feature(MetaLabeling): replaced previous non-functional Ensembling method with Meta-labeling method available for both lvl1 and lvl2 models (#110)

* feature(MetaLabeling): added hacky prototype

* fix(MetaLabeling): drop index until first valid X & y

* fix(MetaLabeling): transform both X & y before feature selection

* fix(MetaLabeling): got feature selection to work

* fix(MetaLabeling): correct values for meta_y

* feat(MetaLabeling): created predictions multiplied by bet sizes

* feat(Pipeline): print out averaged result

* fix(Evaluation): correctly deal with non-discretized data

* fix(Pipeline): use the right column names

* refactor(Pipeline): move out meta-labeling

* refactor(Pipeline): complete refactoring

* feat(CI): post results to PR

* fix(Pipeline): use the correct filename

* chore(Config): removed now redundant feature_selection flag

* feat(Models): added SVC

* fix(Pipeline): accidentally switched two return values

* feat(Sweep): prepared sweep_meta.yaml, moved report_results() into a separate file

* fix(Pipeline): wrong function name

* fix(Sweep): yaml + run_sweep

* fix(Sweep): typo in name

* fix(Reporting): only save averaged results

* feat(MetaLabeling): use optional meta-labeling step for every lvl1 models, before averaging

* feat(Reporting): print out sharpe improvement in meta-labeling step

* fix(Sweep): adjusted config, defaulted to good defaults

* fix(Sweep): adjusted sweep
This commit is contained in:
Mark Aron Szulyovszky
2022-01-06 16:36:45 +01:00
committed by GitHub
parent b1dcdfc09d
commit 9488e92597
20 changed files with 335 additions and 132 deletions
+2 -4
View File
@@ -6,6 +6,8 @@ metric:
goal: maximize
name: sharpe
parameters:
meta_labeling_lvl_1:
value: True
assets:
value: ['daily_crypto']
other_assets:
@@ -21,8 +23,6 @@ parameters:
value: 380
sliding_window_size_level2:
value: 1
feature_selection:
value: True
n_features_to_select:
value: 30
dimensionality_reduction:
@@ -31,8 +31,6 @@ parameters:
value: 20
scaler:
value: 'minmax'
include_original_data_in_ensemble:
value: False
method:
value: 'classification'
no_of_classes: