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

* 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

.github/workflows/test.yml

@@ -19,15 +19,19 @@ jobs:
         shell: bash -l {0}
         run: |
           pytest --junit-xml pytest.xml
+      - name: Download data
+        shell: bash -l {0}
+        run: |
+          python run_fetch_data_5min.py
       - name: Run pipeline
         shell: bash -l {0}
         run: |
           export RAY_DISABLE_MEMORY_MONITOR=1
           python run_pipeline.py
-      - name: Run portfolio reporting
+#       - name: Run portfolio reporting
-        shell: bash -l {0}
+#         shell: bash -l {0}
-        run: |
+#         run: |
-          python run_portfolio_reporting.py
+#           python run_portfolio_reporting.py
       - name: Run inference
         shell: bash -l {0}
         run: |

.gitignore

@@ -138,4 +138,4 @@ lightning_logs/
 results.csv
 models/saved/
 
-data/minute_crypto/**
+data/5min_crypto/**

config/preprocess.py

@@ -5,6 +5,8 @@ from models.model_map import get_model
 from data_loader.collections import data_collections
 from labeling.eventfilters_map import eventfilters_map
 from labeling.labellers_map import labellers_map
+from models.sklearn import SKLearnModel
+from sklearn.ensemble import VotingClassifier
 
 def preprocess_config(raw_config: RawConfig) -> Config:
     config_dict = vars(raw_config)
@@ -17,7 +19,6 @@ def preprocess_config(raw_config: RawConfig) -> Config:
     config_dict['no_of_classes'] = 'two'
     config_dict['mode'] = 'training'
     config = Config(**config_dict)
-    validate_config(config)
     return config
 
 def __preprocess_feature_extractors_config(data_dict: dict) -> dict:
@@ -28,10 +29,14 @@ def __preprocess_feature_extractors_config(data_dict: dict) -> dict:
         data_dict[key] = flatten([feature_extractor_presets[preset_name] for preset_name in preset_names])
     return data_dict
 
-def __preprocess_model_config(model_config:dict) -> dict:
+def __preprocess_model_config(model_config: dict) -> dict:
-    model_config['directional_models'] = [get_model(model_name) for model_name in model_config['directional_models']]
+    directional_models = [get_model(model_name) for model_name in model_config['directional_models']]
+    model_config.pop('directional_models')
+    model_config['directional_model'] = SKLearnModel(VotingClassifier([(m.name, m)for m in directional_models], voting ='soft'))
     if len(model_config['meta_models']) > 0:
-        model_config['meta_models'] = [get_model(model_name) for model_name in  model_config['meta_models']]
+        meta_models = [get_model(model_name) for model_name in model_config['meta_models']]
+        model_config['meta_model'] = SKLearnModel(VotingClassifier([(m.name, m)for m in meta_models], voting ='soft'))
+    model_config.pop('meta_models')
 
     return model_config
 
@@ -49,16 +54,9 @@ def __preprocess_event_filter_config(data_dict: dict) -> dict:
     data_dict['event_filter'] = eventfilters_map[data_dict['event_filter']]
     return data_dict
 
-def __preprocess_event_labeller_config(data_dict: dict) -> dict:
+def __preprocess_event_labeller_config(config_dict: dict) -> dict:
-    data_dict['labeling'] = labellers_map[data_dict['labeling']]
+    config_dict['labeling'] = labellers_map[config_dict['labeling']](config_dict['forecasting_horizon'])
-    return data_dict
+    return config_dict
     
 
-def validate_config(config: Config):
-    # We need to make sure there's only one output from the pipeline
-    # If meta model is there, we need more than one directional models to train
-    if len(config.meta_models) > 1: assert len(config.directional_models) > 0
-    # If there's no level-2 model, we need to have only one level-1 model
-    if len(config.meta_models) == 0: assert len(config.directional_models) == 1
-
 

config/presets.py

@@ -2,7 +2,6 @@ from .types import RawConfig, Config
 
 def get_dev_config() -> RawConfig:
   
-    regression_models = ["Lasso"]
     classification_models = ["LogisticRegression_two_class"]
 
     return RawConfig(
@@ -29,13 +28,13 @@ def get_dev_config() -> RawConfig:
         meta_models = [],
 
         event_filter = 'none',
-        labeling = 'two_class'
+        labeling = 'two_class',
+        forecasting_horizon = 100,
     )
 
 
 def get_default_ensemble_config() -> RawConfig:
   
-    regression_models = ["Lasso", "KNN", "RFR"]
     classification_models = ["LogisticRegression_two_class", "LDA", "NB", "RFC", "XGB_two_class", "LGBM", "StaticMom"]
     meta_models = ['LogisticRegression_two_class', 'LGBM']
 
@@ -63,42 +62,43 @@ def get_default_ensemble_config() -> RawConfig:
         meta_models = meta_models,
 
         event_filter = 'cusum_vol',
-        labeling = 'two_class'
+        labeling = 'two_class',
+        forecasting_horizon = 100,
     )
 
 
 
 def get_lightweight_ensemble_config() -> RawConfig:
   
