Add interval to results.csv

src/algorithm/algo.rs

@@ -113,7 +113,10 @@ fn backtest(
         debug!("Cross Validation {}: {}", i + 1, test_data);
         test_datas.push(test_data);
     }
-    let returns = test_datas.iter().map(|d| d.monthly_return).collect::<Vec<f64>>();
+    let returns = test_datas
+        .iter()
+        .map(|d| d.monthly_return)
+        .collect::<Vec<f64>>();
     let accuracies = test_datas.iter().map(|d| d.accuracy).collect::<Vec<f64>>();
     let median_return = returns[returns.len() / 2];
     let median_accuracy = accuracies[accuracies.len() / 2];
@@ -147,7 +150,14 @@ fn get_overall_dataset(
         .iter()
         .map(|r| {
             r.iter()
-                .map(|v| if v.is_nan() { 0.0 } else { *v })
+                .map(|v| {
+                    if v.is_nan() {
+                        debug!("Found NaN value");
+                        0.0
+                    } else {
+                        *v
+                    }
+                })
                 .collect()
         })
         .collect();

src/algorithm/mod.rs

@@ -1,3 +1,3 @@
-pub mod pls;
 pub mod algo;
-pub mod test_data;
+pub mod pls;
+pub mod test_data;

src/data/candlestick.rs

@@ -16,13 +16,12 @@ pub struct Candlestick {
 }
 
 impl Candlestick {
-
-    // Create a new Candlestick from a KlineSummary 
+    // Create a new Candlestick from a KlineSummary
     //
     // # Arguments
     //
     // * `summary` - The KlineSummary to convert to a Candlestick.
-    // 
+    //
     // # Returns
     //
     // A Result containing the Candlestick if successful, or a KryptoError if an error occurred.
@@ -33,12 +32,13 @@ impl Candlestick {
                 timestamp: summary.open_time,
             },
         )?;
-        let close_time = Utc.timestamp_millis_opt(summary.close_time).single().ok_or(
-            KryptoError::InvalidCandlestickDateTime {
+        let close_time = Utc
+            .timestamp_millis_opt(summary.close_time)
+            .single()
+            .ok_or(KryptoError::InvalidCandlestickDateTime {
                 when: When::Close,
                 timestamp: summary.close_time,
-            },
-        )?;
+            })?;
         if let Some(std::cmp::Ordering::Greater) = open_time.partial_cmp(&close_time) {
             return Err(KryptoError::OpenTimeGreaterThanCloseTime {
                 open_time: summary.open_time,
@@ -164,8 +164,14 @@ mod tests {
         };
 
         let candlestick = Candlestick::from_summary(summary).unwrap();
-        assert_eq!(candlestick.open_time, Utc.timestamp_millis_opt(1618185600000).single().unwrap());
-        assert_eq!(candlestick.close_time, Utc.timestamp_millis_opt(1618185659999).single().unwrap());
+        assert_eq!(
+            candlestick.open_time,
+            Utc.timestamp_millis_opt(1618185600000).single().unwrap()
+        );
+        assert_eq!(
+            candlestick.close_time,
+            Utc.timestamp_millis_opt(1618185659999).single().unwrap()
+        );
         assert_eq!(candlestick.open, 0.0);
         assert_eq!(candlestick.high, 0.0);
         assert_eq!(candlestick.low, 0.0);
@@ -250,4 +256,4 @@ mod tests {
             })
         );
     }
-}
+}

src/data/dataset.rs

@@ -113,7 +113,7 @@ impl IntervalData {
         self.symbol_data_map.is_empty()
     }
 
-    // Get all the technicals for all the symbols. Each row contains all the tecnhicals for each of 
+    // Get all the technicals for all the symbols. Each row contains all the tecnhicals for each of
     // the symbols at a given time.
     pub fn get_records(&self) -> Vec<Vec<f64>> {
         let mut records = Vec::new();

src/main.rs

@@ -1,7 +1,10 @@
 use core::f64;
 
 use krypto::{
-    algorithm::algo::Algorithm, config::KryptoConfig, data::{dataset::Dataset, technicals::TECHNICAL_COUNT}, error::KryptoError,
+    algorithm::algo::Algorithm,
+    config::KryptoConfig,
+    data::{dataset::Dataset, technicals::TECHNICAL_COUNT},
+    error::KryptoError,
     logging::setup_tracing,
 };
 use tracing::info;
@@ -22,8 +25,17 @@ fn run() -> Result<(), KryptoError> {
     let mut best_return = f64::NEG_INFINITY;
     let mut best_algorithm = None;
     let mut i = 0;
-    let mut csv = csv::Writer::from_path("results.csv").map_err(|e| KryptoError::CsvError(e.to_string()))?;
-    csv.write_record(["n", "depth", "ticker", "monthly_return", "accuracy"]).map_err(|e| KryptoError::CsvError(e.to_string()))?;
+    let mut csv =
+        csv::Writer::from_path("results.csv").map_err(|e| KryptoError::CsvError(e.to_string()))?;
+    csv.write_record([
+        "n",
+        "depth",
+        "ticker",
+        "monthly_return",
+        "accuracy",
+        "interval",
+    ])
+    .map_err(|e| KryptoError::CsvError(e.to_string()))?;
     for (interval, interval_data) in dataset.get_map() {
         info!("Interval: {}", interval);
         for symbol in interval_data.keys() {
@@ -45,16 +57,18 @@ fn run() -> Result<(), KryptoError> {
                         symbol.to_string(),
                         algorithm.get_monthly_return().to_string(),
                         algorithm.get_accuracy().to_string(),
-                    ]).map_err(|e| KryptoError::CsvError(e.to_string()))?;
-                    csv.flush().map_err(|e| KryptoError::CsvError(e.to_string()))?;
+                        interval.to_string(),
+                    ])
+                    .map_err(|e| KryptoError::CsvError(e.to_string()))?;
+                    csv.flush()
+                        .map_err(|e| KryptoError::CsvError(e.to_string()))?;
                     i += 1;
                     algorithms.push(algorithm);
-
                 }
             }
         }
     }
     let best_algorithm = algorithms.get(best_algorithm.unwrap());
-    info!("Best Algorithm: {}", &best_algorithm.unwrap()); 
+    info!("Best Algorithm: {}", &best_algorithm.unwrap());
     Ok(())
 }

src/util/date_utils.rs

@@ -40,4 +40,4 @@ pub fn days_between(start: NaiveDate, end: NaiveDate) -> i64 {
 
 pub fn days_between_datetime(start: DateTime<Utc>, end: DateTime<Utc>) -> i64 {
     (end - start).num_days()
-}
+}

src/util/mod.rs

@@ -1,2 +1,2 @@
 pub mod date_utils;
-pub mod matrix_utils;
+pub mod matrix_utils;