      <td>0.498674</td>\n",
       "      <td>0.554377</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.161872</td>\n",
       "      <td>1.177891</td>\n",
       "      <td>1.166314</td>\n",
       "      <td>1.170056</td>\n",
       "      <td>1.124959</td>\n",
       "      <td>1.093817</td>\n",
       "      <td>1.133861</td>\n",
       "      <td>1.050714</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.051216</td>\n",
       "      <td>0.051226</td>\n",
       "      <td>0.051319</td>\n",
       "      <td>0.051581</td>\n",
       "      <td>0.051922</td>\n",
       "      <td>0.052296</td>\n",
       "      <td>0.031033</td>\n",
       "      <td>0.041531</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>10.339662</td>\n",
       "      <td>9.622473</td>\n",
       "      <td>7.210406</td>\n",
       "      <td>5.015127</td>\n",
       "      <td>3.479011</td>\n",
       "      <td>2.406930</td>\n",
       "      <td>1.496765</td>\n",
       "      <td>4.625070</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                    No Fee   Fee 0.1%  Fee 0.5%    Fee 1%  \\\n",
       "Mean Return                       0.008943   0.008752  0.007986  0.007028   \n",
       "Volatility                        0.074463   0.074460  0.074476  0.074569   \n",
       "Sharpe Ratio                      2.294563   2.245534  2.048500  1.800617   \n",
       "Max Drawdown                     10.343709  10.158050  9.554790  9.356889   \n",
       "Average Drawdown Time             3.000000   3.000000  3.000000  2.000000   \n",
       "Skewness                          0.623850   0.622724  0.617244  0.607958   \n",
       "Kurtosis                          7.265997   7.256148  7.204770  7.114356   \n",
       "Tail Ratio                        1.267401   1.260738  1.223126  1.206956   \n",
       "VaR                              -0.098121  -0.098121 -0.098121 -0.099323   \n",
       "CVaR                             -0.147061  -0.147215 -0.147829 -0.148597   \n",
       "Hit Ratio                         0.549072   0.543767  0.538462  0.527851   \n",
       "Average Win to Average Loss       1.161872   1.177891  1.166314  1.170056   \n",
       "Average Profitability per Trade   0.051216   0.051226  0.051319  0.051581   \n",
       "PnL                              10.339662   9.622473  7.210406  5.015127   \n",
       "\n",
       "                                 Fee 1.5%    Fee 2%    BTCUSDT   ETHUSDT  \n",
       "Mean Return                      0.006070  0.005113   0.001947  0.005650  \n",
       "Volatility                       0.074740  0.074989   0.041987  0.056202  \n",
       "Sharpe Ratio                     1.551710  1.302580   0.885794  1.920805  \n",
       "Max Drawdown                     9.336122  9.141498   1.151814  3.275329  \n",
       "Average Drawdown Time            2.000000  3.000000  15.000000  6.000000  \n",
       "Skewness                         0.595639  0.579993   0.172095  0.029035  \n",
       "Kurtosis                         6.996463  6.853365   1.710761  3.634270  \n",
       "Tail Ratio                       1.177448  1.138737   1.197361  1.128458  \n",
       "VaR                             -0.101812 -0.104431  -0.062388 -0.081252  \n",
       "CVaR                            -0.149654 -0.151116  -0.089282 -0.118780  \n",
       "Hit Ratio                        0.527851  0.525199   0.498674  0.554377  \n",
       "Average Win to Average Loss      1.124959  1.093817   1.133861  1.050714  \n",
       "Average Profitability per Trade  0.051922  0.052296   0.031033  0.041531  \n",
       "PnL                              3.479011  2.406930   1.496765  4.625070  "
      ]
     },
     "execution_count": 48,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 49,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,11,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 50,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>No Fee</th>\n",
       "      <th>Fee 0.1%</th>\n",
       "      <th>Fee 0.5%</th>\n",
       "      <th>Fee 1%</th>\n",
       "      <th>Fee 1.5%</th>\n",
       "      <th>Fee 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.003897</td>\n",
       "      <td>0.003720</td>\n",
       "      <td>0.003012</td>\n",
       "      <td>0.002126</td>\n",
       "      <td>0.001241</td>\n",
       "      <td>0.000356</td>\n",
       "      <td>-0.005988</td>\n",
       "      <td>-0.004431</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.053683</td>\n",
       "      <td>0.053731</td>\n",
       "      <td>0.053961</td>\n",
       "      <td>0.054331</td>\n",
       "      <td>0.054793</td>\n",
       "      <td>0.055343</td>\n",
       "      <td>0.030998</td>\n",
       "      <td>0.039292</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>1.386795</td>\n",
       "      <td>1.322608</td>\n",
       "      <td>1.066256</td>\n",
       "      <td>0.747717</td>\n",
       "      <td>0.432774</td>\n",
       "      <td>0.122895</td>\n",
       "      <td>-3.690382</td>\n",
       "      <td>-2.154703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.553369</td>\n",
       "      <td>0.556242</td>\n",
       "      <td>0.567469</td>\n",
       "      <td>0.580911</td>\n",
       "      <td>0.593707</td>\n",
       "      <td>0.623135</td>\n",
       "      <td>0.379120</td>\n",
       "      <td>0.348957</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.157864</td>\n",
       "      <td>0.150485</td>\n",
       "      <td>0.119602</td>\n",
       "      <td>0.077795</td>\n",
       "      <td>0.032328</td>\n",
       "      <td>-0.016776</td>\n",
       "      <td>-0.635018</td>\n",
       "      <td>-0.392601</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>1.254263</td>\n",
       "      <td>1.275599</td>\n",
       "      <td>1.360651</td>\n",
       "      <td>1.465660</td>\n",
       "      <td>1.568374</td>\n",
       "      <td>1.668097</td>\n",
       "      <td>0.214840</td>\n",
       "      <td>-0.215196</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.151240</td>\n",
       "      <td>1.151240</td>\n",
       "      <td>1.151240</td>\n",
       "      <td>1.151240</td>\n",
       "      <td>1.132121</td>\n",
       "      <td>1.110998</td>\n",
       "      <td>0.662943</td>\n",
       "      <td>0.690003</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.079853</td>\n",
       "      <td>-0.079853</td>\n",
       "      <td>-0.079853</td>\n",
       "      <td>-0.079853</td>\n",
       "      <td>-0.081202</td>\n",
       "      <td>-0.082745</td>\n",
       "      <td>-0.061417</td>\n",
       "      <td>-0.073299</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.105466</td>\n",
       "      <td>-0.105812</td>\n",
       "      <td>-0.107194</td>\n",
       "      <td>-0.108921</td>\n",
       "      <td>-0.110649</td>\n",
       "      <td>-0.112376</td>\n",
       "      <td>-0.075249</td>\n",
       "      <td>-0.085850</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.538462</td>\n",
       "      <td>0.538462</td>\n",
       "      <td>0.538462</td>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.523077</td>\n",
       "      <td>0.507692</td>\n",
       "      <td>0.446154</td>\n",
       "      <td>0.446154</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.006946</td>\n",
       "      <td>0.998079</td>\n",
       "      <td>0.963394</td>\n",
       "      <td>0.981224</td>\n",
       "      <td>0.938502</td>\n",
       "      <td>0.956006</td>\n",
       "      <td>0.713889</td>\n",
       "      <td>0.909069</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.040099</td>\n",
       "      <td>0.040084</td>\n",
       "      <td>0.040028</td>\n",
       "      <td>0.040079</td>\n",
       "      <td>0.040251</td>\n",
       "      <td>0.040620</td>\n",
       "      <td>0.023328</td>\n",
       "      <td>0.031484</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>1.175006</td>\n",
       "      <td>1.161354</td>\n",
       "      <td>1.108136</td>\n",
       "      <td>1.044653</td>\n",
       "      <td>0.984406</td>\n",
       "      <td>0.927251</td>\n",
       "      <td>0.655776</td>\n",
       "      <td>0.712389</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                   No Fee  Fee 0.1%  Fee 0.5%    Fee 1%  \\\n",
       "Mean Return                      0.003897  0.003720  0.003012  0.002126   \n",
       "Volatility                       0.053683  0.053731  0.053961  0.054331   \n",
       "Sharpe Ratio                     1.386795  1.322608  1.066256  0.747717   \n",
       "Max Drawdown                     0.553369  0.556242  0.567469  0.580911   \n",
       "Average Drawdown Time            2.000000  2.000000  2.000000  2.000000   \n",
       "Skewness                         0.157864  0.150485  0.119602  0.077795   \n",
       "Kurtosis                         1.254263  1.275599  1.360651  1.465660   \n",
       "Tail Ratio                       1.151240  1.151240  1.151240  1.151240   \n",
       "VaR                             -0.079853 -0.079853 -0.079853 -0.079853   \n",
       "CVaR                            -0.105466 -0.105812 -0.107194 -0.108921   \n",
       "Hit Ratio                        0.538462  0.538462  0.538462  0.523077   \n",
       "Average Win to Average Loss      1.006946  0.998079  0.963394  0.981224   \n",
       "Average Profitability per Trade  0.040099  0.040084  0.040028  0.040079   \n",
       "PnL                              1.175006  1.161354  1.108136  1.044653   \n",
       "\n",
       "                                 Fee 1.5%    Fee 2%   BTCUSDT   ETHUSDT  \n",
       "Mean Return                      0.001241  0.000356 -0.005988 -0.004431  \n",
       "Volatility                       0.054793  0.055343  0.030998  0.039292  \n",
       "Sharpe Ratio                     0.432774  0.122895 -3.690382 -2.154703  \n",
       "Max Drawdown                     0.593707  0.623135  0.379120  0.348957  \n",
       "Average Drawdown Time            2.000000  2.000000       NaN       NaN  \n",
       "Skewness                         0.032328 -0.016776 -0.635018 -0.392601  \n",
       "Kurtosis                         1.568374  1.668097  0.214840 -0.215196  \n",
       "Tail Ratio                       1.132121  1.110998  0.662943  0.690003  \n",
       "VaR                             -0.081202 -0.082745 -0.061417 -0.073299  \n",
       "CVaR                            -0.110649 -0.112376 -0.075249 -0.085850  \n",
       "Hit Ratio                        0.523077  0.507692  0.446154  0.446154  \n",
       "Average Win to Average Loss      0.938502  0.956006  0.713889  0.909069  \n",
       "Average Profitability per Trade  0.040251  0.040620  0.023328  0.031484  \n",
       "PnL                              0.984406  0.927251  0.655776  0.712389  "
      ]
     },
     "execution_count": 50,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 51,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,1), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 52,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "\n",
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       "        text-align: right;\n",
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>No Fee</th>\n",
       "      <th>Fee 0.1%</th>\n",
       "      <th>Fee 0.5%</th>\n",
       "      <th>Fee 1%</th>\n",
       "      <th>Fee 1.5%</th>\n",
       "      <th>Fee 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>-0.003065</td>\n",
       "      <td>-0.003194</td>\n",
       "      <td>-0.003709</td>\n",
       "      <td>-0.004352</td>\n",
       "      <td>-0.004995</td>\n",
       "      <td>-0.005638</td>\n",
       "      <td>-0.006705</td>\n",
       "      <td>-0.008517</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.052774</td>\n",
       "      <td>0.052903</td>\n",
       "      <td>0.053453</td>\n",
       "      <td>0.054214</td>\n",
       "      <td>0.055056</td>\n",
       "      <td>0.055973</td>\n",
       "      <td>0.021941</td>\n",
       "      <td>0.037703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>-1.109695</td>\n",
       "      <td>-1.153453</td>\n",
       "      <td>-1.325529</td>\n",
       "      <td>-1.533596</td>\n",
       "      <td>-1.733383</td>\n",
       "      <td>-1.924536</td>\n",
       "      <td>-5.838098</td>\n",
       "      <td>-4.315879</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.201948</td>\n",
       "      <td>0.203247</td>\n",
       "      <td>0.208439</td>\n",
       "      <td>0.214930</td>\n",
       "      <td>0.221421</td>\n",
       "      <td>0.227911</td>\n",
       "      <td>0.128999</td>\n",
       "      <td>0.198463</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.430628</td>\n",
       "      <td>0.428185</td>\n",
       "      <td>0.413506</td>\n",
       "      <td>0.384232</td>\n",
       "      <td>0.343272</td>\n",
       "      <td>0.291399</td>\n",
       "      <td>-0.536001</td>\n",
       "      <td>0.016225</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>-0.057951</td>\n",
       "      <td>-0.076342</td>\n",
       "      <td>-0.146039</td>\n",
       "      <td>-0.220344</td>\n",
       "      <td>-0.274807</td>\n",
       "      <td>-0.304664</td>\n",
       "      <td>0.660073</td>\n",
       "      <td>-1.022181</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.139708</td>\n",
       "      <td>1.139708</td>\n",
       "      <td>1.139708</td>\n",
       "      <td>1.139708</td>\n",
       "      <td>1.082142</td>\n",
       "      <td>1.026500</td>\n",
       "      <td>0.568301</td>\n",
       "      <td>0.723210</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.074370</td>\n",
       "      <td>-0.074370</td>\n",
       "      <td>-0.074370</td>\n",
       "      <td>-0.074370</td>\n",
       "      <td>-0.078326</td>\n",
       "      <td>-0.082571</td>\n",
       "      <td>-0.042728</td>\n",
       "      <td>-0.062576</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.083564</td>\n",
       "      <td>-0.083564</td>\n",
       "      <td>-0.083564</td>\n",
       "      <td>-0.083564</td>\n",
       "      <td>-0.083564</td>\n",
       "      <td>-0.083564</td>\n",
       "      <td>-0.051948</td>\n",
       "      <td>-0.064590</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.416667</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.023448</td>\n",
       "      <td>1.017167</td>\n",
       "      <td>0.992795</td>\n",
       "      <td>0.963924</td>\n",
       "      <td>0.936686</td>\n",
       "      <td>0.910944</td>\n",
       "      <td>0.720461</td>\n",
       "      <td>0.685895</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.038604</td>\n",
       "      <td>0.038733</td>\n",
       "      <td>0.039247</td>\n",
       "      <td>0.039890</td>\n",
       "      <td>0.040534</td>\n",
       "      <td>0.041177</td>\n",
       "      <td>0.016089</td>\n",
       "      <td>0.031244</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>0.949228</td>\n",
       "      <td>0.947684</td>\n",
       "      <td>0.941508</td>\n",
       "      <td>0.933788</td>\n",
       "      <td>0.926068</td>\n",
       "      <td>0.918347</td>\n",
       "      <td>0.919954</td>\n",
       "      <td>0.895293</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                   No Fee  Fee 0.1%  Fee 0.5%    Fee 1%  \\\n",
       "Mean Return                     -0.003065 -0.003194 -0.003709 -0.004352   \n",
       "Volatility                       0.052774  0.052903  0.053453  0.054214   \n",
       "Sharpe Ratio                    -1.109695 -1.153453 -1.325529 -1.533596   \n",
       "Max Drawdown                     0.201948  0.203247  0.208439  0.214930   \n",
       "Average Drawdown Time                 NaN       NaN       NaN       NaN   \n",
       "Skewness                         0.430628  0.428185  0.413506  0.384232   \n",
       "Kurtosis                        -0.057951 -0.076342 -0.146039 -0.220344   \n",
       "Tail Ratio                       1.139708  1.139708  1.139708  1.139708   \n",
       "VaR                             -0.074370 -0.074370 -0.074370 -0.074370   \n",
       "CVaR                            -0.083564 -0.083564 -0.083564 -0.083564   \n",
       "Hit Ratio                        0.416667  0.416667  0.416667  0.416667   \n",
       "Average Win to Average Loss      1.023448  1.017167  0.992795  0.963924   \n",
       "Average Profitability per Trade  0.038604  0.038733  0.039247  0.039890   \n",
       "PnL                              0.949228  0.947684  0.941508  0.933788   \n",
       "\n",
       "                                 Fee 1.5%    Fee 2%   BTCUSDT   ETHUSDT  \n",
       "Mean Return                     -0.004995 -0.005638 -0.006705 -0.008517  \n",
       "Volatility                       0.055056  0.055973  0.021941  0.037703  \n",
       "Sharpe Ratio                    -1.733383 -1.924536 -5.838098 -4.315879  \n",
       "Max Drawdown                     0.221421  0.227911  0.128999  0.198463  \n",
       "Average Drawdown Time                 NaN       NaN       NaN  1.000000  \n",
       "Skewness                         0.343272  0.291399 -0.536001  0.016225  \n",
       "Kurtosis                        -0.274807 -0.304664  0.660073 -1.022181  \n",
       "Tail Ratio                       1.082142  1.026500  0.568301  0.723210  \n",
       "VaR                             -0.078326 -0.082571 -0.042728 -0.062576  \n",
       "CVaR                            -0.083564 -0.083564 -0.051948 -0.064590  \n",
       "Hit Ratio                        0.416667  0.416667  0.333333  0.416667  \n",
       "Average Win to Average Loss      0.936686  0.910944  0.720461  0.685895  \n",
       "Average Profitability per Trade  0.040534  0.041177  0.016089  0.031244  \n",
       "PnL                              0.926068  0.918347  0.919954  0.895293  "
      ]
     },
     "execution_count": 52,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 53,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2022,1,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 54,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
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       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>No Fee</th>\n",
       "      <th>Fee 0.1%</th>\n",
       "      <th>Fee 0.5%</th>\n",
       "      <th>Fee 1%</th>\n",
       "      <th>Fee 1.5%</th>\n",
       "      <th>Fee 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.044058</td>\n",
       "      <td>0.044058</td>\n",
       "      <td>0.044058</td>\n",
       "      <td>0.044058</td>\n",
       "      <td>0.044058</td>\n",
       "      <td>0.044058</td>\n",
       "      <td>0.012034</td>\n",
       "      <td>0.017390</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.048489</td>\n",
       "      <td>0.048489</td>\n",
       "      <td>0.048489</td>\n",
       "      <td>0.048489</td>\n",
       "      <td>0.048489</td>\n",
       "      <td>0.048489</td>\n",
       "      <td>0.014673</td>\n",
       "      <td>0.034241</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>17.358906</td>\n",
       "      <td>17.358906</td>\n",
       "      <td>17.358906</td>\n",
       "      <td>17.358906</td>\n",
       "      <td>17.358906</td>\n",
       "      <td>17.358906</td>\n",
       "      <td>15.668468</td>\n",
       "      <td>9.703249</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.001006</td>\n",
       "      <td>0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.092439</td>\n",
       "      <td>0.092439</td>\n",
       "      <td>0.092439</td>\n",
       "      <td>0.092439</td>\n",
       "      <td>0.092439</td>\n",
       "      <td>0.092439</td>\n",
       "      <td>0.128484</td>\n",
       "      <td>-0.266068</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>-5.363927</td>\n",
       "      <td>-5.363927</td>\n",
       "      <td>-5.363927</td>\n",
       "      <td>-5.363927</td>\n",
       "      <td>-5.363927</td>\n",
       "      <td>-5.363927</td>\n",
       "      <td>-5.217647</td>\n",
       "      <td>-3.672760</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>120.932947</td>\n",
       "      <td>120.932947</td>\n",
       "      <td>120.932947</td>\n",
       "      <td>120.932947</td>\n",
       "      <td>120.932947</td>\n",
       "      <td>120.932947</td>\n",
       "      <td>31.089732</td>\n",
       "      <td>2.643297</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>0.000756</td>\n",
       "      <td>0.000756</td>\n",
       "      <td>0.000756</td>\n",
       "      <td>0.000756</td>\n",
       "      <td>0.000756</td>\n",
       "      <td>0.000756</td>\n",
       "      <td>-0.000855</td>\n",
       "      <td>-0.018686</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.001006</td>\n",
       "      <td>-0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.750000</td>\n",
       "      <td>0.750000</td>\n",
       "      <td>0.750000</td>\n",
       "      <td>0.750000</td>\n",
       "      <td>0.750000</td>\n",
       "      <td>0.750000</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>0.500000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>24.416558</td>\n",
       "      <td>2.082169</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.012537</td>\n",
       "      <td>0.028382</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>1.184387</td>\n",
       "      <td>1.184387</td>\n",
       "      <td>1.184387</td>\n",
       "      <td>1.184387</td>\n",
       "      <td>1.184387</td>\n",
       "      <td>1.184387</td>\n",
       "      <td>1.048682</td>\n",
       "      <td>1.069572</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                     No Fee    Fee 0.1%    Fee 0.5%  \\\n",
       "Mean Return                        0.044058    0.044058    0.044058   \n",
       "Volatility                         0.048489    0.048489    0.048489   \n",
       "Sharpe Ratio                      17.358906   17.358906   17.358906   \n",
       "Max Drawdown                       0.000000    0.000000    0.000000   \n",
       "Average Drawdown Time              1.000000    1.000000    1.000000   \n",
       "Skewness                           0.092439    0.092439    0.092439   \n",
       "Kurtosis                          -5.363927   -5.363927   -5.363927   \n",
       "Tail Ratio                       120.932947  120.932947  120.932947   \n",
       "VaR                                0.000756    0.000756    0.000756   \n",
       "CVaR                               0.000000    0.000000    0.000000   \n",
       "Hit Ratio                          0.750000    0.750000    0.750000   \n",
       "Average Win to Average Loss             NaN         NaN         NaN   \n",
       "Average Profitability per Trade         NaN         NaN         NaN   \n",
       "PnL                                1.184387    1.184387    1.184387   \n",
       "\n",
       "                                     Fee 1%    Fee 1.5%      Fee 2%  \\\n",
       "Mean Return                        0.044058    0.044058    0.044058   \n",
       "Volatility                         0.048489    0.048489    0.048489   \n",
       "Sharpe Ratio                      17.358906   17.358906   17.358906   \n",
       "Max Drawdown                       0.000000    0.000000    0.000000   \n",
       "Average Drawdown Time              1.000000    1.000000    1.000000   \n",
       "Skewness                           0.092439    0.092439    0.092439   \n",
       "Kurtosis                          -5.363927   -5.363927   -5.363927   \n",
       "Tail Ratio                       120.932947  120.932947  120.932947   \n",
       "VaR                                0.000756    0.000756    0.000756   \n",
       "CVaR                               0.000000    0.000000    0.000000   \n",
       "Hit Ratio                          0.750000    0.750000    0.750000   \n",
       "Average Win to Average Loss             NaN         NaN         NaN   \n",
       "Average Profitability per Trade         NaN         NaN         NaN   \n",
       "PnL                                1.184387    1.184387    1.184387   \n",
       "\n",
       "                                   BTCUSDT   ETHUSDT  \n",
       "Mean Return                       0.012034  0.017390  \n",
       "Volatility                        0.014673  0.034241  \n",
       "Sharpe Ratio                     15.668468  9.703249  \n",
       "Max Drawdown                      0.001006  0.021983  \n",
       "Average Drawdown Time             1.000000  1.000000  \n",
       "Skewness                          0.128484 -0.266068  \n",
       "Kurtosis                         -5.217647 -3.672760  \n",
       "Tail Ratio                       31.089732  2.643297  \n",
       "VaR                              -0.000855 -0.018686  \n",
       "CVaR                             -0.001006 -0.021983  \n",
       "Hit Ratio                         0.500000  0.500000  \n",
       "Average Win to Average Loss      24.416558  2.082169  \n",
       "Average Profitability per Trade   0.012537  0.028382  \n",
       "PnL                               1.048682  1.069572  "
      ]
     },
     "execution_count": 54,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 152,
   "metadata": {},
   "outputs": [],
   "source": [
    "hrp_agent = pickle.load(open(\n",
    "    f\"{path}/hrp_riskfolio/results_hrp_riskfolio_params_0_testing_oot.pickle\",\n",
    "    \"rb\"\n",
    "))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 155,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    [hrp_agent], [\"HRP\"], datetime(2022,1,1), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 156,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "\n",
       "    .dataframe thead th {\n",
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       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>HRP</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>-0.004612</td>\n",
       "      <td>-0.006705</td>\n",
       "      <td>-0.008517</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.052746</td>\n",
       "      <td>0.021941</td>\n",
       "      <td>0.037703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>-1.670454</td>\n",
       "      <td>-5.838098</td>\n",
       "      <td>-4.315879</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.228035</td>\n",
       "      <td>0.128999</td>\n",
       "      <td>0.198463</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.325919</td>\n",
       "      <td>-0.536001</td>\n",
       "      <td>0.016225</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>-0.598562</td>\n",
       "      <td>0.660073</td>\n",
       "      <td>-1.022181</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.078502</td>\n",
       "      <td>0.568301</td>\n",
       "      <td>0.723210</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.074611</td>\n",
       "      <td>-0.042728</td>\n",
       "      <td>-0.062576</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.078244</td>\n",
       "      <td>-0.051948</td>\n",
       "      <td>-0.064590</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.416667</td>\n",
       "      <td>0.333333</td>\n",
       "      <td>0.416667</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>0.959634</td>\n",
       "      <td>0.720461</td>\n",
       "      <td>0.685895</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.041437</td>\n",
       "      <td>0.016089</td>\n",
       "      <td>0.031244</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>0.931640</td>\n",
       "      <td>0.919954</td>\n",
       "      <td>0.895293</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                      HRP   BTCUSDT   ETHUSDT\n",
       "Mean Return                     -0.004612 -0.006705 -0.008517\n",
       "Volatility                       0.052746  0.021941  0.037703\n",
       "Sharpe Ratio                    -1.670454 -5.838098 -4.315879\n",
       "Max Drawdown                     0.228035  0.128999  0.198463\n",
       "Average Drawdown Time                 NaN       NaN  1.000000\n",
       "Skewness                         0.325919 -0.536001  0.016225\n",
       "Kurtosis                        -0.598562  0.660073 -1.022181\n",
       "Tail Ratio                       1.078502  0.568301  0.723210\n",
       "VaR                             -0.074611 -0.042728 -0.062576\n",
       "CVaR                            -0.078244 -0.051948 -0.064590\n",
       "Hit Ratio                        0.416667  0.333333  0.416667\n",
       "Average Win to Average Loss      0.959634  0.720461  0.685895\n",
       "Average Profitability per Trade  0.041437  0.016089  0.031244\n",
       "PnL                              0.931640  0.919954  0.895293"
      ]
     },
     "execution_count": 156,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "params_grid = [\n",
    "        {\n",
    "            \"window\": 180,\n",
    "            \"screener\": Screener(\"returns\", 10, 15),\n",
    "            \"model\": \"HRP\",\n",
    "            \"rebalance_each_n_obs\": 7,\n",
    "            \"codependence\": \"pearson\",\n",
    "            \"covariance\": \"hist\",\n",
    "            \"objective\": \"Sharpe\",\n",
    "            \"risk_measure\": \"SLPM\",\n",
    "            \"leaf_order\": True,\n",
    "        }\n",
    "    ] ,11.32, 1.21, 0.98\n",
    "\n",
    "params_grid = [\n",
    "        {\n",
    "            \"window\": 180,\n",
    "            \"screener\": Screener(\"returns\", 10, 15),\n",
    "            \"model\": \"HRP\",\n",
    "            \"rebalance_each_n_obs\": 7,\n",
    "            \"codependence\": \"pearson\",\n",
    "            \"covariance\": \"hist\",\n",
    "            \"objective\": \"Sharpe\",\n",
    "            \"risk_measure\": \"MDD\",\n",
    "            \"leaf_order\": True,\n",
    "        }\n",
    "    ], 15.35, 1.26, 0.96"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Last testing results"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [],
   "source": [
    "hrp_agent = pickle.load(open(\"./simulation_results/hrp/results_hrp_params_0_testing_oot.pickle\", \"rb\"))\n",
    "\n",
    "hrp_agent_0001 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_0001.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_0005 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_0005.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_001 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_001.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_0015 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_0015.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_002 = pickle.load(open(\n",
    "    f\"{path}/hrp/results_hrp_params_0_testing_oot_002.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "assets_data = pickle.load(open(f\"./assets_data_testing.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "'returns'"
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "hrp_agent[\"params\"][\"screener\"]."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {},
   "outputs": [],
   "source": [
    "agents = [hrp_agent,\n",
    "hrp_agent_0001,\n",
    "hrp_agent_0005,\n",
    "hrp_agent_001,\n",
    "hrp_agent_0015,\n",
    "hrp_agent_002]\n",
    "\n",
    "agents_names = [\"No Fee\", \"Fee 0.1%\", \"Fee 0.5%\", \"Fee 1%\", \"Fee 1.5%\", \"Fee 2%\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,1,1), \n",
    "    assets_data[\"close\"].loc[:\"2022-01-12\", [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>No Fee</th>\n",
       "      <th>Fee 0.1%</th>\n",
       "      <th>Fee 0.5%</th>\n",
       "      <th>Fee 1%</th>\n",
       "      <th>Fee 1.5%</th>\n",
       "      <th>Fee 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.009406</td>\n",
       "      <td>0.009219</td>\n",
       "      <td>0.008468</td>\n",
       "      <td>0.007531</td>\n",
       "      <td>0.006593</td>\n",
       "      <td>0.005655</td>\n",
       "      <td>0.001947</td>\n",
       "      <td>0.005650</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.074570</td>\n",
       "      <td>0.074562</td>\n",
       "      <td>0.074559</td>\n",
       "      <td>0.074624</td>\n",
       "      <td>0.074764</td>\n",
       "      <td>0.074979</td>\n",
       "      <td>0.041987</td>\n",
       "      <td>0.056202</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Semi-Volatility</th>\n",
       "      <td>0.048023</td>\n",
       "      <td>0.048007</td>\n",
       "      <td>0.047979</td>\n",
       "      <td>0.047935</td>\n",
       "      <td>0.047988</td>\n",
       "      <td>0.048177</td>\n",
       "      <td>0.026978</td>\n",
       "      <td>0.037648</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>2.409903</td>\n",
       "      <td>2.362112</td>\n",
       "      <td>2.169961</td>\n",
       "      <td>1.927990</td>\n",
       "      <td>1.684735</td>\n",
       "      <td>1.440947</td>\n",
       "      <td>0.885794</td>\n",
       "      <td>1.920805</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>10.343709</td>\n",
       "      <td>10.158050</td>\n",
       "      <td>9.441264</td>\n",
       "      <td>8.980884</td>\n",
       "      <td>8.752803</td>\n",
       "      <td>8.689084</td>\n",
       "      <td>1.151814</td>\n",
       "      <td>3.275329</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>2.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>15.000000</td>\n",
       "      <td>6.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.603805</td>\n",
       "      <td>0.602626</td>\n",
       "      <td>0.597087</td>\n",
       "      <td>0.588088</td>\n",
       "      <td>0.576469</td>\n",
       "      <td>0.561940</td>\n",
       "      <td>0.172095</td>\n",
       "      <td>0.029035</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>7.192913</td>\n",
       "      <td>7.185432</td>\n",
       "      <td>7.144306</td>\n",
       "      <td>7.068248</td>\n",
       "      <td>6.966045</td>\n",
       "      <td>6.839526</td>\n",
       "      <td>1.710761</td>\n",
       "      <td>3.634270</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.267401</td>\n",
       "      <td>1.260738</td>\n",
       "      <td>1.223126</td>\n",
       "      <td>1.206956</td>\n",
       "      <td>1.177448</td>\n",
       "      <td>1.138737</td>\n",
       "      <td>1.197361</td>\n",
       "      <td>1.128458</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.098121</td>\n",
       "      <td>-0.098121</td>\n",
       "      <td>-0.098121</td>\n",
       "      <td>-0.099323</td>\n",
       "      <td>-0.101812</td>\n",
       "      <td>-0.104431</td>\n",
       "      <td>-0.062388</td>\n",
       "      <td>-0.081252</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.147061</td>\n",
       "      <td>-0.147215</td>\n",
       "      <td>-0.147829</td>\n",
       "      <td>-0.148597</td>\n",
       "      <td>-0.149654</td>\n",
       "      <td>-0.151116</td>\n",
       "      <td>-0.089282</td>\n",
       "      <td>-0.118780</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.549072</td>\n",
       "      <td>0.546419</td>\n",
       "      <td>0.541114</td>\n",
       "      <td>0.530504</td>\n",
       "      <td>0.530504</td>\n",
       "      <td>0.527851</td>\n",
       "      <td>0.498674</td>\n",
       "      <td>0.554377</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.179049</td>\n",
       "      <td>1.182882</td>\n",
       "      <td>1.172686</td>\n",
       "      <td>1.178083</td>\n",
       "      <td>1.134049</td>\n",
       "      <td>1.103860</td>\n",
       "      <td>1.133861</td>\n",
       "      <td>1.050714</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.051761</td>\n",
       "      <td>0.051762</td>\n",
       "      <td>0.051801</td>\n",
       "      <td>0.051995</td>\n",
       "      <td>0.052267</td>\n",
       "      <td>0.052573</td>\n",
       "      <td>0.031033</td>\n",
       "      <td>0.041531</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>12.256799</td>\n",
       "      <td>11.425362</td>\n",
       "      <td>8.618147</td>\n",
       "      <td>6.044667</td>\n",
       "      <td>4.228989</td>\n",
       "      <td>2.951141</td>\n",
       "      <td>1.496765</td>\n",
       "      <td>4.625070</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                    No Fee   Fee 0.1%  Fee 0.5%    Fee 1%  \\\n",
       "Mean Return                       0.009406   0.009219  0.008468  0.007531   \n",
       "Volatility                        0.074570   0.074562  0.074559  0.074624   \n",
       "Semi-Volatility                   0.048023   0.048007  0.047979  0.047935   \n",
       "Sharpe Ratio                      2.409903   2.362112  2.169961  1.927990   \n",
       "Max Drawdown                     10.343709  10.158050  9.441264  8.980884   \n",
       "Average Drawdown Time             3.000000   3.000000  3.000000  2.000000   \n",
       "Skewness                          0.603805   0.602626  0.597087  0.588088   \n",
       "Kurtosis                          7.192913   7.185432  7.144306  7.068248   \n",
       "Tail Ratio                        1.267401   1.260738  1.223126  1.206956   \n",
       "VaR                              -0.098121  -0.098121 -0.098121 -0.099323   \n",
       "CVaR                             -0.147061  -0.147215 -0.147829 -0.148597   \n",
       "Hit Ratio                         0.549072   0.546419  0.541114  0.530504   \n",
       "Average Win to Average Loss       1.179049   1.182882  1.172686  1.178083   \n",
       "Average Profitability per Trade   0.051761   0.051762  0.051801  0.051995   \n",
       "PnL                              12.256799  11.425362  8.618147  6.044667   \n",
       "\n",
       "                                 Fee 1.5%    Fee 2%    BTCUSDT   ETHUSDT  \n",
       "Mean Return                      0.006593  0.005655   0.001947  0.005650  \n",
       "Volatility                       0.074764  0.074979   0.041987  0.056202  \n",
       "Semi-Volatility                  0.047988  0.048177   0.026978  0.037648  \n",
       "Sharpe Ratio                     1.684735  1.440947   0.885794  1.920805  \n",
       "Max Drawdown                     8.752803  8.689084   1.151814  3.275329  \n",
       "Average Drawdown Time            2.000000  3.000000  15.000000  6.000000  \n",
       "Skewness                         0.576469  0.561940   0.172095  0.029035  \n",
       "Kurtosis                         6.966045  6.839526   1.710761  3.634270  \n",
       "Tail Ratio                       1.177448  1.138737   1.197361  1.128458  \n",
       "VaR                             -0.101812 -0.104431  -0.062388 -0.081252  \n",
       "CVaR                            -0.149654 -0.151116  -0.089282 -0.118780  \n",
       "Hit Ratio                        0.530504  0.527851   0.498674  0.554377  \n",
       "Average Win to Average Loss      1.134049  1.103860   1.133861  1.050714  \n",
       "Average Profitability per Trade  0.052267  0.052573   0.031033  0.041531  \n",
       "PnL                              4.228989  2.951141   1.496765  4.625070  "
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 217,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df.to_csv(\"hrp_results_2022_01_09_2022_01_12.csv\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 122,