-    regression_models = ["Lasso", "KNN"]
+    classification_models = ['LogisticRegression_two_class', 'LGBM']
-    classification_models = ['LogisticRegression_two_class', 'SVC']
     meta_models = ['LogisticRegression_two_class', 'LGBM']
 
     return RawConfig(
         directional_models_meta = True,
         dimensionality_reduction = True,
         n_features_to_select = 30,
-        expanding_window_base = False,
+        expanding_window_base = True,
         expanding_window_meta = True,
-        sliding_window_size_base = 380,
+        sliding_window_size_base = 3800,
-        sliding_window_size_meta = 240,
+        sliding_window_size_meta = 2400,
-        retrain_every = 40,
+        retrain_every = 1000,
         scaler = 'minmax', # 'normalize' 'minmax' 'standardize'
 
-        assets = ['daily_crypto_lightweight'],
+        assets = ['fivemin_crypto'],
-        target_asset = 'BCH_USD',
+        target_asset = 'BTC_USD',
-        other_assets = ['daily_etf'],
+        other_assets = [],
-        exogenous_data = ['daily_glassnode'],
+        exogenous_data = [],
-        load_non_target_asset= True,
+        load_non_target_asset= False,
-        own_features = ['level_2' ],
+        own_features = ['level_1'],
-        other_features = ['level_2'],
+        other_features = [],
-        exogenous_features = ['z_score'],
+        exogenous_features = [],
 
         directional_models = classification_models,
         meta_models = meta_models,
 
-        event_filter = 'none',
+        event_filter = 'cusum_fixed',
-        labeling = 'two_class'
+        labeling = 'two_class',
+        forecasting_horizon = 50,
     )
 
 

config/types.py

@@ -1,11 +1,12 @@
-from pydantic import BaseModel
+from pydantic import BaseModel, validator
 from typing import Literal, Optional
 from labeling.types import EventFilter
 from models.base import Model
 from data_loader.types import DataCollection, DataSource
 from feature_extractors.types import FeatureExtractor, ScalerTypes
 from labeling.types import EventFilter, EventLabeller
-
+from sklearn.base import BaseEstimator
+from dataclasses import dataclass
 
 # RawConfig is needed to ensure we can declare config presets here with static typing, we then convert it to Config
 class RawConfig(BaseModel):
@@ -29,12 +30,14 @@ class RawConfig(BaseModel):
     exogenous_features: list[str]
     event_filter: Literal['none', 'cusum_vol', 'cusum_fixed']
     labeling: Literal['two_class', 'three_class_balanced', 'three_class_imbalanced']
+    forecasting_horizon: int
 
     directional_models: list[str]
     meta_models: list[str]
 
 
-class Config(BaseModel):
+@dataclass
+class Config:
     directional_models_meta: bool
     dimensionality_reduction: bool
     n_features_to_select: int
@@ -55,14 +58,29 @@ class Config(BaseModel):
     exogenous_features: list[tuple[str, FeatureExtractor, list[int]]]
     event_filter: EventFilter
     labeling: EventLabeller
+    forecasting_horizon: int
     no_of_classes: Literal['two', 'three-balanced', 'three-imbalanced']
 
     mode: Literal['training', 'inference']
 
-    directional_models: list[Model]
+    directional_model: Model
-    meta_models: list[Model]
+    meta_model: Model
 
-    class Config:
+    @validator('directional_model', 'meta_model')
-        arbitrary_types_allowed = True
+    def check_model(cls, v):
+        assert isinstance(v, BaseEstimator)
+        return v
+    
+    @validator('event_filter')
+    def check_event_filter(cls, v):
+        assert isinstance(v, EventFilter)
+        return v
+
+    @validator('labeling')
+    def check_labeling(cls, v):
+        assert isinstance(v, EventLabeller)
+        return v
+    # class Config:
+    #     arbitrary_types_allowed = True
 
 

data_loader/collections.py

@@ -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),
 )
 

data_loader/load.py

@@ -14,7 +14,7 @@ cache = Cache(".cachedir/data")
 
 
 
-def load_data(**kwargs) -> tuple[XDataFrame, ReturnSeries, ForwardReturnSeries]:
+def load_data(**kwargs) -> tuple[XDataFrame, ReturnSeries]:
     hashed = hash_data_config(kwargs)
     if hashed in cache:
         return cache.get(hashed)
@@ -31,7 +31,7 @@ def __load_data(assets: DataCollection,
             own_features: list[tuple[str, FeatureExtractor, list[int]]],
             other_features: list[tuple[str, FeatureExtractor, list[int]]],
             exogenous_features: list[tuple[str, FeatureExtractor, list[int]]],
-        ) -> tuple[XDataFrame, ReturnSeries, ForwardReturnSeries]:
+        ) -> tuple[XDataFrame, ReturnSeries]:
     """
     Loads asset data from the specified path.
     Returns:
@@ -85,12 +85,8 @@ def __load_data(assets: DataCollection,
     ## Create target 
     returns = df_target_asset_only_returns[target_asset[1] + '_returns']
     returns.index = pd.DatetimeIndex(X.index)
-    forward_returns = __create_target_cum_forward_returns(returns, 1)
-    forward_returns.index = pd.DatetimeIndex(X.index)
-    # we need to null out the last forward returns row, because when doing forward-shifting, we automatically get the first row, which is definitely incorrect
-    forward_returns[forward_returns.index[-1]] = 0.
     
