Results Analysis

Overview

Merlin generates results from its optimization processes, providing detailed insights into strategy and portfolio performance.

Results Directory Structure

When running Merlin commands, results are stored in the merlin-results directory with timestamped folders:

merlin-results/
├── 2023-06-16_091234-strategy-boxcar/
└── 2023-06-17_145612-portfolio-diversified/

Each folder is named with:

• Timestamp: YYYY-MM-DD_HHMMSS
• Operation type: strategy, or portfolio
• Strategy/portfolio name

Directory Contents

Each results directory contains:

1. Configuration Files: Copies of input configuration files
2. Log Files: Detailed operation logs (merlin.log)
3. Results Data: CSV files with performance data
4. Performance Reports: Metrics and analysis files

Strategy Optimization Results

The strategy results directory contains:

• Walkforward Results: The walkforward_df.csv file contains the Strategy PnLs, features, model results and TP/SL values for each timestamp. This is the internal state of the simulation at each timestamp.

• Performance Stats files: The wf-model_pnl-vs-base.stats and wf-model_ptsl_pnl-vs-base.stats files compares the optimized strategy against the baseline (unfiltered run).

• Tearsheets: The wf-model_pnl-vs-base.html and wf-model_ptsl_pnl-vs-base.html files provides a tearsheet of the filtered and unfiltered runs with model and with PT/SL targets.