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Feature: Added sweep functionality (#65)
* feat: Parametricized model selection works now. * feat: Fixed errors. Sweep generates and you can run it, but it gives an error for model.only_columns attribute. * feat: Factored the wandb management, default config managment and the model_dictionary out of the run_pipeline to a seperate file. * fix: Took out prints and fixed the mismatch of ensemble models when classifing. * fix(Models): added StaticMomentum model to the dictionary, hopefully fixed sklearn-ex RandomForestRegressor problem * fix(Dependencies): pin scikit-learn-ex's version, moved map_model_name_to_function to `models` * feat(Sweep): added `run_sweep.py` shortcut * feat(Pipeline): skip training a meta model if array is empty Co-authored-by: Mark Aron Szulyovszky <mark.szulyovszky@gmail.com>
This commit is contained in:
Daniel Szemerey
co-authored by
Mark Aron Szulyovszky
Mark Aron Szulyovszky
parent
d3d7184ea4
commit
1c1b8b2e54
+43
-128
@@ -1,115 +1,23 @@
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from sklearnex import patch_sklearn
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patch_sklearn()
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from utils.load_data import get_crypto_assets, get_etf_assets, load_data
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from utils.load_data import load_data
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import pandas as pd
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import numpy as np
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from sklearn.linear_model import LinearRegression, Lasso, BayesianRidge, LogisticRegression, Ridge
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from sklearn.tree import DecisionTreeClassifier
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from sklearn.neighbors import KNeighborsRegressor, KNeighborsClassifier
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from sklearn.discriminant_analysis import LinearDiscriminantAnalysis
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from sklearn.svm import SVR
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from sklearn.naive_bayes import GaussianNB
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from sklearn.neural_network import MLPRegressor, MLPClassifier
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from sklearn.ensemble import AdaBoostRegressor, RandomForestRegressor, ExtraTreesRegressor, AdaBoostClassifier, GradientBoostingClassifier, RandomForestClassifier, ExtraTreesClassifier
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from models.base import SKLearnModel
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from models.momentum import StaticMomentumModel
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from models.average import StaticAverageModel
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from models.naive import StaticNaiveModel
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from training.training import run_single_asset_trainig
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from utils.launch_wandb import launch_wandb, seperate_configs
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from models.model_map import map_model_name_to_function
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from default_config import get_default_config
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import feature_extractors.feature_extractor_presets as feature_extractor_presets
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from training.pipeline import run_single_asset_trainig_pipeline
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def get_config() -> tuple[dict, dict, dict]:
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training_config = dict(
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sliding_window_size = 150,
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retrain_every = 20,
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scaler = 'minmax', # 'normalize' 'minmax' 'standardize' 'none'
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include_original_data_in_ensemble = True,
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)
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data_config = dict(
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path='data/',
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all_assets = get_crypto_assets('data/'),
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load_other_assets= False,
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log_returns= True,
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forecasting_horizon = 1,
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own_features= feature_extractor_presets.date + feature_extractor_presets.level1,
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other_features= [],
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index_column= 'int',
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method= 'classification',
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)
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regression_models = [
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# ('Lasso', SKLearnModel(Lasso(alpha=0.1, max_iter=1000))),
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('Ridge', SKLearnModel(Ridge(alpha=0.1))),
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('BayesianRidge', SKLearnModel(BayesianRidge())),
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# ('KNN', SKLearnModel(KNeighborsRegressor(n_neighbors=25))),
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# ('AB', SKLearnModel(AdaBoostRegressor(random_state=1))),
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# ('LR', SKLearnModel(LinearRegression(n_jobs=-1))),
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# ('MLP', SKLearnModel(MLPRegressor(hidden_layer_sizes=(100,20), max_iter=1000))),
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# ('RF', SKLearnModel(RandomForestRegressor(n_jobs=-1))),
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# ('SVR', SKLearnModel(SVR(kernel='rbf', C=1e3, gamma=0.1)))
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]
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regression_ensemble_model = [('Ensemble - Average', StaticAverageModel())]
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# regression_ensemble_model = [('Ensemble - Ridge', SKLearnModel(Ridge(alpha=0.1)))]
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classification_models = [
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('LR', SKLearnModel(LogisticRegression(n_jobs=-1))),
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('LDA', SKLearnModel(LinearDiscriminantAnalysis())),
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('KNN', SKLearnModel(KNeighborsClassifier())),
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('CART', SKLearnModel(DecisionTreeClassifier())),
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('StaticMomentum', StaticMomentumModel(allow_short=True)),
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# ('StaticNaive', StaticNaiveModel()),
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# ('NB', SKLearnModel(GaussianNB())),
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# ('AB', SKLearnModel(AdaBoostClassifier())),
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# ('RF', SKLearnModel(RandomForestClassifier(n_jobs=-1)))
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]
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classification_ensemble_model = [('Ensemble - Average', StaticAverageModel())]
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# classification_ensemble_model = [('Ensemble - CART', SKLearnModel(DecisionTreeClassifier()))]
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model_config = dict(
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level_1_models = regression_models if data_config['method'] == 'regression' else classification_models,
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level_2_model = regression_ensemble_model if data_config['method'] == 'regression' else classification_ensemble_model,
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)
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return model_config, training_config, data_config
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def launch_wandb(config, sweep=False):
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from wandb_setup import get_wandb
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wandb = get_wandb()
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if type(wandb) == type(None):
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return None
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elif sweep:
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wandb.init(project="price-forecasting", config = config)
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return wandb