-    return X, returns, forward_returns 
+    return X, returns 
 
 
 @ray.remote
@@ -130,11 +126,6 @@ def __apply_feature_extractors(df: pd.DataFrame, feature_extractors: list[tuple[
     return df
 
 
-def __create_target_cum_forward_returns(series: pd.Series, period: int) -> pd.Series:
-    assert period > 0
-    return series.shift(-period).copy()
-
-
 def load_only_returns(assets: DataCollection, returns: Literal['price', 'returns']) -> pd.DataFrame:
 
     assets_future = [__load_df.remote(

environment.yml

@@ -9,8 +9,7 @@ dependencies:
   - python=3.9
   - scikit-learn-intelex=2021.4.0
   - pip:
-    - torch
+    - skorch
-    - pytorch-lightning
     - fracdiff
     - ray
     - diskcache

labeling/event_filters/cusum.py

@@ -1,8 +1,11 @@
 
 
+from numpy import float32
 from ..types import EventFilter
 from data_loader.types import ReturnSeries
 import pandas as pd
+from numba import njit
+from numba.typed import List
 
 class CUSUMVolatilityEventFilter(EventFilter):
 
@@ -11,7 +14,7 @@ class CUSUMVolatilityEventFilter(EventFilter):
 
     def get_event_start_times(self, returns: ReturnSeries) -> pd.DatetimeIndex:
 
-        rolling_vol = returns.rolling(self.vol_period).std() * 0.15
+        rolling_vol = returns.rolling(self.vol_period).std().mean()
 
         filtered_indices = []
         pos_threshold = 0
@@ -39,22 +42,28 @@ class CUSUMFixedEventFilter(EventFilter):
         self.threshold = threshold
 
     def get_event_start_times(self, returns: ReturnSeries) -> pd.DatetimeIndex:
-        filtered_indices = []
+        diffed_returns = returns.diff()
-        pos_threshold = 0
+        int_indicies = _process(List(diffed_returns.to_list()), abs(returns.mean()) * self.threshold)
-        neg_threshold = 0
-        diff = returns.diff()
-        for index in diff.index[1:]:
-            pos_threshold, neg_threshold = (
-                max(0, pos_threshold + diff.loc[index]),
-                min(0, neg_threshold + diff.loc[index]),
-            )
 
-            if neg_threshold < -self.threshold:
+        return pd.DatetimeIndex([returns.index[i] for i in int_indicies])
-                neg_threshold = 0
-                filtered_indices.append(index)
 
-            elif pos_threshold > self.threshold:
+@njit
-                pos_threshold = 0
+def _process(diffed_returns: List, threshold: float32) -> List:
-                filtered_indices.append(index)
+    pos_threshold: float32 = 0.0 # type: ignore
+    neg_threshold: float32 = 0.0 # type: ignore
+    filtered_indicies = List()
+    for index in range(1, len(diffed_returns[1:])):
+        pos_threshold, neg_threshold = ( # type: ignore
+            max(0, pos_threshold + diffed_returns[index]), # type: ignore
+            min(0, neg_threshold + diffed_returns[index]), # type: ignore
+        )
 
-        return pd.DatetimeIndex(filtered_indices)
+        if neg_threshold < -threshold:
+            neg_threshold = 0.0 # type: ignore
+            filtered_indicies.append(index)
+
+        elif pos_threshold > threshold:
+            pos_threshold = 0.0 # type: ignore
+            filtered_indicies.append(index)
+
+    return filtered_indicies

labeling/eventfilters_map.py

@@ -4,5 +4,5 @@ from .event_filters.cusum import CUSUMVolatilityEventFilter, CUSUMFixedEventFilt
 eventfilters_map = dict(
     none = NoEventFilter(),
     cusum_vol = CUSUMVolatilityEventFilter(vol_period = 20),
-    cusum_fixed = CUSUMFixedEventFilter(threshold = 0.05)
+    cusum_fixed = CUSUMFixedEventFilter(threshold = 500)
 )

labeling/labellers/fixed_time_three_class_balanced.py

@@ -1,16 +1,20 @@
-from data_loader.types import ForwardReturnSeries
+from data_loader.types import ReturnSeries, ForwardReturnSeries
 from ..types import EventLabeller, EventsDataFrame
 import pandas as pd
+from .utils import create_forward_returns
 
 class FixedTimeHorionThreeClassBalancedEventLabeller(EventLabeller):
 
     time_horizon: int
 
-    def __init__(self, time_horizon: int = 1):
+    def __init__(self, time_horizon: int):
         self.time_horizon = time_horizon
 
-    def label_events(self, event_start_times: pd.DatetimeIndex, forward_returns: ForwardReturnSeries) -> EventsDataFrame:
+    def label_events(self, event_start_times: pd.DatetimeIndex, returns: ReturnSeries) -> tuple[EventsDataFrame, ForwardReturnSeries]:
 
+        forward_returns = create_forward_returns(returns, self.time_horizon)
+        cutoff_point = returns.index[-self.time_horizon]
+        event_start_times[event_start_times < cutoff_point]
         event_candidates = forward_returns[event_start_times]
 
         def get_bins_threeway(x):
@@ -35,10 +39,10 @@ class FixedTimeHorionThreeClassBalancedEventLabeller(EventLabeller):
                 return 1
         labels = event_candidates.map(map_class_threeway)
         
