evaluate_scores: Evaluate scores vs labels (IC and hit-rate)
Description
Evaluate scores vs labels (IC and hit-rate)
Usage
evaluate_scores(
scores,
labels,
top_frac = 0.2,
method = c("spearman", "pearson")
)Value
data.table with Date, IC, hit_rate; ICIR on attr(result,"ICIR").
Arguments
- scores
Wide score panel.
- labels
Wide label panel aligned to scores.
- top_frac
fraction in the top bucket for hit-rate.
- method
"spearman" or "pearson".