feat(Events): added EventFilter, EventLabeller (#186)

2026-08-20 06:18:08 +00:00 · 2022-01-26 23:22:43 +01:00
parent 1042c82333
commit 42a1bc59cb
65 changed files with 759 additions and 276571 deletions
@@ -0,0 +1,109 @@
+from .types import RawConfig, Config
+
+def get_dev_config() -> RawConfig:
+  
+    regression_models = ["Lasso"]
+    classification_models = ["LogisticRegression_two_class"]
+
+    return RawConfig(
+        primary_models_meta_labeling = False,
+        dimensionality_reduction = False,
+        n_features_to_select = 30,
+        expanding_window_base = False,
+        expanding_window_meta_labeling = False,
+        sliding_window_size_base = 380,
+        sliding_window_size_meta_labeling = 1,
+        retrain_every = 20,
+        scaler = 'minmax', # 'normalize' 'minmax' 'standardize'
+
+        assets = ['daily_only_btc'],
+        target_asset = 'BTC_USD',
+        other_assets = [],
+        exogenous_data = [],
+        load_non_target_asset= True,
+        own_features = ['level_2', 'date_days'],
+        other_features = ['single_mom'],
+        exogenous_features = ['z_score'],
+
+        primary_models = classification_models,
+        meta_labeling_models = [],
+        ensemble_model = None,
+
+        event_filter = 'none',
+        labeling = 'two_class'
+    )
+
+
+def get_default_ensemble_config() -> RawConfig:
+  
+    regression_models = ["Lasso", "KNN", "RFR"]
+    classification_models = ["LogisticRegression_two_class", "LDA", "NB", "RFC", "XGB_two_class", "LGBM", "StaticMom"]
+    meta_labeling_models = ['LogisticRegression_two_class', 'LGBM']
+    ensemble_model = 'Average'
+
+    return RawConfig(
+        primary_models_meta_labeling = True,
+        dimensionality_reduction = False,
+        n_features_to_select = 30,
+        expanding_window_base = False,
+        expanding_window_meta_labeling = True,
+        sliding_window_size_base = 380,
+        sliding_window_size_meta_labeling = 240,
+        retrain_every = 10,
+        scaler = 'minmax', # 'normalize' 'minmax' 'standardize'
+
+        assets = ['daily_crypto'],
+        target_asset = 'BTC_USD',
+        other_assets = ['daily_etf'],
+        exogenous_data = ['daily_glassnode'],
+        load_non_target_asset= True,
+        own_features = ['level_2', 'date_days', 'lags_up_to_5'],
+        other_features = ['level_2', 'lags_up_to_5'],
+        exogenous_features = ['z_score'],
+
+        primary_models = classification_models,
+        meta_labeling_models = meta_labeling_models,
+        ensemble_model = ensemble_model,
+
+        event_filter = 'cusum_vol',
+        labeling = 'two_class'
+    )
+
+
+
+def get_lightweight_ensemble_config() -> RawConfig:
+  
+    regression_models = ["Lasso", "KNN"]
+    classification_models = ['LogisticRegression_two_class', 'SVC']
+    meta_labeling_models = ['LogisticRegression_two_class', 'LGBM']
+    ensemble_model = 'Average'
+
+    return RawConfig(
+        primary_models_meta_labeling = True,
+        dimensionality_reduction = True,
+        n_features_to_select = 30,
+        expanding_window_base = False,
+        expanding_window_meta_labeling = True,
+        sliding_window_size_base = 380,
+        sliding_window_size_meta_labeling = 240,
+        retrain_every = 40,
+        scaler = 'minmax', # 'normalize' 'minmax' 'standardize'
+
+        assets = ['daily_crypto_lightweight'],
+        target_asset = 'BCH_USD',
+        other_assets = ['daily_etf'],
+        exogenous_data = ['daily_glassnode'],
+        load_non_target_asset= True,
+        own_features = ['level_2' ],
+        other_features = ['level_2'],
+        exogenous_features = ['z_score'],
+
+        primary_models = classification_models,
+        meta_labeling_models = meta_labeling_models,
+        ensemble_model = ensemble_model,
+
+        event_filter = 'none',
+        labeling = 'two_class'
+    )
+
+