-        return pd.DataFrame({
+        return (pd.DataFrame({
             'start': event_start_times,
             'end': event_start_times + pd.Timedelta(days=self.time_horizon),
             'label': labels,
             'returns': forward_returns[event_start_times]
-        })
+        }), forward_returns[event_start_times])
 

labeling/labellers/fixed_time_three_class_imbalanced.py

@@ -1,15 +1,19 @@
-from ..types import EventLabeller, EventsDataFrame, ForwardReturnSeries
+from ..types import EventLabeller, EventsDataFrame, ReturnSeries, ForwardReturnSeries
 import pandas as pd
+from .utils import create_forward_returns
 
 class FixedTimeHorionThreeClassImbalancedEventLabeller(EventLabeller):
 
     time_horizon: int
 
-    def __init__(self, time_horizon: int = 1):
+    def __init__(self, time_horizon: int):
         self.time_horizon = time_horizon
 
-    def label_events(self, event_start_times: pd.DatetimeIndex, forward_returns: ForwardReturnSeries) -> EventsDataFrame:
+    def label_events(self, event_start_times: pd.DatetimeIndex, returns: ReturnSeries) -> tuple[EventsDataFrame, ForwardReturnSeries]:
 
+        forward_returns = create_forward_returns(returns, self.time_horizon)
+        cutoff_point = returns.index[-self.time_horizon]
+        event_start_times[event_start_times < cutoff_point]
         event_candidates = forward_returns[event_start_times]
 
         def get_bins_threeway(x):
@@ -34,11 +38,11 @@ class FixedTimeHorionThreeClassImbalancedEventLabeller(EventLabeller):
                 return 1
         labels = event_candidates.map(map_class_threeway)
         
-        return pd.DataFrame({
+        return (pd.DataFrame({
             'start': event_start_times,
             'end': event_start_times + pd.Timedelta(days=self.time_horizon),
             'label': labels,
             'returns': forward_returns[event_start_times]
-        })
+        }), forward_returns[event_start_times])
 
 

labeling/labellers/fixed_time_two_class.py

@@ -1,29 +1,31 @@
-
+from ..types import EventLabeller, EventsDataFrame, ReturnSeries, ForwardReturnSeries
-
-from ..types import EventLabeller, EventsDataFrame, ForwardReturnSeries
 import pandas as pd
+from .utils import create_forward_returns
 
 class FixedTimeHorionTwoClassEventLabeller(EventLabeller):
 
     time_horizon: int
 
-    def __init__(self, time_horizon: int = 1):
+    def __init__(self, time_horizon: int):
         self.time_horizon = time_horizon
 
-    def label_events(self, event_start_times: pd.DatetimeIndex, forward_returns: ForwardReturnSeries) -> EventsDataFrame:
+    def label_events(self, event_start_times: pd.DatetimeIndex, returns: ReturnSeries) -> tuple[EventsDataFrame, ForwardReturnSeries]:
 
+        forward_returns = create_forward_returns(returns, self.time_horizon)
+        cutoff_point = returns.index[-self.time_horizon]
+        event_start_times[event_start_times < cutoff_point]
         event_candidates = forward_returns[event_start_times]
 
         def get_class_binary(x: float) -> int:
             return -1 if x <= 0.0 else 1
         labels = event_candidates.map(get_class_binary)
         
-        return pd.DataFrame({
+        return (pd.DataFrame({
             'start': event_start_times,
             'end': event_start_times + pd.Timedelta(days=self.time_horizon),
             'label': labels,
             'returns': forward_returns[event_start_times]
-        })
+        }), forward_returns[event_start_times])
 
 
 

labeling/labellers/utils.py

@@ -0,0 +1,9 @@
+import pandas as pd
+from data_loader.types import ForwardReturnSeries
+
+def create_forward_returns(series: pd.Series, period: int) -> ForwardReturnSeries:
+    assert period > 0
+    indexer = pd.api.indexers.FixedForwardWindowIndexer(window_size=period)
+    
+    forward_returns = series.rolling(window=indexer).sum()
+    return forward_returns

labeling/labellers_map.py

@@ -3,7 +3,7 @@ from .labellers.fixed_time_three_class_imbalanced import FixedTimeHorionThreeCla
 from .labellers.fixed_time_two_class import FixedTimeHorionTwoClassEventLabeller
 
 labellers_map = dict(
-    two_class = FixedTimeHorionTwoClassEventLabeller(),
+    two_class = FixedTimeHorionTwoClassEventLabeller,
-    three_class_balanced = FixedTimeHorionThreeClassBalancedEventLabeller(),
+    three_class_balanced = FixedTimeHorionThreeClassBalancedEventLabeller,
-    three_class_imbalanced = FixedTimeHorionThreeClassImbalancedEventLabeller()
+    three_class_imbalanced = FixedTimeHorionThreeClassImbalancedEventLabeller
 )

labeling/process.py

@@ -2,16 +2,18 @@ from .types import EventFilter, EventLabeller, EventsDataFrame
 from data_loader.types import ForwardReturnSeries, XDataFrame, ReturnSeries, ySeries
 
 def label_data(
-            event_filter: EventFilter,
+			event_filter: EventFilter,
-            event_labeller: EventLabeller,
+			event_labeller: EventLabeller,
-            X: XDataFrame,
+			X: XDataFrame,
-            returns: ReturnSeries,
+			returns: ReturnSeries) -> tuple[EventsDataFrame, XDataFrame, ySeries, ForwardReturnSeries]:
-            forward_returns: ForwardReturnSeries) -> tuple[EventsDataFrame, XDataFrame, ySeries, ForwardReturnSeries]:
-    event_start_times = event_filter.get_event_start_times(returns)
-    events = event_labeller.label_events(event_start_times, forward_returns)
-    
-    X = X.filter(items = events.index, axis = 0)
-    y = events['label']
-    forward_returns = events['returns']
 
