Refactor(Training): new outcome types, representative pipeline steps, bet-sizing (#187)

* refactor(Training): added InferenceResult & TrainedModel types

* refactor(Pipeline): introduced TrainingOutcome, BetSizingWithMetaOutcome, etc.

* fix(Pipeline): getting it to compile

* refactor(WalkForward): separate preprocessing step

* feat(Pipeline): separate out transformations processing step

* refactor(Pipeline): use the Directional model terminology, put bet_sizing into pipeline instead of hiding it in a step

* refactor(WalkForward): moved functions to separate folder

* fix(WalkForward): use sparse array to store models, process transformations in parallel (lot faster)

* fix(Tests): and evaluation

* fix(Tests): for realz

* fix(Inference): preloading everything now, renamed primary models to directional models

* fix(BetSizing): was running transformations on the wrong data, oops

* fix(BetSizing): concatenated on the wrong axis accidentally

* fix(Reporting): able to use the new Stats type

* fix(BetSizing): renamed int column names

* fix(Portfolio): name the column properly

* fix(Reporting): rename the correct Series, lol

* fix(Inference): walk_forwad_inference() can deal with models not being aligned with the starting index

* fix(WalkForward): accidentally using the wrong index

* fix(WalkForward): use the correct indicies to fetch last model/transformations

* fix(CI): changed the name of the results
This commit is contained in:
Mark Aron Szulyovszky
2022-01-29 06:41:40 +01:00
committed by GitHub
parent 42a1bc59cb
commit 3eb3ea94e3
42 changed files with 772 additions and 736 deletions
+1 -1
View File
@@ -56,5 +56,5 @@ jobs:
env:
REPO_TOKEN: ${{ secrets.GITHUB_TOKEN }}
run: |
cat output/results_level2.csv >> report.md
cat output/results.csv >> report.md
cml-send-comment report.md