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https://github.com/webclinic017/drift.git
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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
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@@ -6,7 +6,7 @@ metric:
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goal: maximize
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name: sharpe
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parameters:
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primary_models_meta_labeling:
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directional_models_meta:
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value: True
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assets:
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value: ['daily_crypto']
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@@ -17,7 +17,7 @@ parameters:
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expanding_window_base:
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values: [True, False]
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distribution: categorical
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expanding_window_meta_labeling:
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expanding_window_meta:
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values: [True, False]
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distribution: categorical
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n_features_to_select:
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@@ -28,7 +28,7 @@ parameters:
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sliding_window_size_base:
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values: [180, 280, 380]
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distribution: categorical
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sliding_window_size_meta_labeling:
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sliding_window_size_meta:
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values: [180, 280, 380]
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distribution: categorical
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retrain_every:
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@@ -42,9 +42,9 @@ parameters:
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load_non_target_asset:
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values: [True, False]
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distribution: categorical
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primary_models:
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directional_models:
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value: ["LogisticRegression_two_class", "LDA", "KNN", "CART", "NB", "AB", "RFC", "StaticMom"]
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meta_labeling_models:
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meta_models:
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values: ["LogisticRegression_two_class", "LDA", "KNN", "CART", "NB", "AB", "RFC"]
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distribution: categorical
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own_features:
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