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feat(Project): use SKLearn models directly, removed custom ensembling, use 5 minute data, batch inference, numba cusum filter (#192)

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* feat(Project): use 5 minute data, running training in parallel, sped up cusum filter by 10x with numba

* fix(WalkForward): inference mini-batch parallelization

* fix(WalkForward): don't use the parallel version of any of the functions

* feat(CI): download the data required

* fix(Project): 5min_crypto folder added

* fix(Evaluate): make sure we have numerical stability in returns

* feat(Models): use SKLearn models directly to enable composability

* feat(Inference): batched inference now working, added forecasting_horizon

* fix(Inference): works again

* fix(Inference)

* chore(Models): remove unused Ensemble model

* fix(Labeller): don't just forward shift returns, also take the sum of the data happened until then

* Update test.yml
This commit is contained in:
Mark Aron Szulyovszky
2022-02-17 16:36:35 +01:00
committed by GitHub
parent 5c94af8b01
commit 9d47ee942d
52 changed files with 470 additions and 628 deletions
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data_loader/collections.py
+2 -2
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@@ -10,7 +10,7 @@ __daily_crypto = ["ADA_USD", "BCH_USD", "BNB_USD", "BTC_USD", "DOT_USD", "ETC_US
__daily_crypto_lightweight = ["ADA_USD", "BCH_USD"]
__minute_crypto = ["BTC_USD", "DASH_USD", "ETC_USD", "ETH_USD", "LTC_USD", "TRX_USD", "XLM_USD", "XMR_USD"]
__5min_crypto = ["BTC_USD", "DASH_USD", "ETC_USD", "ETH_USD", "LTC_USD", "TRX_USD", "XLM_USD", "XMR_USD"]
__daily_glassnode = ['rhodl_ratio',
# 'cvdd',
@@ -45,7 +45,7 @@ data_collections = dict(
daily_crypto = transform_to_data_collection("data/daily_crypto", __daily_crypto),
daily_crypto_lightweight = transform_to_data_collection("data/daily_crypto", __daily_crypto_lightweight),
daily_etf = transform_to_data_collection("data/daily_etf", __daily_etf),
minute_crypto = transform_to_data_collection("data/minute_crypto", __minute_crypto),
fivemin_crypto = transform_to_data_collection("data/5min_crypto", __5min_crypto),
daily_glassnode =transform_to_data_collection("data/daily_glassnode", __daily_glassnode),
)