diff --git a/config/presets.py b/config/presets.py index ed32eb0..de81a49 100644 --- a/config/presets.py +++ b/config/presets.py @@ -23,16 +23,16 @@ def get_default_config() -> RawConfig: assets=["fivemin_crypto"], target_asset="BTCUSDT", other_assets=[], - exogenous_data=[], + exogenous_data=["daily_glassnode"], load_non_target_asset=True, - own_features=["level_1"], + own_features=["level_2"], other_features=["z_score"], - exogenous_features=[], + exogenous_features=["z_score"], directional_models=classification_models, meta_models=meta_models, event_filter="cusum_vol", event_filter_multiplier=3.5, - remove_overlapping_events=True, + remove_overlapping_events=False, labeling="two_class", forecasting_horizon=10, transaction_costs=0.002, @@ -74,7 +74,7 @@ def get_minimal_config() -> RawConfig: event_filter_multiplier=3.5, remove_overlapping_events=False, labeling="two_class", - forecasting_horizon=10, + forecasting_horizon=1, transaction_costs=0.002, save_models=True, ensembling_method="voting_soft", diff --git a/labeling/labellers/utils.py b/labeling/labellers/utils.py index e7e6754..e9d65a0 100644 --- a/labeling/labellers/utils.py +++ b/labeling/labellers/utils.py @@ -8,9 +8,7 @@ import numpy as np def create_forward_returns(series: pd.Series, period: int) -> ForwardReturnSeries: assert period > 0 indexer = pd.api.indexers.FixedForwardWindowIndexer(window_size=period) - - forward_returns = series.rolling(window=indexer).sum() - return forward_returns + return series.rolling(window=indexer).sum().shift(-1) def purge_overlapping_events(events: EventsDataFrame) -> EventsDataFrame: diff --git a/run_baseline.py b/run_baseline.py index 23377c2..53b619a 100644 --- a/run_baseline.py +++ b/run_baseline.py @@ -1,6 +1,3 @@ -from re import S -from typing import Optional - from sklearn.model_selection import train_test_split from config.types import Config, RawConfig @@ -65,5 +62,5 @@ def run_sklearn_training(config: Config): if __name__ == "__main__": run_sklearn_pipeline( - raw_config=get_minimal_config(), + raw_config=get_default_config(), )