feat(Docs): prepare for sphinx-pages (#205)

* feat(Docs): prepare for sphinx-pages

* feat(CI): added sphinx workflow

* feat(Docs): added content

* fix(CI): use the patched GH action

* fix(CI): set source dir

* chore(Docs): reorder project structure

* chore(Docs): moved index.rst one level up?

* fix(Config): restore the config file, etc.

* fix(Docs): adjusted config

.github/workflows/sphinx.yml

@@ -0,0 +1,13 @@
+on: [push]
+
+jobs:
+  build:
+    name: Sphinx Pages
+    runs-on: ubuntu-latest
+    steps:
+      - uses: toniher/sphinx-pages@patch-1
+        id: sphinx-pages
+        with:
+          github_token: ${{ secrets.GITHUB_TOKEN }}
+          create_readme: true
+          source_dir: docs

docs/Makefile

@@ -0,0 +1,20 @@
+# Minimal makefile for Sphinx documentation
+#
+
+# You can set these variables from the command line, and also
+# from the environment for the first two.
+SPHINXOPTS    ?=
+SPHINXBUILD   ?= sphinx-build
+SOURCEDIR     = content
+BUILDDIR      = _build
+
+# Put it first so that "make" without argument is like "make help".
+help:
+	@$(SPHINXBUILD) -M help "$(SOURCEDIR)" "$(BUILDDIR)" $(SPHINXOPTS) $(O)
+
+.PHONY: help Makefile
+
+# Catch-all target: route all unknown targets to Sphinx using the new
+# "make mode" option.  $(O) is meant as a shortcut for $(SPHINXOPTS).
+%: Makefile
+	@$(SPHINXBUILD) -M $@ "$(SOURCEDIR)" "$(BUILDDIR)" $(SPHINXOPTS) $(O)

docs/conf.py

@@ -0,0 +1,56 @@
+# Configuration file for the Sphinx documentation builder.
+#
+# This file only contains a selection of the most common options. For a full
+# list see the documentation:
+# https://www.sphinx-doc.org/en/master/usage/configuration.html
+
+# -- Path setup --------------------------------------------------------------
+
+# If extensions (or modules to document with autodoc) are in another directory,
+# add these directories to sys.path here. If the directory is relative to the
+# documentation root, use os.path.abspath to make it absolute, like shown here.
+#
+import os
+import sys
+sys.path.insert(0, os.path.abspath('.'))
+
+
+# -- Project information -----------------------------------------------------
+
+project = 'Drift'
+copyright = '2022, Daniel Szemerey and Mark Szulyovszky'
+author = 'Daniel Szemerey, Mark Szulyovszky'
+
+# The full version, including alpha/beta/rc tags
+release = '1.0'
+
+
+# -- General configuration ---------------------------------------------------
+
+# Add any Sphinx extension module names here, as strings. They can be
+# extensions coming with Sphinx (named 'sphinx.ext.*') or your custom
+# ones.
+extensions = ['sphinx.ext.autodoc',
+              'sphinx.ext.autosectionlabel'
+]
+
+# Add any paths that contain templates here, relative to this directory.
+templates_path = ['_templates']
+
+# List of patterns, relative to source directory, that match files and
+# directories to ignore when looking for source files.
+# This pattern also affects html_static_path and html_extra_path.
+exclude_patterns = ['_build', 'Thumbs.db', '.DS_Store', 'sphinx-env']
+
+
+# -- Options for HTML output -------------------------------------------------
+
+# The theme to use for HTML and HTML Help pages.  See the documentation for
+# a list of builtin themes.
+#
+html_theme = 'furo'
+
+# Add any paths that contain custom static files (such as style sheets) here,
+# relative to this directory. They are copied after the builtin static files,
+# so a file named "default.css" will overwrite the builtin "default.css".
+# html_static_path = ['_static']