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else:
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wandb.init(project="price-forecasting", config=config, reinit=True)
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return wandb
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def run_pipeline(with_wandb: bool, sweep: bool):
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model_config, training_config, data_config = get_config()
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def setup_pipeline(project_name:str, with_wandb: bool, sweep: bool):
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model_config, training_config, data_config = get_default_config()
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wandb = None
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if with_wandb:
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wandb = launch_wandb(dict(**model_config, **training_config, **data_config), sweep)
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if type(wandb) is not type(None):
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for k in training_config: training_config[k] = wandb.config[k]
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# for k in model_config: model_config[k] = wandb.config[k]
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# for k in data_config: data_config[k] = wandb.config[k]
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pipeline(model_config, training_config, data_config, wandb)
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wandb = launch_wandb(project_name=project_name, default_config=dict(**model_config, **training_config, **data_config), sweep=sweep)
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model_config, training_config, data_config = seperate_configs(wandb, model_config, training_config, data_config)
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model_config = map_model_name_to_function(model_config, data_config['method'])
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pipeline(project_name, wandb, sweep, model_config, training_config, data_config)
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# Run pipeline
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def pipeline(model_config:dict, training_config:dict, data_config:dict, wandb):
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def pipeline(project_name:str, wandb, sweep:bool, model_config:dict, training_config:dict, data_config:dict ):
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results = pd.DataFrame()
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for asset in data_config['all_assets']:
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@@ -123,7 +31,7 @@ def pipeline(model_config:dict, training_config:dict, data_config:dict, wandb):
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X, y, target_returns = load_data(**data_params)
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# 2. Train Level-1 models
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current_result, current_predictions = run_single_asset_trainig_pipeline(
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current_result, current_predictions = run_single_asset_trainig(
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ticker_to_predict = asset,
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X = X,
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y = y,
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@@ -133,32 +41,37 @@ def pipeline(model_config:dict, training_config:dict, data_config:dict, wandb):
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sliding_window_size = training_config['sliding_window_size'],
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retrain_every = training_config['retrain_every'],
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scaler = training_config['scaler'],
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wandb = wandb
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wandb = wandb,
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project_name=project_name,
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sweep=sweep
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)
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results = pd.concat([results, current_result], axis=1)
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all_predictions = pd.concat([all_predictions, current_predictions], axis=1)
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# 3. Train Level-2 (Ensemble) model
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ensemble_X = all_predictions
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if training_config['include_original_data_in_ensemble']:
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ensemble_X = pd.concat([ensemble_X, X], axis=1)
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if len(model_config['level_2_models']) > 0:
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# 3. Train Level-2 (Ensemble) model
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ensemble_X = all_predictions
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if training_config['include_original_data_in_ensemble']:
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ensemble_X = pd.concat([ensemble_X, X], axis=1)
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ensemble_result, ensemble_preds = run_single_asset_trainig_pipeline(
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ticker_to_predict = asset,
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X = ensemble_X,
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y = y,
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target_returns = target_returns,
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models = model_config['level_2_model'],
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method = data_config['method'],
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sliding_window_size = training_config['sliding_window_size'],
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retrain_every = training_config['retrain_every'],
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scaler = training_config['scaler'],
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wandb = wandb
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)
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results = pd.concat([results, ensemble_result], axis=1)
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all_predictions = pd.concat([all_predictions, ensemble_preds], axis=1)
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ensemble_result, ensemble_preds = run_single_asset_trainig(
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ticker_to_predict = asset,
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X = ensemble_X,
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y = y,
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target_returns = target_returns,
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models = model_config['level_2_models'],
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method = data_config['method'],
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sliding_window_size = training_config['sliding_window_size'],
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retrain_every = training_config['retrain_every'],
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scaler = training_config['scaler'],
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wandb = wandb,
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project_name=project_name,
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sweep=sweep
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)
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results = pd.concat([results, ensemble_result], axis=1)
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all_predictions = pd.concat([all_predictions, ensemble_preds], axis=1)
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results.to_csv('results.csv')
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@@ -168,7 +81,9 @@ def pipeline(model_config:dict, training_config:dict, data_config:dict, wandb):
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print("Mean Sharpe ratio for Level-1 models: ", level1_columns.loc['sharpe'].mean())
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print("Mean Sharpe ratio for Level-2 (Ensemble) models: ", ensemble_columns.loc['sharpe'].mean())
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if sweep:
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if wandb.run is not None:
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wandb.finish()
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if __name__ == '__main__':
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run_pipeline(with_wandb = False, sweep = False)
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setup_pipeline(project_name='price-prediction', with_wandb = False, sweep = False)
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