   "metadata": {},
   "outputs": [],
   "source": [
    "weights = hrp_agent[\"agent\"].actions.loc[\"2021-01-01\":].stack().reset_index().rename({\"level_0\":\"date\", \"level_1\":\"symbol\", 0: \"weight\"},axis=1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 123,
   "metadata": {},
   "outputs": [],
   "source": [
    "weights = weights.loc[weights.loc[:, \"weight\"]!=0.]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 220,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "166"
      ]
     },
     "execution_count": 220,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "weights.loc[:, \"symbol\"].nunique()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 221,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.5599260055806233"
      ]
     },
     "execution_count": 221,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "weights.loc[:, \"weight\"].max()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 225,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "4.153846153846154"
      ]
     },
     "execution_count": 225,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "hrp_agent[\"agent\"].actions.loc[\"2021-01-01\":].drop_duplicates().resample(\"M\").size().mean()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 237,
   "metadata": {},
   "outputs": [],
   "source": [
    "equal_weight = pickle.load(open(\n",
    "    f\"{path}/ew/results_ew_params_0_testing_oot_001.pickle\",\n",
    "    \"rb\"\n",
    "))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 249,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    [equal_weight], [\"Equal Weight\"], datetime(2022,1,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 250,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Equal Weight</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.015541</td>\n",
       "      <td>0.012034</td>\n",
       "      <td>0.017390</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.021397</td>\n",
       "      <td>0.014673</td>\n",
       "      <td>0.034241</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>13.876504</td>\n",
       "      <td>15.668468</td>\n",
       "      <td>9.703249</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.001006</td>\n",
       "      <td>0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>1.595806</td>\n",
       "      <td>0.128484</td>\n",
       "      <td>-0.266068</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>2.386965</td>\n",
       "      <td>-5.217647</td>\n",
       "      <td>-3.672760</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>115.213693</td>\n",
       "      <td>31.089732</td>\n",
       "      <td>2.643297</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>0.000360</td>\n",
       "      <td>-0.000855</td>\n",
       "      <td>-0.018686</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.001006</td>\n",
       "      <td>-0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.750000</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>0.500000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>NaN</td>\n",
       "      <td>24.416558</td>\n",
       "      <td>2.082169</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>NaN</td>\n",
       "      <td>0.012537</td>\n",
       "      <td>0.028382</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>1.062928</td>\n",
       "      <td>1.048682</td>\n",
       "      <td>1.069572</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 Equal Weight    BTCUSDT   ETHUSDT\n",
       "Mean Return                          0.015541   0.012034  0.017390\n",
       "Volatility                           0.021397   0.014673  0.034241\n",
       "Sharpe Ratio                        13.876504  15.668468  9.703249\n",
       "Max Drawdown                         0.000000   0.001006  0.021983\n",
       "Average Drawdown Time                1.000000   1.000000  1.000000\n",
       "Skewness                             1.595806   0.128484 -0.266068\n",
       "Kurtosis                             2.386965  -5.217647 -3.672760\n",
       "Tail Ratio                         115.213693  31.089732  2.643297\n",
       "VaR                                  0.000360  -0.000855 -0.018686\n",
       "CVaR                                 0.000000  -0.001006 -0.021983\n",
       "Hit Ratio                            0.750000   0.500000  0.500000\n",
       "Average Win to Average Loss               NaN  24.416558  2.082169\n",
       "Average Profitability per Trade           NaN   0.012537  0.028382\n",
       "PnL                                  1.062928   1.048682  1.069572"
      ]
     },
     "execution_count": 250,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 240,
   "metadata": {},
   "outputs": [],
   "source": [
    "ew_weights = equal_weight[\"agent\"].actions.loc[\"2021-01-01\":].stack().reset_index().rename({\"level_0\":\"date\", \"level_1\":\"symbol\", 0: \"weight\"},axis=1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 241,
   "metadata": {},
   "outputs": [],
   "source": [
    "ew_weights = ew_weights.loc[ew_weights.loc[:,\"weight\"]!=0.]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 242,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>date</th>\n",
       "      <th>symbol</th>\n",
       "      <th>weight</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>ZILUSDT</td>\n",
       "      <td>0.1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>34</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>THETAUSDT</td>\n",
       "      <td>0.1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>36</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>MITHUSDT</td>\n",
       "      <td>0.1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>39</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>TFUELUSDT</td>\n",
       "      <td>0.1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>43</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>GTOUSDT</td>\n",
       "      <td>0.1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>45</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>DOGEUSDT</td>\n",
       "      <td>0.1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>58</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>DOCKUSDT</td>\n",
       "      <td>0.1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>62</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>CHZUSDT</td>\n",
       "      <td>0.1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>71</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>STXUSDT</td>\n",
       "      <td>0.1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>102</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>BTCUPUSDT</td>\n",
       "      <td>0.1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "          date     symbol  weight\n",
       "23  2021-01-01    ZILUSDT     0.1\n",
       "34  2021-01-01  THETAUSDT     0.1\n",
       "36  2021-01-01   MITHUSDT     0.1\n",
       "39  2021-01-01  TFUELUSDT     0.1\n",
       "43  2021-01-01    GTOUSDT     0.1\n",
       "45  2021-01-01   DOGEUSDT     0.1\n",
       "58  2021-01-01   DOCKUSDT     0.1\n",
       "62  2021-01-01    CHZUSDT     0.1\n",
       "71  2021-01-01    STXUSDT     0.1\n",
       "102 2021-01-01  BTCUPUSDT     0.1"
      ]
     },
     "execution_count": 242,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "ew_weights.iloc[:10]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 233,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
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       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>date</th>\n",
       "      <th>symbol</th>\n",
       "      <th>weight</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>ZILUSDT</td>\n",
       "      <td>0.070363</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>34</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>THETAUSDT</td>\n",
       "      <td>0.072515</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>36</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>MITHUSDT</td>\n",
       "      <td>0.031856</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>39</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>TFUELUSDT</td>\n",
       "      <td>0.128813</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>43</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>GTOUSDT</td>\n",
       "      <td>0.039329</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>45</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>DOGEUSDT</td>\n",
       "      <td>0.142708</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>58</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>DOCKUSDT</td>\n",
       "      <td>0.065036</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>62</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>CHZUSDT</td>\n",
       "      <td>0.174259</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>71</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>STXUSDT</td>\n",
       "      <td>0.120431</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>102</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>BTCUPUSDT</td>\n",
       "      <td>0.154690</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "          date     symbol    weight\n",
       "23  2021-01-01    ZILUSDT  0.070363\n",
       "34  2021-01-01  THETAUSDT  0.072515\n",
       "36  2021-01-01   MITHUSDT  0.031856\n",
       "39  2021-01-01  TFUELUSDT  0.128813\n",
       "43  2021-01-01    GTOUSDT  0.039329\n",
       "45  2021-01-01   DOGEUSDT  0.142708\n",
       "58  2021-01-01   DOCKUSDT  0.065036\n",
       "62  2021-01-01    CHZUSDT  0.174259\n",
       "71  2021-01-01    STXUSDT  0.120431\n",
       "102 2021-01-01  BTCUPUSDT  0.154690"
      ]
     },
     "execution_count": 233,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "weights.iloc[:10]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 104,
   "metadata": {},
   "outputs": [],
   "source": [
    "hrp_agent = pickle.load(open(\"./simulation_results/hrp_riskfolio/results_hrp_riskfolio_params_0_testing_oot_001_min_risk.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 105,
   "metadata": {},
   "outputs": [],
   "source": [
    "weights = hrp_agent[\"agent\"].actions.loc[\"2021-01-01\":].stack().reset_index().rename({\"level_0\":\"date\", \"level_1\":\"symbol\", 0: \"weight\"},axis=1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 106,
   "metadata": {},
   "outputs": [],
   "source": [
    "weights = weights.loc[weights.loc[:, \"weight\"] != 0.]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 107,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>date</th>\n",
       "      <th>symbol</th>\n",
       "      <th>weight</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>61461</th>\n",
       "      <td>2021-06-24</td>\n",
       "      <td>TFUELUSDT</td>\n",
       "      <td>0.294486</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>61108</th>\n",
       "      <td>2021-06-23</td>\n",
       "      <td>TFUELUSDT</td>\n",
       "      <td>0.294486</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>60755</th>\n",
       "      <td>2021-06-22</td>\n",
       "      <td>TFUELUSDT</td>\n",
       "      <td>0.294486</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>60402</th>\n",
       "      <td>2021-06-21</td>\n",
       "      <td>TFUELUSDT</td>\n",
       "      <td>0.294486</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>60049</th>\n",
       "      <td>2021-06-20</td>\n",
       "      <td>TFUELUSDT</td>\n",
       "      <td>0.294486</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>44639</th>\n",
       "      <td>2021-05-07</td>\n",
       "      <td>EOSUPUSDT</td>\n",
       "      <td>0.050000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>45698</th>\n",
       "      <td>2021-05-10</td>\n",
       "      <td>EOSUPUSDT</td>\n",
       "      <td>0.050000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>46051</th>\n",
       "      <td>2021-05-11</td>\n",
       "      <td>EOSUPUSDT</td>\n",
       "      <td>0.050000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>46404</th>\n",
       "      <td>2021-05-12</td>\n",
       "      <td>EOSUPUSDT</td>\n",
       "      <td>0.050000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>46757</th>\n",
       "      <td>2021-05-13</td>\n",
       "      <td>EOSUPUSDT</td>\n",
       "      <td>0.050000</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>3770 rows × 3 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "            date     symbol    weight\n",
       "61461 2021-06-24  TFUELUSDT  0.294486\n",
       "61108 2021-06-23  TFUELUSDT  0.294486\n",
       "60755 2021-06-22  TFUELUSDT  0.294486\n",
       "60402 2021-06-21  TFUELUSDT  0.294486\n",
       "60049 2021-06-20  TFUELUSDT  0.294486\n",
       "...          ...        ...       ...\n",
       "44639 2021-05-07  EOSUPUSDT  0.050000\n",
       "45698 2021-05-10  EOSUPUSDT  0.050000\n",
       "46051 2021-05-11  EOSUPUSDT  0.050000\n",
       "46404 2021-05-12  EOSUPUSDT  0.050000\n",
