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

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Mark Aron Szulyovszky
2022-02-19 14:44:49 +01:00
parent 8dd2d88740
commit 3b9d7f554a
32 changed files with 112 additions and 24289 deletions
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training/walk_forward/process_transformations_parallel.py
+1 -8
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@@ -13,7 +13,6 @@ def walk_forward_process_transformations(
X: XDataFrame,
y: ySeries,
forward_returns: ForwardReturnSeries,
expanding_window: bool,
window_size: int,
retrain_every: int,
from_index: Optional[pd.Timestamp],
@@ -40,7 +39,6 @@ def walk_forward_process_transformations(
preprocess_transformations_window.remote(
X,
y,
expanding_window,
window_size,
transformations,
first_nonzero_return,
@@ -63,17 +61,12 @@ def walk_forward_process_transformations(
def preprocess_transformations_window(
X: XDataFrame,
y: ySeries,
expanding_window: bool,
window_size: int,
transformations: list[Transformation],
first_nonzero_return: int,
index: int,
) -> tuple[list[Transformation], int]:
train_window_start = (
X.index[first_nonzero_return]
if expanding_window
else X.index[index - window_size - 1]
)
train_window_start = X.index[first_nonzero_return]
train_window_end = X.index[index - 1]
X_expanding_window = X[train_window_start:train_window_end]