merton.backtest.roc

ROC-curve construction.

Classes

ROCCurve

Cached ROC curve: false-positive rate, true-positive rate, thresholds.

Functions

roc_curve(→ ROCCurve)

Compute ROC curve via cumulative true/false positives.

Module Contents

class merton.backtest.roc.ROCCurve

Cached ROC curve: false-positive rate, true-positive rate, thresholds.

fpr: merton._typing.FloatArray

tpr: merton._typing.FloatArray

thresholds: merton._typing.FloatArray

auc() → float

merton.backtest.roc.roc_curve(predictions: merton._typing.ArrayLike, defaults: merton._typing.ArrayLike) → ROCCurve

Compute ROC curve via cumulative true/false positives.