       "46757 2021-05-13  EOSUPUSDT  0.050000\n",
       "\n",
       "[3770 rows x 3 columns]"
      ]
     },
     "execution_count": 107,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "weights.drop_duplicates().sort_values(\"weight\", ascending=False)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 114,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    [hrp_agent], [\"HRP Constrained\"], datetime(2022,1,9), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 115,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>HRP Constrained</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.048948</td>\n",
       "      <td>0.012034</td>\n",
       "      <td>0.017390</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.042637</td>\n",
       "      <td>0.014673</td>\n",
       "      <td>0.034241</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>21.932462</td>\n",
       "      <td>15.668468</td>\n",
       "      <td>9.703249</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.001006</td>\n",
       "      <td>0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>1.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>-0.226512</td>\n",
       "      <td>0.128484</td>\n",
       "      <td>-0.266068</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>-3.433452</td>\n",
       "      <td>-5.217647</td>\n",
       "      <td>-3.672760</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>21.685622</td>\n",
       "      <td>31.089732</td>\n",
       "      <td>2.643297</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>0.004139</td>\n",
       "      <td>-0.000855</td>\n",
       "      <td>-0.018686</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.001006</td>\n",
       "      <td>-0.021983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.750000</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>0.500000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>NaN</td>\n",
       "      <td>24.416558</td>\n",
       "      <td>2.082169</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>NaN</td>\n",
       "      <td>0.012537</td>\n",
       "      <td>0.028382</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>1.207632</td>\n",
       "      <td>1.048682</td>\n",
       "      <td>1.069572</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                 HRP Constrained    BTCUSDT   ETHUSDT\n",
       "Mean Return                             0.048948   0.012034  0.017390\n",
       "Volatility                              0.042637   0.014673  0.034241\n",
       "Sharpe Ratio                           21.932462  15.668468  9.703249\n",
       "Max Drawdown                            0.000000   0.001006  0.021983\n",
       "Average Drawdown Time                   1.000000   1.000000  1.000000\n",
       "Skewness                               -0.226512   0.128484 -0.266068\n",
       "Kurtosis                               -3.433452  -5.217647 -3.672760\n",
       "Tail Ratio                             21.685622  31.089732  2.643297\n",
       "VaR                                     0.004139  -0.000855 -0.018686\n",
       "CVaR                                    0.000000  -0.001006 -0.021983\n",
       "Hit Ratio                               0.750000   0.500000  0.500000\n",
       "Average Win to Average Loss                  NaN  24.416558  2.082169\n",
       "Average Profitability per Trade              NaN   0.012537  0.028382\n",
       "PnL                                     1.207632   1.048682  1.069572"
      ]
     },
     "execution_count": 115,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 40,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "FTMUSDT        10\n",
       "DOGEUSDT        9\n",
       "MATICUSDT       9\n",
       "AXSBUSD         9\n",
       "ONEUSDT         8\n",
       "               ..\n",
       "INJBUSD         1\n",
       "AUCTIONBUSD     1\n",
       "GTCBUSD         1\n",
       "JUVBUSD         1\n",
       "WTCUSDT         1\n",
       "Name: symbol, Length: 166, dtype: int64"
      ]
     },
     "execution_count": 40,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "weights.sort_values(\"weight\", ascending=False).drop_duplicates(subset=[\"symbol\", \"weight\"]).loc[:, \"symbol\"].value_counts()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 46,
   "metadata": {},
   "outputs": [],
   "source": [
    "from trading_gym.utils.summary import stats"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 166,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>multiplier</th>\n",
       "      <th>floor_pct</th>\n",
       "      <th>w_risk_min</th>\n",
       "      <th>w_risk_max</th>\n",
       "      <th>Cumulative Return</th>\n",
       "      <th>Volatility</th>\n",
       "      <th>Sharpe Ratio</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>141</th>\n",
       "      <td>3</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.10</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.357199</td>\n",
       "      <td>0.004856</td>\n",
       "      <td>1.688426</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>142</th>\n",
       "      <td>3</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.10</td>\n",
       "      <td>0.90</td>\n",
       "      <td>0.354639</td>\n",
       "      <td>0.004970</td>\n",
       "      <td>1.641828</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>140</th>\n",
       "      <td>3</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.10</td>\n",
       "      <td>1.00</td>\n",
       "      <td>0.342885</td>\n",
       "      <td>0.004921</td>\n",
       "      <td>1.611090</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>143</th>\n",
       "      <td>3</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.10</td>\n",
       "      <td>0.85</td>\n",
       "      <td>0.332823</td>\n",
       "      <td>0.004848</td>\n",
       "      <td>1.593204</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>147</th>\n",
       "      <td>3</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.15</td>\n",
       "      <td>0.85</td>\n",
       "      <td>0.424706</td>\n",
       "      <td>0.006258</td>\n",
       "      <td>1.536403</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
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       "      <th>1021</th>\n",
       "      <td>9</td>\n",
       "      <td>0.70</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.95</td>\n",
       "      <td>-0.023245</td>\n",
       "      <td>0.015660</td>\n",
       "      <td>0.112940</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>3</td>\n",
       "      <td>0.70</td>\n",
       "      <td>0.10</td>\n",
       "      <td>0.95</td>\n",
       "      <td>-0.014933</td>\n",
       "      <td>0.012617</td>\n",
       "      <td>0.090754</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>3</td>\n",
       "      <td>0.70</td>\n",
       "      <td>0.10</td>\n",
       "      <td>0.85</td>\n",
       "      <td>-0.015732</td>\n",
       "      <td>0.012321</td>\n",
       "      <td>0.085316</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>3</td>\n",
       "      <td>0.70</td>\n",
       "      <td>0.10</td>\n",
       "      <td>0.90</td>\n",
       "      <td>-0.021935</td>\n",
       "      <td>0.012136</td>\n",
       "      <td>0.069413</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>3</td>\n",
       "      <td>0.70</td>\n",
       "      <td>0.10</td>\n",
       "      <td>1.00</td>\n",
       "      <td>-0.023173</td>\n",
       "      <td>0.012158</td>\n",
       "      <td>0.067024</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>1176 rows × 7 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "      multiplier  floor_pct  w_risk_min  w_risk_max  Cumulative Return  \\\n",
       "141            3       0.95        0.10        0.95           0.357199   \n",
       "142            3       0.95        0.10        0.90           0.354639   \n",
       "140            3       0.95        0.10        1.00           0.342885   \n",
       "143            3       0.95        0.10        0.85           0.332823   \n",
       "147            3       0.95        0.15        0.85           0.424706   \n",
       "...          ...        ...         ...         ...                ...   \n",
       "1021           9       0.70        0.25        0.95          -0.023245   \n",
       "1              3       0.70        0.10        0.95          -0.014933   \n",
       "3              3       0.70        0.10        0.85          -0.015732   \n",
       "2              3       0.70        0.10        0.90          -0.021935   \n",
       "0              3       0.70        0.10        1.00          -0.023173   \n",
       "\n",
       "      Volatility  Sharpe Ratio  \n",
       "141     0.004856      1.688426  \n",
       "142     0.004970      1.641828  \n",
       "140     0.004921      1.611090  \n",
       "143     0.004848      1.593204  \n",
       "147     0.006258      1.536403  \n",
       "...          ...           ...  \n",
       "1021    0.015660      0.112940  \n",
       "1       0.012617      0.090754  \n",
       "3       0.012321      0.085316  \n",
       "2       0.012136      0.069413  \n",
       "0       0.012158      0.067024  \n",
       "\n",
       "[1176 rows x 7 columns]"
      ]
     },
     "execution_count": 166,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "agent = \"tipp_hrp_riskfolio\"\n",
    "start_eval_date = datetime(2019,1,1)\n",
    "\n",
    "agents_statistics = []\n",
    "for i in range(1176):\n",
    "    results = pickle.load(open(f\"{path}/{agent}/results_{agent}_params_{i}_training_001.pickle\", \"rb\"))\n",
    "    returns = results[\"agent\"].rewards.loc[start_eval_date:].sum(axis=1)\n",
    "    returns.iloc[0] = 0.\n",
    "    statistics = stats(returns)\n",
    "    agents_statistics.append(\n",
    "        {   \n",
    "            \"multiplier\": results[\"params\"][\"multiplier\"],\n",
    "            \"floor_pct\": results[\"params\"][\"floor_pct\"],\n",
    "            \"w_risk_min\": results[\"params\"][\"w_risk_min\"],\n",
    "            \"w_risk_max\": results[\"params\"][\"w_risk_max\"],\n",
    "            \"Cumulative Return\": statistics[\"Cumulative Returns\"].iloc[-1],\n",
    "            \"Volatility\": statistics[\"Volatility\"],\n",
    "            \"Sharpe Ratio\": statistics[\"Sharpe Ratio\"]*np.sqrt(365.)\n",
    "        }\n",
    "    ) \n",
    "pd.DataFrame(agents_statistics).sort_values(\"Sharpe Ratio\", ascending=False)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 195,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "</style>\n",
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>multiplier</th>\n",
       "      <th>floor_pct</th>\n",
       "      <th>w_risk_min</th>\n",
       "      <th>w_risk_max</th>\n",
       "      <th>Cumulative Return</th>\n",
       "      <th>Volatility</th>\n",
       "      <th>Sharpe Ratio</th>\n",
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       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>42</th>\n",
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       "      <td>0.015323</td>\n",
       "      <td>0.519017</td>\n",
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       "    <tr>\n",
       "      <th>40</th>\n",
       "      <td>3</td>\n",
       "      <td>0.75</td>\n",
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       "      <td>1.00</td>\n",
       "      <td>0.189110</td>\n",
       "      <td>0.015259</td>\n",
       "      <td>0.443199</td>\n",
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       "    <tr>\n",
       "      <th>209</th>\n",
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       "      <td>0.25</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.170048</td>\n",
       "      <td>0.015567</td>\n",
       "      <td>0.413307</td>\n",
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       "    <tr>\n",
       "      <th>210</th>\n",
       "      <td>4</td>\n",
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       "      <td>0.90</td>\n",
       "      <td>0.151902</td>\n",
       "      <td>0.016083</td>\n",
       "      <td>0.384744</td>\n",
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       "      <th>379</th>\n",
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       "      <td>0.85</td>\n",
       "      <td>0.135816</td>\n",
       "      <td>0.016604</td>\n",
       "      <td>0.360661</td>\n",
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       "      <th>378</th>\n",
       "      <td>5</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.90</td>\n",
       "      <td>0.133230</td>\n",
       "      <td>0.016563</td>\n",
       "      <td>0.357434</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>547</th>\n",
       "      <td>6</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.85</td>\n",
       "      <td>0.126725</td>\n",
       "      <td>0.017356</td>\n",
       "      <td>0.346875</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>211</th>\n",