-    return events, X, y, forward_returns
+	event_start_times = event_filter.get_event_start_times(returns)
+	print("| Filtered out ", (1 - (len(event_start_times) / len(returns))) * 100, "% of timestamps" )
+
+	events, forward_returns = event_labeller.label_events(event_start_times, returns)
+
+	X = X.filter(items = events.index, axis = 0)
+	y = events['label']
+	forward_returns = events['returns']
+
+	return events, X, y, forward_returns

labeling/types.py

@@ -23,6 +23,6 @@ EventsDataFrame = DataFrame[EventSchema]
 class EventLabeller(ABC):
 
     @abstractmethod
-    def label_events(self, event_start_times: pd.DatetimeIndex, forward_returns: ForwardReturnSeries) -> EventsDataFrame:
+    def label_events(self, event_start_times: pd.DatetimeIndex, returns: ReturnSeries) -> tuple[EventsDataFrame, ForwardReturnSeries]:
         raise NotImplementedError
 

models/base.py

@@ -6,10 +6,8 @@ import numpy as np
 class Model(ABC):
 
     name: str = ""
-    method: Literal["regression", "classification"]
     data_transformation: Literal["transformed", "original"]
     only_column: Optional[str]
-    model_type: Literal['ml', 'static']
     predict_window_size: Literal['single_timestamp', 'window_size']
 
     @abstractmethod
@@ -17,17 +15,10 @@ class Model(ABC):
         raise NotImplementedError
 
     @abstractmethod
-    def predict(self, X: np.ndarray) -> tuple[float, np.ndarray]:
+    def predict(self, X: np.ndarray) -> np.ndarray:
         raise NotImplementedError
 
     @abstractmethod
-    def clone(self) -> Model:
+    def predict_proba(self, X: np.ndarray) -> np.ndarray:
         raise NotImplementedError
-    
-    @abstractmethod
-    def initialize_network(self, input_dim:int, output_dim:int):
-        pass
 
-
-    
-    

models/model_map.py

@@ -3,7 +3,7 @@ from sklearnex.ensemble import RandomForestClassifier
 from sklearnex.ensemble import RandomForestRegressor
 from .base import Model
 
-default_feature_selector_classification = SKLearnModel(RandomForestClassifier(n_jobs=-1, max_depth=20, random_state=1), 'classification')
+default_feature_selector_classification = SKLearnModel(RandomForestClassifier(n_jobs=-1, max_depth=20, random_state=1))
 
 def get_model(model_name: str) -> Model:
 
@@ -11,85 +11,41 @@ def get_model(model_name: str) -> Model:
         model.name = model_name
         return model
 
