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feat(Data): add option to predict 3 classes (#79)
* feat(Data): add option to predict 3 classes * feat(Evaluation): added ability to evaluate 3 class predictions * chore(Config): set sensible config for regression models * feat(Data): added option to use balanced or imbalanced three-class data * feat(Evaluate): correctly track "no_of_samples" now that we have three classes * chore(Sweep): remove probably not useful scaler values from sweep
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@@ -26,10 +26,8 @@ def run_single_asset_trainig(
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sliding_window_size: int,
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retrain_every: int,
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scaler: Literal['normalize', 'minmax', 'standardize', 'none'],
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wandb,
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project_name:str,
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sweep:bool
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) -> tuple[pd.DataFrame, pd.DataFrame]:
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no_of_classes: Literal['two', 'three-balanced', 'three-imbalanced']
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) -> tuple[pd.DataFrame, pd.DataFrame]:
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scaler = __get_scaler(scaler)
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@@ -37,8 +35,6 @@ def run_single_asset_trainig(
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results = pd.DataFrame()
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predictions = pd.DataFrame()
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wandb_active = type(wandb) is not type(None)
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for model_name, model in models:
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model_over_time, preds = walk_forward_train_test(
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model_name=model_name,
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@@ -56,7 +52,9 @@ def run_single_asset_trainig(
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model_name = model_name,
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target_returns = target_returns,
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y_pred = preds,
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y_true = y,
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method = method,
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no_of_classes=no_of_classes
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)
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column_name = ticker_to_predict + "_" + model_name
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results[column_name] = result
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