       "      <td>4</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.85</td>\n",
       "      <td>0.124386</td>\n",
       "      <td>0.016500</td>\n",
       "      <td>0.344861</td>\n",
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       "    <tr>\n",
       "      <th>715</th>\n",
       "      <td>7</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.85</td>\n",
       "      <td>0.124168</td>\n",
       "      <td>0.017362</td>\n",
       "      <td>0.343423</td>\n",
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       "    <tr>\n",
       "      <th>546</th>\n",
       "      <td>6</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.90</td>\n",
       "      <td>0.117752</td>\n",
       "      <td>0.017073</td>\n",
       "      <td>0.335294</td>\n",
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       "    <tr>\n",
       "      <th>208</th>\n",
       "      <td>4</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>1.00</td>\n",
       "      <td>0.109822</td>\n",
       "      <td>0.015031</td>\n",
       "      <td>0.325782</td>\n",
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       "    <tr>\n",
       "      <th>377</th>\n",
       "      <td>5</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.100597</td>\n",
       "      <td>0.015916</td>\n",
       "      <td>0.311180</td>\n",
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       "    <tr>\n",
       "      <th>1050</th>\n",
       "      <td>9</td>\n",
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       "      <td>0.90</td>\n",
       "      <td>0.048801</td>\n",
       "      <td>0.017080</td>\n",
       "      <td>0.237901</td>\n",
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       "    <tr>\n",
       "      <th>883</th>\n",
       "      <td>8</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.85</td>\n",
       "      <td>0.046643</td>\n",
       "      <td>0.017128</td>\n",
       "      <td>0.234725</td>\n",
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       "    <tr>\n",
       "      <th>1051</th>\n",
       "      <td>9</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.85</td>\n",
       "      <td>0.043189</td>\n",
       "      <td>0.016576</td>\n",
       "      <td>0.226790</td>\n",
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       "    <tr>\n",
       "      <th>376</th>\n",
       "      <td>5</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>1.00</td>\n",
       "      <td>0.031203</td>\n",
       "      <td>0.015261</td>\n",
       "      <td>0.200031</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>880</th>\n",
       "      <td>8</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>1.00</td>\n",
       "      <td>0.027186</td>\n",
       "      <td>0.014682</td>\n",
       "      <td>0.189485</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>882</th>\n",
       "      <td>8</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.90</td>\n",
       "      <td>0.026338</td>\n",
       "      <td>0.016865</td>\n",
       "      <td>0.203512</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>545</th>\n",
       "      <td>6</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.021707</td>\n",
       "      <td>0.016012</td>\n",
       "      <td>0.190497</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1049</th>\n",
       "      <td>9</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.020974</td>\n",
       "      <td>0.016031</td>\n",
       "      <td>0.189579</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>881</th>\n",
       "      <td>8</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.014763</td>\n",
       "      <td>0.014713</td>\n",
       "      <td>0.168178</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>714</th>\n",
       "      <td>7</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.90</td>\n",
       "      <td>0.012368</td>\n",
       "      <td>0.015225</td>\n",
       "      <td>0.168250</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>544</th>\n",
       "      <td>6</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>1.00</td>\n",
       "      <td>0.009276</td>\n",
       "      <td>0.014070</td>\n",
       "      <td>0.152905</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>713</th>\n",
       "      <td>7</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.95</td>\n",
       "      <td>0.005853</td>\n",
       "      <td>0.014193</td>\n",
       "      <td>0.147803</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>712</th>\n",
       "      <td>7</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>1.00</td>\n",
       "      <td>0.002507</td>\n",
       "      <td>0.014795</td>\n",
       "      <td>0.147417</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1048</th>\n",
       "      <td>9</td>\n",
       "      <td>0.75</td>\n",
       "      <td>0.25</td>\n",
       "      <td>1.00</td>\n",
       "      <td>0.000204</td>\n",
       "      <td>0.014756</td>\n",
       "      <td>0.143325</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "      multiplier  floor_pct  w_risk_min  w_risk_max  Cumulative Return  \\\n",
       "42             3       0.75        0.25        0.90           0.263394   \n",
       "41             3       0.75        0.25        0.95           0.248596   \n",
       "43             3       0.75        0.25        0.85           0.243774   \n",
       "40             3       0.75        0.25        1.00           0.189110   \n",
       "209            4       0.75        0.25        0.95           0.170048   \n",
       "210            4       0.75        0.25        0.90           0.151902   \n",
       "379            5       0.75        0.25        0.85           0.135816   \n",
       "378            5       0.75        0.25        0.90           0.133230   \n",
       "547            6       0.75        0.25        0.85           0.126725   \n",
       "211            4       0.75        0.25        0.85           0.124386   \n",
       "715            7       0.75        0.25        0.85           0.124168   \n",
       "546            6       0.75        0.25        0.90           0.117752   \n",
       "208            4       0.75        0.25        1.00           0.109822   \n",
       "377            5       0.75        0.25        0.95           0.100597   \n",
       "1050           9       0.75        0.25        0.90           0.048801   \n",
       "883            8       0.75        0.25        0.85           0.046643   \n",
       "1051           9       0.75        0.25        0.85           0.043189   \n",
       "376            5       0.75        0.25        1.00           0.031203   \n",
       "880            8       0.75        0.25        1.00           0.027186   \n",
       "882            8       0.75        0.25        0.90           0.026338   \n",
       "545            6       0.75        0.25        0.95           0.021707   \n",
       "1049           9       0.75        0.25        0.95           0.020974   \n",
       "881            8       0.75        0.25        0.95           0.014763   \n",
       "714            7       0.75        0.25        0.90           0.012368   \n",
       "544            6       0.75        0.25        1.00           0.009276   \n",
       "713            7       0.75        0.25        0.95           0.005853   \n",
       "712            7       0.75        0.25        1.00           0.002507   \n",
       "1048           9       0.75        0.25        1.00           0.000204   \n",
       "\n",
       "      Volatility  Sharpe Ratio  \n",
       "42      0.015569      0.541709  \n",
       "41      0.015479      0.523255  \n",
       "43      0.015323      0.519017  \n",
       "40      0.015259      0.443199  \n",
       "209     0.015567      0.413307  \n",
       "210     0.016083      0.384744  \n",
       "379     0.016604      0.360661  \n",
       "378     0.016563      0.357434  \n",
       "547     0.017356      0.346875  \n",
       "211     0.016500      0.344861  \n",
       "715     0.017362      0.343423  \n",
       "546     0.017073      0.335294  \n",
       "208     0.015031      0.325782  \n",
       "377     0.015916      0.311180  \n",
       "1050    0.017080      0.237901  \n",
       "883     0.017128      0.234725  \n",
       "1051    0.016576      0.226790  \n",
       "376     0.015261      0.200031  \n",
       "880     0.014682      0.189485  \n",
       "882     0.016865      0.203512  \n",
       "545     0.016012      0.190497  \n",
       "1049    0.016031      0.189579  \n",
       "881     0.014713      0.168178  \n",
       "714     0.015225      0.168250  \n",
       "544     0.014070      0.152905  \n",
       "713     0.014193      0.147803  \n",
       "712     0.014795      0.147417  \n",
       "1048    0.014756      0.143325  "
      ]
     },
     "execution_count": 195,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "agents_statistics = pd.DataFrame(agents_statistics)\n",
    "agents_statistics.loc[(agents_statistics.loc[:, \"floor_pct\"] == 0.75) & (agents_statistics.loc[:, \"w_risk_min\"] == 0.25)].sort_values(\"Cumulative Return\", ascending=False)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 196,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>date</th>\n",
       "      <th>symbol</th>\n",
       "      <th>weight</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>ZILUSDT</td>\n",
       "      <td>0.061437</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>34</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>THETAUSDT</td>\n",
       "      <td>0.098305</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>36</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>MITHUSDT</td>\n",
       "      <td>0.053767</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>39</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>TFUELUSDT</td>\n",
       "      <td>0.059731</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>43</th>\n",
       "      <td>2021-01-01</td>\n",
       "      <td>GTOUSDT</td>\n",
       "      <td>0.076926</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21440</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>KP3RBUSD</td>\n",
       "      <td>0.012500</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21450</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>ROSEBUSD</td>\n",
       "      <td>0.028188</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21451</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>SYSBUSD</td>\n",
       "      <td>0.027954</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21480</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>FXSBUSD</td>\n",
       "      <td>0.037543</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21593</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>Cash</td>\n",
       "      <td>0.750000</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>671 rows × 3 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "            date     symbol    weight\n",
       "23    2021-01-01    ZILUSDT  0.061437\n",
       "34    2021-01-01  THETAUSDT  0.098305\n",
       "36    2021-01-01   MITHUSDT  0.053767\n",
       "39    2021-01-01  TFUELUSDT  0.059731\n",
       "43    2021-01-01    GTOUSDT  0.076926\n",
       "...          ...        ...       ...\n",
       "21440 2022-01-07   KP3RBUSD  0.012500\n",
       "21450 2022-01-07   ROSEBUSD  0.028188\n",
       "21451 2022-01-07    SYSBUSD  0.027954\n",
       "21480 2022-01-07    FXSBUSD  0.037543\n",
       "21593 2022-01-07       Cash  0.750000\n",
       "\n",
       "[671 rows x 3 columns]"
      ]
     },
     "execution_count": 196,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "agent_tipp = pickle.load(open(f\"{path}/{agent}/results_{agent}_params_0_testing_001.pickle\", \"rb\"))\n",
    "start_eval_date = datetime(2021,1,1)\n",
    "weights = agent_tipp[\"agent\"].actions.loc[start_eval_date:].drop_duplicates().stack().reset_index().rename({\"level_0\":\"date\",\"level_1\":\"symbol\",0:\"weight\"},axis=1)\n",
    "weights = weights[weights.loc[:, \"weight\"]!=0.]\n",
    "weights"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 199,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>date</th>\n",
       "      <th>symbol</th>\n",
       "      <th>weight</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>21278</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>ATOMUSDT</td>\n",
       "      <td>0.030090</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21281</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>FTMUSDT</td>\n",
       "      <td>0.018844</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21307</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>RVNUSDT</td>\n",
       "      <td>0.046924</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21323</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>DREPUSDT</td>\n",
       "      <td>0.015903</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21364</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>LINKUPUSDT</td>\n",
       "      <td>0.012500</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21426</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>NEARBUSD</td>\n",
       "      <td>0.019554</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21440</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>KP3RBUSD</td>\n",
       "      <td>0.012500</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21450</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>ROSEBUSD</td>\n",
       "      <td>0.028188</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21451</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>SYSBUSD</td>\n",
       "      <td>0.027954</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21480</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>FXSBUSD</td>\n",
       "      <td>0.037543</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21593</th>\n",
       "      <td>2022-01-07</td>\n",
       "      <td>Cash</td>\n",
       "      <td>0.750000</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            date      symbol    weight\n",
       "21278 2022-01-07    ATOMUSDT  0.030090\n",
       "21281 2022-01-07     FTMUSDT  0.018844\n",
       "21307 2022-01-07     RVNUSDT  0.046924\n",
       "21323 2022-01-07    DREPUSDT  0.015903\n",
       "21364 2022-01-07  LINKUPUSDT  0.012500\n",
       "21426 2022-01-07    NEARBUSD  0.019554\n",
       "21440 2022-01-07    KP3RBUSD  0.012500\n",
       "21450 2022-01-07    ROSEBUSD  0.028188\n",
       "21451 2022-01-07     SYSBUSD  0.027954\n",
       "21480 2022-01-07     FXSBUSD  0.037543\n",
       "21593 2022-01-07        Cash  0.750000"
      ]
     },
     "execution_count": 199,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "weights.loc[weights.loc[:,\"date\"]==\"2022-01-07\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 191,
   "metadata": {},
   "outputs": [],
   "source": [
    "returns = agent_tipp[\"agent\"].rewards.loc[start_eval_date:].sum(axis=1)\n",
    "returns.iloc[0] = 0.\n",
    "statistics = stats(returns)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 192,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "{'multiplier': 9, 'floor_pct': 0.75, 'window': 180, 'w_risk_min': 0.25}"
      ]
     },
     "execution_count": 192,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "agent_tipp[\"params\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 193,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "5.529658140889462"
      ]
     },
     "execution_count": 193,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "statistics[\"Cumulative Returns\"].iloc[-1]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# TIPP"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {},
   "outputs": [
    {
     "ename": "FileNotFoundError",
     "evalue": "[Errno 2] No such file or directory: './simulation_results/tipp_hrp_riskfolio/results_tipp_hrp_riskfolio_params_0_testing_oot_final.pickle'",
     "output_type": "error",
     "traceback": [
      "\u001b[0;31m---------------------------------------------------------------------------\u001b[0m",
      "\u001b[0;31mFileNotFoundError\u001b[0m                         Traceback (most recent call last)",
      "\u001b[0;32m/tmp/ipykernel_263/769090868.py\u001b[0m in \u001b[0;36m<module>\u001b[0;34m\u001b[0m\n\u001b[0;32m----> 1\u001b[0;31m \u001b[0mhrp_agent\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mpickle\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mload\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mopen\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m\"./simulation_results/tipp_hrp_riskfolio/results_tipp_hrp_riskfolio_params_0_testing_oot_final.pickle\"\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0;34m\"rb\"\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m      2\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m      3\u001b[0m hrp_agent_0001 = pickle.load(open(\n\u001b[1;32m      4\u001b[0m     \u001b[0;34mf\"{path}/tipp_hrp_riskfolio/results_tipp_hrp_riskfolio_params_0_testing_oot_0001_final.pickle\"\u001b[0m\u001b[0;34m,\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m      5\u001b[0m     \u001b[0;34m\"rb\"\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n",
      "\u001b[0;31mFileNotFoundError\u001b[0m: [Errno 2] No such file or directory: './simulation_results/tipp_hrp_riskfolio/results_tipp_hrp_riskfolio_params_0_testing_oot_final.pickle'"
     ]
    }
   ],
   "source": [
    "hrp_agent = pickle.load(open(\"./simulation_results/tipp_hrp_riskfolio/results_tipp_hrp_riskfolio_params_0_testing_oot_final.pickle\", \"rb\"))\n",
    "\n",
    "hrp_agent_0001 = pickle.load(open(\n",
    "    f\"{path}/tipp_hrp_riskfolio/results_tipp_hrp_riskfolio_params_0_testing_oot_0001_final.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_0005 = pickle.load(open(\n",
    "    f\"{path}/tipp_hrp_riskfolio/results_tipp_hrp_riskfolio_params_0_testing_oot_0005_final.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_001 = pickle.load(open(\n",
    "    f\"{path}/tipp_hrp_riskfolio/results_tipp_hrp_riskfolio_params_0_testing_oot_001_final_w_risk_min.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_0015 = pickle.load(open(\n",
    "    f\"{path}/tipp_hrp_riskfolio/results_tipp_hrp_riskfolio_params_0_testing_oot_0015_final.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "hrp_agent_002 = pickle.load(open(\n",
    "    f\"{path}/tipp_hrp_riskfolio/results_tipp_hrp_riskfolio_params_0_testing_oot_002_final.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "\n",
    "assets_data = pickle.load(open(f\"./assets_data_testing.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 159,
   "metadata": {},
   "outputs": [],
   "source": [
    "agents = [hrp_agent,\n",
    "hrp_agent_0001,\n",
    "hrp_agent_0005,\n",
    "hrp_agent_001,\n",
    "hrp_agent_0015,\n",
    "hrp_agent_002]\n",
    "\n",
    "agents_names = [\"No Fee\", \"Fee 0.1%\", \"Fee 0.5%\", \"Fee 1%\", \"Fee 1.5%\", \"Fee 2%\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 162,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    agents, agents_names, datetime(2021,1,1), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 163,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>No Fee</th>\n",
       "      <th>Fee 0.1%</th>\n",
       "      <th>Fee 0.5%</th>\n",
       "      <th>Fee 1%</th>\n",
       "      <th>Fee 1.5%</th>\n",
       "      <th>Fee 2%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.006523</td>\n",
       "      <td>0.006445</td>\n",
       "      <td>0.006349</td>\n",
       "      <td>0.006088</td>\n",
       "      <td>0.000992</td>\n",
       "      <td>0.000957</td>\n",
       "      <td>0.001947</td>\n",
       "      <td>0.005650</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.048210</td>\n",
       "      <td>0.048073</td>\n",
       "      <td>0.047658</td>\n",
       "      <td>0.049393</td>\n",
       "      <td>0.030619</td>\n",
       "      <td>0.030267</td>\n",
       "      <td>0.041987</td>\n",
       "      <td>0.056202</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>2.585124</td>\n",
       "      <td>2.561461</td>\n",
       "      <td>2.545051</td>\n",
       "      <td>2.354927</td>\n",
       "      <td>0.619136</td>\n",
       "      <td>0.604314</td>\n",
       "      <td>0.885794</td>\n",
       "      <td>1.920805</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>3.613432</td>\n",
       "      <td>3.567651</td>\n",
       "      <td>3.506791</td>\n",
       "      <td>3.972636</td>\n",
       "      <td>0.527413</td>\n",
       "      <td>0.528664</td>\n",
       "      <td>1.151814</td>\n",
       "      <td>3.275329</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>3.000000</td>\n",
       "      <td>15.000000</td>\n",
       "      <td>15.000000</td>\n",
       "      <td>15.000000</td>\n",
       "      <td>6.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>4.565907</td>\n",
       "      <td>4.586370</td>\n",
       "      <td>4.629261</td>\n",
       "      <td>4.031332</td>\n",
       "      <td>11.287652</td>\n",
       "      <td>11.478649</td>\n",
       "      <td>0.172095</td>\n",
       "      <td>0.029035</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>41.896455</td>\n",
       "      <td>42.258527</td>\n",
       "      <td>43.184398</td>\n",
       "      <td>36.519672</td>\n",
       "      <td>187.848763</td>\n",
       "      <td>192.148993</td>\n",
       "      <td>1.710761</td>\n",
       "      <td>3.634270</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.638708</td>\n",
       "      <td>1.641172</td>\n",
       "      <td>1.828326</td>\n",
       "      <td>1.527453</td>\n",
       "      <td>0.877572</td>\n",
       "      <td>0.866219</td>\n",
       "      <td>1.197361</td>\n",
       "      <td>1.128458</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.043077</td>\n",
       "      <td>-0.043013</td>\n",
       "      <td>-0.038610</td>\n",
       "      <td>-0.046252</td>\n",
       "      <td>-0.018499</td>\n",
       "      <td>-0.018358</td>\n",
       "      <td>-0.062388</td>\n",
       "      <td>-0.081252</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.081645</td>\n",
       "      <td>-0.081782</td>\n",
       "      <td>-0.081247</td>\n",
       "      <td>-0.085246</td>\n",
       "      <td>-0.044700</td>\n",
       "      <td>-0.044328</td>\n",
       "      <td>-0.089282</td>\n",
       "      <td>-0.118780</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.578249</td>\n",
       "      <td>0.575597</td>\n",
       "      <td>0.567639</td>\n",
       "      <td>0.541114</td>\n",
       "      <td>0.535809</td>\n",
       "      <td>0.533156</td>\n",
       "      <td>0.498674</td>\n",
       "      <td>0.554377</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.416334</td>\n",
       "      <td>1.424038</td>\n",
       "      <td>1.472040</td>\n",
       "      <td>1.379713</td>\n",
       "      <td>1.059210</td>\n",
       "      <td>1.064890</td>\n",
       "      <td>1.133861</td>\n",
       "      <td>1.050714</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.020197</td>\n",
       "      <td>0.020108</td>\n",
       "      <td>0.019792</td>\n",
       "      <td>0.025222</td>\n",
       "      <td>0.009634</td>\n",
       "      <td>0.009540</td>\n",
       "      <td>0.031033</td>\n",
       "      <td>0.041531</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>7.894725</td>\n",
       "      <td>7.684171</td>\n",
       "      <td>7.459498</td>\n",
       "      <td>6.545529</td>\n",
       "      <td>1.254977</td>\n",
       "      <td>1.242991</td>\n",
       "      <td>1.496765</td>\n",
       "      <td>4.625070</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                    No Fee   Fee 0.1%   Fee 0.5%     Fee 1%  \\\n",
       "Mean Return                       0.006523   0.006445   0.006349   0.006088   \n",
       "Volatility                        0.048210   0.048073   0.047658   0.049393   \n",
       "Sharpe Ratio                      2.585124   2.561461   2.545051   2.354927   \n",
       "Max Drawdown                      3.613432   3.567651   3.506791   3.972636   \n",
       "Average Drawdown Time             3.000000   3.000000   3.000000   3.000000   \n",
       "Skewness                          4.565907   4.586370   4.629261   4.031332   \n",
       "Kurtosis                         41.896455  42.258527  43.184398  36.519672   \n",
       "Tail Ratio                        1.638708   1.641172   1.828326   1.527453   \n",
       "VaR                              -0.043077  -0.043013  -0.038610  -0.046252   \n",
       "CVaR                             -0.081645  -0.081782  -0.081247  -0.085246   \n",
       "Hit Ratio                         0.578249   0.575597   0.567639   0.541114   \n",
       "Average Win to Average Loss       1.416334   1.424038   1.472040   1.379713   \n",
       "Average Profitability per Trade   0.020197   0.020108   0.019792   0.025222   \n",
       "PnL                               7.894725   7.684171   7.459498   6.545529   \n",
       "\n",
       "                                   Fee 1.5%      Fee 2%    BTCUSDT   ETHUSDT  \n",
       "Mean Return                        0.000992    0.000957   0.001947  0.005650  \n",
       "Volatility                         0.030619    0.030267   0.041987  0.056202  \n",
       "Sharpe Ratio                       0.619136    0.604314   0.885794  1.920805  \n",
       "Max Drawdown                       0.527413    0.528664   1.151814  3.275329  \n",
       "Average Drawdown Time             15.000000   15.000000  15.000000  6.000000  \n",
       "Skewness                          11.287652   11.478649   0.172095  0.029035  \n",
       "Kurtosis                         187.848763  192.148993   1.710761  3.634270  \n",
       "Tail Ratio                         0.877572    0.866219   1.197361  1.128458  \n",
       "VaR                               -0.018499   -0.018358  -0.062388 -0.081252  \n",
       "CVaR                              -0.044700   -0.044328  -0.089282 -0.118780  \n",
