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feat(Transformations): replaced feature selection pre-processing step with online version (with cache) (#170)

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* feat(Transformations): removed feature-selection pre-processing step completely

* fix(Core): removed unnecessary `original_X`

* fix(Transformations): use the X_expanding_window to transform subsequent data

* fix(RFE): should check for model correctly

* fix(Config): only re-train the model every 40 timestamp

* fix(MetaLabeling): pass in the correct X to meta-labeling step

* fix(Transformation): PCA should at least keep as many features as sliding_window_size

* feat(Transformations): cache transformations across the same asset

* fix(Tests): missing preloaded_transformations arg

* chore(Config): got rid of unnecessary 'classification_models' and 'regression_models' dictionary keys
This commit is contained in:
Mark Aron Szulyovszky
2022-01-17 11:43:51 +01:00
committed by GitHub
parent 31dc847be1
commit 6b26643ece
27 changed files with 240 additions and 278 deletions
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sweep_ensemble.yaml
+4 -4
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@@ -47,11 +47,11 @@ parameters:
primary_models:
distribution: categorical
values:
- ["LDA", "LR_two_class", "KNN", "SVC", "CART", "NB", "AB", "RFC", "XGB_two_class", "LGBM", "StaticMom"]
- ["LR_two_class", "LDA", "NB", "RFC", "XGB_two_class", "LGBM", "StaticMom"]
- ["LR_two_class", "LDA", "LGBM", "RFC", "XGB_two_class"]
- ["LDA", "LogisticRegression_two_class", "KNN", "SVC", "CART", "NB", "AB", "RFC", "XGB_two_class", "LGBM", "StaticMom"]
- ["LogisticRegression_two_class", "LDA", "NB", "RFC", "XGB_two_class", "LGBM", "StaticMom"]
- ["LogisticRegression_two_class", "LDA", "LGBM", "RFC", "XGB_two_class"]
meta_labeling_models:
value: ["LGBM", "LR_two_class"]
value: ["LGBM", "LogisticRegression_two_class"]
own_features:
value: ['date_days', 'level_2', 'lags_up_to_5']
other_features: