gavindiaz/drift
1
0
Fork 0
mirror of https://github.com/webclinic017/drift.git synced 2026-08-08 00:27:50 +00:00
Code Issues Packages Projects Releases Wiki Activity

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

Browse Source 
* 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
Download Patch File Download Diff File Expand all files Collapse all files
training/walk_forward/process_transformations.py
+1 -1
View File
@@ -17,7 +17,7 @@ def walk_forward_process_transformations(
from_index: Optional[pd.Timestamp],
transformations: list[Transformation],
) -> TransformationsOverTime:
transformations_over_time = [pd.Series(index=y.index).rename(t.get_name()) for t in transformations]
transformations_over_time = [pd.Series(index=y.index, dtype='object').rename(t.get_name()) for t in transformations]
first_nonzero_return = max(get_first_valid_return_index(forward_returns), get_first_valid_return_index(X.iloc[:,0]), get_first_valid_return_index(y))
train_from = first_nonzero_return + window_size + 1 if from_index is None else X.index.to_list().index(from_index)