       "Hit Ratio                          0.535809    0.533156   0.498674  0.554377  \n",
       "Average Win to Average Loss        1.059210    1.064890   1.133861  1.050714  \n",
       "Average Profitability per Trade    0.009634    0.009540   0.031033  0.041531  \n",
       "PnL                                1.254977    1.242991   1.496765  4.625070  "
      ]
     },
     "execution_count": 163,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "metadata": {},
   "outputs": [],
   "source": [
    "hrp_agent_001 = pickle.load(open(\n",
    "    f\"{path}/hrp_riskfolio/results_hrp_riskfolio_params_0_testing_oot_001_01_17_2022.pickle\",\n",
    "    \"rb\"\n",
    "))\n",
    "assets_data = pickle.load(open(\"./assets_data_testing.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 33,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "15"
      ]
     },
     "execution_count": 33,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "hrp_agent_001[\"params\"][\"screener\"][1].n_obs"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 28,
   "metadata": {},
   "outputs": [],
   "source": [
    "stats_df, cumulative_returns = get_agents_metrics(\n",
    "    [hrp_agent_001], [\"Fee 1%\"], datetime(2021,1,1), \n",
    "    assets_data[\"close\"].loc[:, [\"BTCUSDT\", \"ETHUSDT\"]]\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Fee 1%</th>\n",
       "      <th>BTCUSDT</th>\n",
       "      <th>ETHUSDT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>Mean Return</th>\n",
       "      <td>0.007541</td>\n",
       "      <td>0.001811</td>\n",
       "      <td>0.005438</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Volatility</th>\n",
       "      <td>0.077966</td>\n",
       "      <td>0.041767</td>\n",
       "      <td>0.055947</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Semi-Volatility</th>\n",
       "      <td>0.050350</td>\n",
       "      <td>0.026849</td>\n",
       "      <td>0.037426</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <td>1.847924</td>\n",
       "      <td>0.828581</td>\n",
       "      <td>1.857137</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Max Drawdown</th>\n",
       "      <td>10.191042</td>\n",
       "      <td>1.151814</td>\n",
       "      <td>3.275329</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Drawdown Time</th>\n",
       "      <td>4.000000</td>\n",
       "      <td>15.000000</td>\n",
       "      <td>6.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Skewness</th>\n",
       "      <td>0.789732</td>\n",
       "      <td>0.180489</td>\n",
       "      <td>0.037069</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Kurtosis</th>\n",
       "      <td>9.040619</td>\n",
       "      <td>1.750808</td>\n",
       "      <td>3.669961</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Tail Ratio</th>\n",
       "      <td>1.198114</td>\n",
       "      <td>1.196611</td>\n",
       "      <td>1.135056</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VaR</th>\n",
       "      <td>-0.106644</td>\n",
       "      <td>-0.062315</td>\n",
       "      <td>-0.080501</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CVaR</th>\n",
       "      <td>-0.151732</td>\n",
       "      <td>-0.087934</td>\n",
       "      <td>-0.116873</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Hit Ratio</th>\n",
       "      <td>0.539267</td>\n",
       "      <td>0.497382</td>\n",
       "      <td>0.554974</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Win to Average Loss</th>\n",
       "      <td>1.130308</td>\n",
       "      <td>1.130895</td>\n",
       "      <td>1.038983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Average Profitability per Trade</th>\n",
       "      <td>0.053172</td>\n",
       "      <td>0.030801</td>\n",
       "      <td>0.041295</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>PnL</th>\n",
       "      <td>5.679190</td>\n",
       "      <td>1.434105</td>\n",
       "      <td>4.378030</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                    Fee 1%    BTCUSDT   ETHUSDT\n",
       "Mean Return                       0.007541   0.001811  0.005438\n",
       "Volatility                        0.077966   0.041767  0.055947\n",
       "Semi-Volatility                   0.050350   0.026849  0.037426\n",
       "Sharpe Ratio                      1.847924   0.828581  1.857137\n",
       "Max Drawdown                     10.191042   1.151814  3.275329\n",
       "Average Drawdown Time             4.000000  15.000000  6.000000\n",
       "Skewness                          0.789732   0.180489  0.037069\n",
       "Kurtosis                          9.040619   1.750808  3.669961\n",
       "Tail Ratio                        1.198114   1.196611  1.135056\n",
       "VaR                              -0.106644  -0.062315 -0.080501\n",
       "CVaR                             -0.151732  -0.087934 -0.116873\n",
       "Hit Ratio                         0.539267   0.497382  0.554974\n",
       "Average Win to Average Loss       1.130308   1.130895  1.038983\n",
       "Average Profitability per Trade   0.053172   0.030801  0.041295\n",
       "PnL                               5.679190   1.434105  4.378030"
      ]
     },
     "execution_count": 29,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stats_df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 212,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "ATOMUSDT      0.120360\n",
       "FTMUSDT       0.075377\n",
       "RVNUSDT       0.187696\n",
       "DREPUSDT      0.063612\n",
       "LINKUPUSDT    0.050000\n",
       "NEARBUSD      0.078217\n",
       "KP3RBUSD      0.050000\n",
       "ROSEBUSD      0.112751\n",
       "SYSBUSD       0.111815\n",
       "FXSBUSD       0.150171\n",
       "Name: 2022-01-12 00:00:00, dtype: float64"
      ]
     },
     "execution_count": 212,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "weights = hrp_agent_001[\"agent\"].actions.loc[\"2022-01-12\"]\n",
    "weights[weights!=0.]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 213,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "ATOMUSDT      0.116051\n",
       "ONEUSDT       0.087557\n",
       "FTMUSDT       0.069431\n",
       "KAVAUSDT      0.195639\n",
       "LINKUPUSDT    0.050000\n",
       "CREAMBUSD     0.134077\n",
       "NEARBUSD      0.106253\n",
       "KP3RBUSD      0.050000\n",
       "ROSEBUSD      0.068951\n",
       "FXSBUSD       0.122042\n",
       "Name: 2022-01-17 00:00:00, dtype: float64"
      ]
     },
     "execution_count": 213,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "weights = hrp_agent_001[\"agent\"].actions.loc[\"2022-01-17\"]\n",
    "weights[weights!=0.]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 217,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "ATOMUSDT        38.88000\n",
       "ONEUSDT          0.31257\n",
       "FTMUSDT          2.94010\n",
       "KAVAUSDT         5.30300\n",
       "LINKUPUSDT       0.61200\n",
       "CREAMBUSD       62.30000\n",
       "NEARBUSD        17.71100\n",
       "KP3RBUSD      1571.18000\n",
       "ROSEBUSD         0.49295\n",
       "FXSBUSD         31.72200\n",
       "Name: 2022-01-17 00:00:00, dtype: float64"
      ]
     },
     "execution_count": 217,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "assets_data[\"close\"].loc[\"2022-01-17\", weights[weights!=0.].index]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Genetic TIPP HRP Agent"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "from trading_gym.utils.summary import stats"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [],
   "source": [
    "agent = pickle.load(\n",
    "    open(\n",
    "        \"./simulation_results/genetic_tipp_hrp/results_genetic_tipp_hrp_params_0_testing.pickle\", \"rb\"\n",
    "    )\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [],
   "source": [
    "returns = agent[\"agent\"].rewards.loc[\"2021-01-01\":].sum(axis=1)\n",
    "returns.iloc[0] = 0.\n",
    "statistics = stats(returns)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.07796554460333745"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "statistics[\"Cumulative Returns\"].iloc[-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "2021-01-01    0.188740\n",
       "2021-01-02    0.188740\n",
       "2021-01-03    0.188740\n",
       "2021-01-04    0.188740\n",
       "2021-01-05    0.188740\n",
       "                ...   \n",
       "2022-01-13    0.970384\n",
       "2022-01-14    0.982046\n",
       "2022-01-15    0.977376\n",
       "2022-01-16    0.974645\n",
       "2022-01-17    0.967354\n",
       "Name: Cash, Length: 382, dtype: float64"
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "agent[\"agent\"].actions.loc[\"2021-01-01\":, \"Cash\"]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# HRP + volatility screening"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "from trading_gym.utils.summary import stats"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Cumulative Return</th>\n",
       "      <th>Sharpe Ratio</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>47</th>\n",
       "      <td>2.179201</td>\n",
       "      <td>1.242919</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>45</th>\n",
       "      <td>1.981894</td>\n",
       "      <td>1.216219</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>62</th>\n",
       "      <td>1.951929</td>\n",
       "      <td>1.214236</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>61</th>\n",
       "      <td>1.865293</td>\n",
       "      <td>1.179748</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>31</th>\n",
       "      <td>1.755056</td>\n",
       "      <td>1.155177</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>22</th>\n",
       "      <td>0.254227</td>\n",
       "      <td>0.499357</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>0.222112</td>\n",
       "      <td>0.469966</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>0.163574</td>\n",
       "      <td>0.437132</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>0.044924</td>\n",
       "      <td>0.350497</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>0.018556</td>\n",
       "      <td>0.325442</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>64 rows × 2 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "    Cumulative Return  Sharpe Ratio\n",
       "47           2.179201      1.242919\n",
       "45           1.981894      1.216219\n",
       "62           1.951929      1.214236\n",
       "61           1.865293      1.179748\n",
       "31           1.755056      1.155177\n",
       "..                ...           ...\n",
       "22           0.254227      0.499357\n",
       "4            0.222112      0.469966\n",
       "7            0.163574      0.437132\n",
       "23           0.044924      0.350497\n",
       "6            0.018556      0.325442\n",
       "\n",
       "[64 rows x 2 columns]"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "agent = \"combined\"\n",
    "start_eval_date = datetime(2019,1,1)\n",
    "\n",
    "agents_statistics = []\n",
    "for i in range(64):\n",
    "    results = pickle.load(open(f\"{path}/{agent}/results_{agent}_params_{i}_training.pickle\", \"rb\"))\n",
    "    statistics = stats(results[\"agent\"].rewards.loc[start_eval_date:].sum(axis=1))\n",
    "    agents_statistics.append(\n",
    "        {\n",
    "            \"Cumulative Return\": statistics[\"Cumulative Returns\"].iloc[-1],\n",
    "            \"Sharpe Ratio\": statistics[\"Sharpe Ratio\"]*np.sqrt(365.)\n",
    "        }\n",
    "    ) \n",
    "pd.DataFrame(agents_statistics).sort_values(\"Sharpe Ratio\", ascending=False)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 34,
   "metadata": {},
   "outputs": [],
   "source": [
    "results = pickle.load(open(f\"{path}/{agent}/results_{agent}_params_47_training.pickle\", \"rb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 39,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "20"
      ]
     },
     "execution_count": 39,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "results[\"params\"][\"hrp_returns\"][\"screener\"][1].n_obs"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 48,
   "metadata": {},
   "outputs": [],
   "source": [
    "FILE_PATH = \"./simulation_results/hrp_riskfolio/results_hrp_riskfolio_params_0_testing_today.pickle\"\n",
    "pickle.dump(pickle.load(open(FILE_PATH, \"rb\"))[\"agent\"].rewards, open(\"./strategy_rewards.pickle\", \"wb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 49,
   "metadata": {},
   "outputs": [],
   "source": [
    "pickle.dump(pickle.load(open(FILE_PATH, \"rb\"))[\"agent\"].actions, open(\"./strategy_actions.pickle\", \"wb\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
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  "kernelspec": {
   "display_name": "Python 3.8.10 64-bit ('cryptotrading-5BVsWvrE': pipenv)",
   "language": "python",
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   "codemirror_mode": {
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