-    if model_name == 'LinearRegression':
+    if model_name == 'LogisticRegression_two_class':
-        from sklearn.linear_model import LinearRegression
-        return set_name(SKLearnModel(LinearRegression(n_jobs=-1), 'regression'))
-    elif model_name == 'Lasso':
-        from sklearn.linear_model import Lasso
-        return set_name(SKLearnModel(Lasso(alpha=100, random_state=1), 'regression'))
-    elif model_name == 'Ridge':
-        from sklearn.linear_model import Ridge
-        return set_name(SKLearnModel(Ridge(alpha=0.1), 'regression'))
-    elif model_name == 'BayesianRidge':
-        from sklearn.linear_model import BayesianRidge
-        return set_name(SKLearnModel(BayesianRidge(), 'regression'))
-    elif model_name == 'KNN':
-        from sklearnex.neighbors import KNeighborsRegressor
-        return set_name(SKLearnModel(KNeighborsRegressor(n_neighbors=25), 'regression'))
-    elif model_name == 'AB':
-        from sklearn.ensemble import AdaBoostRegressor
-        return set_name(SKLearnModel(AdaBoostRegressor(random_state=1), 'regression'))
-    elif model_name == 'MLP':
-        from sklearn.neural_network import MLPRegressor
-        return set_name(SKLearnModel(MLPRegressor(hidden_layer_sizes=(100,20), max_iter=1000), 'regression'))
-    elif model_name == 'RFR':
-        return set_name(SKLearnModel(RandomForestRegressor(n_jobs=-1, max_depth=20, random_state=1), 'regression'))
-    elif model_name == 'SVR':
-        from sklearnex.svm import SVR
-        return set_name(SKLearnModel(SVR(kernel='rbf', C=1e3, gamma=0.1), 'regression'))
-    elif model_name == 'StaticNaive':
-        from models.naive import StaticNaiveModel
-        return set_name(StaticNaiveModel())
-    elif model_name == 'DNN':
-        from models.neural import LightningNeuralNetModel
-        from models.pytorch.neural_nets import MultiLayerPerceptron
-        import torch.nn.functional as F
-        return set_name(LightningNeuralNetModel(
-            MultiLayerPerceptron(
-                hidden_layers_ratio = [1.0], 
-                probabilities = False, 
-                loss_function = F.mse_loss), 
-            max_epochs=15
-        ))
-
-    elif model_name == 'LogisticRegression_two_class':
         from sklearn.linear_model import LogisticRegression
-        return set_name(SKLearnModel(LogisticRegression(C=10, random_state=1, solver='liblinear', max_iter=1000), 'classification'))
+        return set_name(SKLearnModel(LogisticRegression(C=10, random_state=1, solver='liblinear', max_iter=1000)))
     elif model_name == 'LogisticRegression_three_class':
         from sklearnex.linear_model import LogisticRegression as LogisticRegression_EX
-        return set_name(SKLearnModel(LogisticRegression_EX(C=10, random_state=1, max_iter=1000, n_jobs=-1), 'classification'))
+        return set_name(SKLearnModel(LogisticRegression_EX(C=10, random_state=1, max_iter=1000, n_jobs=-1)))
     elif model_name == 'LDA':
         from sklearn.discriminant_analysis import LinearDiscriminantAnalysis
-        return set_name(SKLearnModel(LinearDiscriminantAnalysis(), 'classification'))
+        return set_name(SKLearnModel(LinearDiscriminantAnalysis()))
     elif model_name == 'KNN':
         from sklearn.neighbors import KNeighborsClassifier
-        return set_name(SKLearnModel(KNeighborsClassifier(), 'classification'))
+        return set_name(SKLearnModel(KNeighborsClassifier()))
     elif model_name == 'CART':
         from sklearn.tree import DecisionTreeClassifier
-        return set_name(SKLearnModel(DecisionTreeClassifier(max_depth=15, random_state=1), 'classification'))
+        return set_name(SKLearnModel(DecisionTreeClassifier(max_depth=15, random_state=1)))
     elif model_name == 'NB':
         from sklearn.naive_bayes import GaussianNB
-        return set_name(SKLearnModel(GaussianNB(), 'classification'))
+        return set_name(SKLearnModel(GaussianNB()))
     elif model_name == 'AB':
         from sklearn.ensemble import AdaBoostClassifier
-        return set_name(SKLearnModel(AdaBoostClassifier(n_estimators=15), 'classification'))
+        return set_name(SKLearnModel(AdaBoostClassifier(n_estimators=15)))
     elif model_name == 'RFC':
-        return set_name(SKLearnModel(RandomForestClassifier(n_jobs=-1, max_depth=20, random_state=1), 'classification'))
+        return set_name(SKLearnModel(RandomForestClassifier(n_jobs=-1, max_depth=20, random_state=1)))
     elif model_name == 'SVC':
         from sklearn.svm import SVC
-        return set_name(SKLearnModel(SVC(kernel='rbf', C=1e3, probability=True, random_state=1), 'classification'))
+        return set_name(SKLearnModel(SVC(kernel='rbf', C=1e3, probability=True, random_state=1)))
-    elif model_name == 'XGB_two_class':
+    # elif model_name == 'XGB_two_class':
-        from xgboost import XGBClassifier
+    #     from xgboost import XGBClassifier
-        from models.xgboost import XGBoostModel
+    #     from models.xgboost import XGBoostModel
-        return set_name(XGBoostModel(XGBClassifier(n_jobs=-1, max_depth = 20, random_state=1, objective='binary:logistic', use_label_encoder= False, eval_metric='mlogloss')))
+    #     return set_name(XGBoostModel(XGBClassifier(n_jobs=-1, max_depth = 20, random_state=1, objective='binary:logistic', use_label_encoder= False, eval_metric='mlogloss')))
     elif model_name == 'LGBM':
         from lightgbm import LGBMClassifier
-        return set_name(SKLearnModel(LGBMClassifier(n_jobs=-1, max_depth=20, random_state=1), 'classification'))
+        return set_name(SKLearnModel(LGBMClassifier(n_jobs=-1, max_depth=20, random_state=1)))
     elif model_name == 'StaticMom':
         from models.momentum import StaticMomentumModel
         return set_name(StaticMomentumModel(allow_short=True))
-    elif model_name == 'Average':
-        from models.average import StaticAverageModel
-        return set_name(StaticAverageModel())
     else:
         raise Exception(f'Model {model_name} not found')

models/momentum.py

@@ -1,16 +1,15 @@
 from __future__ import annotations
-from models.base import Model
 import numpy as np
+from .base import Model
+from sklearn.base import BaseEstimator, ClassifierMixin
 
-class StaticMomentumModel(Model):
+class StaticMomentumModel(BaseEstimator, ClassifierMixin, Model):
     '''
     Model that uses only one feature: momentum. It's positive if momentum is greater than 0, otherwise it's negative.
     '''
 
-    method = 'classification'
     data_transformation = 'original'
     only_column = 'mom'
-    model_type = 'static'
     predict_window_size = 'single_timestamp'
 
     def __init__(self, allow_short: bool) -> None:
@@ -21,13 +20,10 @@ class StaticMomentumModel(Model):
         # This is a static model, it can' learn anything
         pass
 
-    def predict(self, X) -> tuple[float, np.ndarray]:
+    def predict(self, X) -> np.ndarray:
         negative_class = -1.0 if self.allow_short == True else 0.0
         prediction = 1.0 if X[-1][0] > 0 else negative_class
-        return (prediction, np.array([]))
+        return np.array(prediction)
-
+    
-    def clone(self) -> StaticMomentumModel:
+    def predict_proba(self, X) -> np.ndarray:
-        return self
+        return np.array([])
-
-    def initialize_network(self, input_dim:int, output_dim:int):
-        pass