docs/index.rst

@@ -0,0 +1,79 @@
+.. drift documentation master file, created by
+   Daniel Szemerey and Mark Szulyovszky on Wed Feb 02 14:02:22 2022.
+
+
+
+Welcome to drift's documentation!
+==================================
+
+TLDR: *Drift helps you train and make predictions on time-series data.*
+
+.. figure:: images/pipeline.png
+   :alt: Figure of Data transformation pipeline
+
+   Pipeline of the entire process.
+
+Drift is an **end-to-end***, **composable*** **modelling pipeline for financial time-series prediction**. It was designed for quantitative financial predictions.
+
+Drift was specifically engineered not to fool the user: it uses walk-forward method for analysis and makes sure no future information is introduced.
+
+Drift makes it easy to use state-of-the-art methods financial ML techniques, like the triple-barrier labeling method, ensembling models and adding bet-sizing into the mix (with meta-labeling). 
+
+Drift has two level of usage: You can simply use existing models and transformations and just provide the data and the target asset, or you can customize your own pipeline.
+
+
+
+
+
+Technical Explanation
+==================================
+
+Why Drift
+--------------------------------
+
+Machine learning on financial time series requires a fundamentally different approach compared to standard ML domains. 
+The (small amount of) data is non-stationary, extremely noisy, where the patterns frequently change, and it's extremely important to not to leak out-of-sample data into the test set.
+
+How Drift is different
+--------------------------------
+
+There are very few open-source end-to-end machine learning pipelines that can be effectively used to train and evaluate ML models on financial time series. Among them are: [qlib](https://github.com/microsoft/qlib), [AlphaPy](https://github.com/ScottfreeLLC/AlphaPy).
+
+Drift is different to them in a couple of angles:
+
+- All pre-processing steps are *online (up until a certain point),* ****so they never inject lookahead bias into the mix. (this is a major issue with finML papers)
+- Feature extraction and selection are an important, pre-built step in the pipeline. Garbage in, garbage out!
+- Evaluation is done in a [walk-forward manner](https://en.wikipedia.org/wiki/Walk_forward_optimization). We argue that that a train/validation/test split is not adequate to evaluate an ML model's performance in a non-stationary, regime changing environment. The walk-forward methodology enables us to evaluate the model's performance on almost the whole time series.
+- Training can be done in any way possible, including Combinatorial purged k-fold cross-validation. You can shuffle the past in any way you prefer, but you can never use data from the future to train the model.
+- Instead of training one model, you train tons of models **over time**, that are making predictions until they become obsolete. The walk-forward training/evaluation methodology enables "online" (ever-changing) models, that adapt to the market environment. You can specify how frequently would you like to re-train the models.
+- Ensemble-by-default: train multiple models, and average their predictions. Improves performance and adds a lot of robustness in a low signal-to-noise environment, like financial time series.
+- Bet sizing and Meta-labeling (training a model to evaluate a lower level model's prediction for each timestamp) is a built-in feature.
+
+This project is inspired partially by [Marcos Lopez de Prado's Advances in Financial Machine Learning](https://www.wiley.com/en-us/Advances+in+Financial+Machine+Learning-p-9781119482086) and [The Alpha Scientist's blogposts](https://alphascientist.com/).
+
+
+External Links
+--------------------------------
+
+For more information refer
+`here<www.python.org>`
+
+
+.. py:function:: square(x)
+
+   return the square of a function
+
+
+
+
+
+Contents
+==================================
+
+.. toctree::
+   :maxdepth: 2
+
+   setup/index
+   basic-usage/index
+   advanced-usage/index
+

docs/make.bat

@@ -0,0 +1,35 @@
+@ECHO OFF
+
+pushd %~dp0
+
+REM Command file for Sphinx documentation
+
+if "%SPHINXBUILD%" == "" (
+	set SPHINXBUILD=sphinx-build
+)
+set SOURCEDIR=.
+set BUILDDIR=_build
+
+if "%1" == "" goto help
+
+%SPHINXBUILD% >NUL 2>NUL
+if errorlevel 9009 (
+	echo.
+	echo.The 'sphinx-build' command was not found. Make sure you have Sphinx
+	echo.installed, then set the SPHINXBUILD environment variable to point
+	echo.to the full path of the 'sphinx-build' executable. Alternatively you
+	echo.may add the Sphinx directory to PATH.
+	echo.
+	echo.If you don't have Sphinx installed, grab it from
+	echo.http://sphinx-doc.org/
+	exit /b 1
+)
+
+%SPHINXBUILD% -M %1 %SOURCEDIR% %BUILDDIR% %SPHINXOPTS% %O%
+goto end
+
+:help
+%SPHINXBUILD% -M help %SOURCEDIR% %BUILDDIR% %SPHINXOPTS% %O%
+
+:end
+popd

docs/requirements.txt

@@ -0,0 +1,6 @@
+Sphinx
+sphinx_rtd_theme
+sphinx_rtd_theme_ext_color_contrast
+myst_nb
+sphinx-lesson
+furo

docs/source/advanced-usage/index.rst

@@ -0,0 +1,8 @@
+
+Advanced Usage
+==========
+
+.. toctree::
+   :maxdepth: 2
+
+   installguide

docs/source/advanced-usage/installguide.rst

@@ -0,0 +1,16 @@
+Setup and Installation
+======================
+
+Install using pip
+-----------------
+This is a sub heading to install using pip
+
+.. code-block:: python
+
+   pip install library
+
+
+.. note::
+
+   This is a note. Add your note here
+

docs/source/basic-usage/index.rst

@@ -0,0 +1,8 @@
+
+Basic Usage
+==========
+
+.. toctree::
+   :maxdepth: 2
+
+   installguide

docs/source/basic-usage/installguide.rst

@@ -0,0 +1,16 @@
+Setup and Installation
+======================
+
+Install using pip
+-----------------
+This is a sub heading to install using pip
+
+.. code-block:: python
+
+   pip install library
+
+
+.. note::
+
+   This is a note. Add your note here
+

docs/source/setup/index.rst

@@ -0,0 +1,9 @@
+
+Start Here
+==========
+
+.. toctree::
+   :maxdepth: 2
+
+   installguide
+   quick_start

docs/source/setup/installguide.rst

@@ -0,0 +1,16 @@
+Setup and Installation
+======================
+
+Install using pip
+-----------------
+This is a sub heading to install using pip
+
+.. code-block:: python
+
+   pip install library
+
+
+.. note::
+
+   This is a note. Add your note here
+

docs/source/setup/quick_start.rst

@@ -0,0 +1,16 @@
+Quick Start
+======================
+
+Install using pip
+-----------------
+This is a sub heading to install using pip
+
+.. code-block:: python
+
+   pip install library
+
+
+.. note::
+
+   This is a note. Add your note here
+

strip_action.yaml

@@ -10,4 +10,4 @@ dependencies:
   - pip:
     - black
     - libcst
-prefix: /usr/local/anaconda3/envs/strip
+prefix: /usr/local/anaconda3/envs/strip