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feat(Baseline): added one-split baseline, pure sklearn (#247)

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* feat(Baseline): added sklearn_baseline

* feat(Baseline): completely working
This commit is contained in:
Mark Aron Szulyovszky
2022-03-15 18:16:12 +01:00
committed by GitHub
parent 5482e3fc95
commit 7deeb2de01
4 changed files with 81 additions and 12 deletions
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config/hashing.py
-1
View File
@@ -20,7 +20,6 @@ def hash_data_config(data_config: dict) -> str:
data_config["target_asset"].path
+ data_config["target_asset"].file_name,
data_config["load_non_target_asset"],
data_config["start_date"],
hash_feature_extractors(data_config["own_features"]),
hash_feature_extractors(data_config["other_features"]),
hash_feature_extractors(data_config["exogenous_features"]),
config/presets.py
+2 -1
View File
@@ -54,6 +54,7 @@ def get_minimal_config() -> RawConfig:
meta_models = ["LogisticRegression_two_class", "LGBM"]
return RawConfig(
start_date="2021-01-01",
dimensionality_reduction_ratio=0,
n_features_to_select=0,
initial_window_size=3800,
@@ -71,7 +72,7 @@ def get_minimal_config() -> RawConfig:
meta_models=meta_models,
event_filter="none",
event_filter_multiplier=3.5,
remove_overlapping_events=True,
remove_overlapping_events=False,
labeling="two_class",
forecasting_horizon=10,
transaction_costs=0.002,