models/naive.py

@@ -1,27 +0,0 @@
-from __future__ import annotations
-from models.base import Model
-import numpy as np
-
-class StaticNaiveModel(Model):
-    '''
-    Model that carries the last observation (from returns) to the next one, naively.
-    '''
-
-    method = 'regression'
-    data_transformation = 'original'
-    only_column = None
-    model_type = 'static'
-    predict_window_size = 'single_timestamp'
-
-    def fit(self, X: np.ndarray, y: np.ndarray) -> None:
-        # This is a static model, it can' learn anything
-        pass
-
-    def predict(self, X) -> tuple[float, np.ndarray]:
-        return (X[-1][0], np.array([]))
-
-    def clone(self) -> StaticNaiveModel:
-        return self
-
-    def initialize_network(self, input_dim:int, output_dim:int):
-        pass

models/neural.py

@@ -1,38 +0,0 @@
-from __future__ import annotations
-from models.base import Model
-import numpy as np
-from models.pytorch.pytorch_dataset import get_dataloader
-import copy
-import pytorch_lightning as pl
-
-class LightningNeuralNetModel(Model):
-
-    method = 'regression'
-    data_transformation = 'transformed'
-    only_column = None
-    model_type = 'ml'
-
-    ''' Standard lightning methods '''
-    
-    def __init__(self, model, max_epochs=5):
-        self.model = model
-        self.trainer = pl.Trainer(max_epochs=max_epochs)
-        
-    def fit(self, X: np.ndarray, y: np.ndarray) -> None:
-        train_dataloader = self.__prepare_data(X.astype(float), y.astype(float))
-        self.trainer.fit(self.model, train_dataloader)
-        
-    def predict(self, X: np.ndarray) -> tuple[float, np.ndarray]:
-        return self.model(X)
-
-    def clone(self):
-        model_copy = copy.deepcopy(self.model)
-        return LightningNeuralNetModel(model_copy)
-    
-    ''' Non-standard lightning methods '''
-    def __prepare_data(self, X:np.ndarray, y:np.ndarray):
-        dataloader = get_dataloader(X, y)
-        return dataloader
-
-    def initialize_network(self, input_dim:int, output_dim:int):
-        self.model.initialize_network(input_dim, output_dim)

models/pytorch/neural_nets.py

@@ -1,61 +0,0 @@
-import torch
-from torch import nn
-import torch.nn.functional as F
-from torch.utils.data import DataLoader, random_split
-import pytorch_lightning as pl
-import math
-import numpy as np
-
-class MultiLayerPerceptron(pl.LightningModule):
-    def __init__(self, hidden_layers_ratio: list[float] = [2.0, 2.0], probabilities: bool = False, loss_function=F.mse_loss):
-        super().__init__()
-        self.hidden_layers_ratio = hidden_layers_ratio
-        self.probabilities = probabilities
-        self.loss_function = loss_function
-        self.float()
-
-    def initialize_network(self, input_dim: int, output_dim: int) -> None:
-        self.layers = nn.ModuleList()
-        current_dim = input_dim
-
-        for hdim in self.hidden_layers_ratio:
-            hidden_layer_size = int(math.floor(current_dim * hdim))
-            self.layers.append(nn.Linear(current_dim, hidden_layer_size))
-            self.layers.append(nn.ReLU())
-            current_dim = hidden_layer_size
-
-        self.layers.append(nn.Linear(current_dim, output_dim))
-
-    def forward(self, x: torch.Tensor):
-        # in lightning, forward defines the prediction/inference actions
-        x = torch.from_numpy(x).float()
-        for layer in self.layers:
-            x = layer(x)
-
-        if self.probabilities:
-            x = F.softmax(x, dim=1)
-
-        return (x.item(), np.array([]))
-
-    def training_step(self, batch: torch.Tensor, batch_idx):
-        # training_step defined the train loop.
-        # It is independent of forward
-        x, y = batch
-        x = x.view(x.size(0), -1)
-        
-        
-        loss = 0
-        for layer in self.layers:
-            x = layer(x.float())
-
-        if self.probabilities:
-            p = F.softmax(x, dim=1)
-            loss = F.nll_loss(torch.log(p), y.float())
-
-        loss = self.loss_function(x, y.float())
-
-        return loss
-
-    def configure_optimizers(self):
-        optimizer = torch.optim.Adam(self.parameters(), lr=1e-3)
-        return optimizer

models/pytorch/pytorch_dataset.py

@@ -1,26 +0,0 @@
-import os
-import pandas as pd
-
-import torch
-from torch.utils.data import Dataset
-from torch.utils.data import DataLoader
-
-import numpy as np
-
-
-class TimeSeriesDataset(Dataset):
-    def __init__(self, X: np.ndarray, y: np.ndarray):
-        self.X = X
-        self.y = y
-
-    def __len__(self):
-        return len(self.X)
-
-    def __getitem__(self, idx):
-        return self.X[idx].astype(float), self.y[idx].astype(float)
-
-def get_dataloader(X: np.ndarray, y: np.ndarray, batch_size: int = 32, shuffle: bool = True):
-    training_data = TimeSeriesDataset(X, y)
-    train_dataloader = DataLoader(training_data, batch_size=batch_size, shuffle=shuffle)
-    
-    return train_dataloader

models/sklearn.py

@@ -1,33 +1,23 @@
 from __future__ import annotations
 from typing import Literal
-from models.base import Model
+from .base import Model
 import numpy as np
-from sklearn.base import clone
 
 
-class SKLearnModel(Model):
 
-    method: Literal["regression", "classification"]
+def SKLearnModel(instance) -> Model:
-    data_transformation = 'transformed'
-    only_column = None
-    model_type = 'ml'
-    predict_window_size = 'single_timestamp'
 
