fynance.features.metrics.accuracy

fynance.features.metrics.accuracy(y_true, y_pred, sign=True, axis=0)

Compute the accuracy of prediction.

Parameters:

y_true : np.ndarray[ndim=1 or 2, dtype]

Vector of true series.

y_pred : np.ndarray[ndim=1 or 2, dtype]

Vector of predicted series.

sign : bool, optional

• If True then check sign accuracy (default).
• Else check exact accuracy.

axis : {0, 1}, optional

Axis along wich the computation is done. Default is 0.

Returns:

float or np.ndarray[ndim=1, float]

Accuracy of prediction as float between 0 and 1.

See also

mdd, calmar, sharpe, drawdown

Notes

\[accuracy = \frac{right}{right + wrong}\]

Examples

>>> y_true = np.array([1., .5, -.5, .8, -.2])
>>> y_pred = np.array([.5, .2, -.5, .1, .0])
>>> accuracy(y_true, y_pred)
0.8
>>> accuracy(y_true, y_pred, sign=False)
0.2