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fix(Config): set remove_overlapping_events=True (#246)

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* fix(Config): set remove_overlapping_events=True

* fix(Config): only use level_1 features

* feat(Config): added get_minimal_config
This commit is contained in:
Mark Aron Szulyovszky
2022-03-15 17:39:39 +01:00
committed by GitHub
parent d0c519dc5b
commit 0395715fa1
3 changed files with 45 additions and 6 deletions
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config/presets.py
+41 -2
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@@ -24,14 +24,53 @@ def get_default_config() -> RawConfig:
other_assets=[],
exogenous_data=[],
load_non_target_asset=True,
own_features=["level_2"],
own_features=["level_1"],
other_features=["z_score"],
exogenous_features=[],
directional_models=classification_models,
meta_models=meta_models,
event_filter="cusum_vol",
event_filter_multiplier=3.5,
remove_overlapping_events=False,
remove_overlapping_events=True,
labeling="two_class",
forecasting_horizon=10,
transaction_costs=0.002,
save_models=True,
ensembling_method="voting_soft",
)
def get_minimal_config() -> RawConfig:
classification_models = [
"LogisticRegression_two_class",
# "LDA",
# "NB",
# "RFC",
# "LGBM",
# "StaticMom",
]
meta_models = ["LogisticRegression_two_class", "LGBM"]
return RawConfig(
dimensionality_reduction_ratio=0,
n_features_to_select=0,
initial_window_size=3800,
retrain_every=2000,
scaler="minmax", # 'normalize' 'minmax' 'standardize' 'robust'
assets=["fivemin_crypto"],
target_asset="BTCUSDT",
other_assets=[],
exogenous_data=[],
load_non_target_asset=False,
own_features=[],
other_features=[],
exogenous_features=[],
directional_models=classification_models,
meta_models=meta_models,
event_filter="none",
event_filter_multiplier=3.5,
remove_overlapping_events=True,
labeling="two_class",
forecasting_horizon=10,
transaction_costs=0.002,