feature(Config): added transformation parameters to Config, removed expanding_window (it's ON now)

This commit is contained in:
Mark Aron Szulyovszky
2022-02-19 14:44:49 +01:00
parent 8dd2d88740
commit 3b9d7f554a
32 changed files with 112 additions and 24289 deletions
+14 -13
View File
@@ -5,7 +5,6 @@ from reporting.saving import load_models
from run_pipeline import run_pipeline
from config.types import Config, RawConfig
from config.presets import (
get_dev_config,
get_default_ensemble_config,
get_lightweight_ensemble_config,
)
@@ -56,24 +55,26 @@ def __inference(config: Config, pipeline_outcome: PipelineOutcome):
# 3. Train directional models
directional_training_outcome = train_directional_model(
X,
y,
forward_returns,
config,
config.directional_model,
X=X,
y=y,
forward_returns=forward_returns,
config=config,
model=config.directional_model,
transformations=config.transformations,
from_index=inference_from,
preloaded_training_step=pipeline_outcome.directional_training,
)
# 4. Run bet sizing on primary model's output
bet_sizing_outcome = bet_sizing_with_meta_model(
X,
directional_training_outcome.training.predictions,
y,
forward_returns,
config.meta_model,
config,
"meta",
X=X,
input_predictions=directional_training_outcome.training.predictions,
y=y,
forward_returns=forward_returns,
model=config.meta_model,
transformations=config.transformations,
config=config,
model_suffix="meta",
from_index=inference_from,
transformations_over_time=pipeline_outcome.bet_sizing.meta_transformations,
preloaded_models=pipeline_outcome.bet_sizing.meta_training.model_over_time,