-    def __init__(self, model, method: Literal['regression', 'classification']):
+    instance.data_transformation = 'transformed'
-        self.model = model
+    instance.only_column = None
-        self.method = method
+    instance.predict_window_size = 'single_timestamp'
+    instance.name = instance.__class__.__name__
+
+    return instance
     
-    def fit(self, X: np.ndarray, y: np.ndarray) -> None:
-        self.model.fit(X, y)
 
-    def predict(self, X) -> tuple[float, np.ndarray]:
+    # def predict(self, X) -> tuple[float, np.ndarray]:
-        pred = self.model.predict(X).item()
+    #     pred = self.model.predict(X).item()
-        probability = self.model.predict_proba(X).squeeze()
+    #     probability = self.model.predict_proba(X).squeeze()
-        return (pred, probability)
+    #     return (pred, probability)
-    
+
-    def clone(self) -> SKLearnModel:
-        return SKLearnModel(clone(self.model), self.method)
-    
-    def initialize_network(self, input_dim:int, output_dim:int):
-        pass
     

models/statsmodels.py

@@ -1,31 +0,0 @@
-from __future__ import annotations
-from statsmodels.tsa.base.tsa_model import TimeSeriesModel
-from models.base import Model
-import numpy as np
-from copy import deepcopy
-
-
-class StatsModel(Model):
-
-    # This is work in progress
-    data_transformation = 'transformed'
-    only_column = None
-    model_type = 'ml'
-    predict_window_size = 'single_timestamp'
-
-    def __init__(self, model: TimeSeriesModel):
-        self.model = model
-    
-    def fit(self, X: np.ndarray, y: np.ndarray) -> None:
-        self.model.fit(X, y)
-
-    def predict(self, X) -> tuple[float, np.ndarray]:
-        pred = self.model.predict(X).item()
-        return (pred, np.array([0]))
-    
-    def clone(self) -> StatsModel:
-        return StatsModel(deepcopy(self.model))
-    
-    def initialize_network(self, input_dim:int, output_dim:int):
-        pass
-    

models/xgboost.py

@@ -1,33 +1,22 @@
-from __future__ import annotations
+# from __future__ import annotations
-from models.base import Model
+# from models.base import Model
-import numpy as np
+# import numpy as np
-from xgboost import XGBClassifier
+# from xgboost import XGBClassifier
-from sklearn.base import clone
 
-class XGBoostModel(Model):
+# class XGBoostModel(XGBClassifier):
 
-    method = 'classification'
+#     method = 'classification'
-    data_transformation = 'transformed'
+#     data_transformation = 'transformed'
-    only_column = None
+#     only_column = None
-    model_type = 'ml'
+#     predict_window_size = 'single_timestamp'
-    predict_window_size = 'single_timestamp'
-
-    def __init__(self, model: XGBClassifier):
-        self.model = model
     
-    def fit(self, X: np.ndarray, y: np.ndarray) -> None:
+#     def fit(self, X: np.ndarray, y: np.ndarray) -> None:
-        def map_to_xgb(y): return np.array([1 if i == 1 else 0 for i in y])
+#         def map_to_xgb(y): return np.array([1 if i == 1 else 0 for i in y])
-        self.model.fit(X, map_to_xgb(y))
+#         self.fit(X, map_to_xgb(y))
+
+#     def predict(self, X) -> tuple[float, np.ndarray]:
+#         pred = self.predict(X).item()
+#         probability = self.predict_proba(X).squeeze()
+#         def map_from_xgb(y): return 1 if y == 1 else -1
+#         return (map_from_xgb(pred), probability)
 
-    def predict(self, X) -> tuple[float, np.ndarray]:
-        pred = self.model.predict(X).item()
-        probability = self.model.predict_proba(X).squeeze()
-        def map_from_xgb(y): return 1 if y == 1 else -1
-        return (map_from_xgb(pred), probability)
-    
-    def clone(self) -> XGBoostModel:
-        return XGBoostModel(clone(self.model))
-    
-    def initialize_network(self, input_dim:int, output_dim:int):
-        pass
-    

mycodemod/replace_functions.py

@@ -22,7 +22,7 @@ class ReplaceFunctionCommand(VisitorBasedCodemodCommand):
 
     def leave_FunctionDef(self, original_node: cst.FunctionDef, updated_node: cst.FunctionDef) -> cst.FunctionDef:
         functions_docstring = updated_node.get_docstring()
-        docstring_should_be = '"""No docstring here yet."""'
+        docstring_should_be = ''
         if functions_docstring is not None:
             docstring_should_be = '"""\n{}\n\n"""'.format(functions_docstring)
 

reporting/reporting.py

@@ -4,7 +4,7 @@ from utils.helpers import weighted_average
 from config.types import Config 
 from training.types import WeightsSeries, Stats
 
-def report_results(directional_stats: list[Stats], output_stats: Stats, output_weights: WeightsSeries, config: Config, wandb, sweep: bool):
+def report_results(directional_stats: Stats, output_stats: Stats, output_weights: WeightsSeries, config: Config, wandb, sweep: bool):
 
     # Only send the results of the final model to wandb
     send_report_to_wandb(output_stats, wandb)
@@ -13,18 +13,16 @@ def report_results(directional_stats: list[Stats], output_stats: Stats, output_w
     output_weights.rename(config.target_asset[1]).to_csv('output/predictions.csv')
 
     print("\n--------\n")
-    directional_avg_stats = weighted_average(pd.concat([pd.Series(stat) for stat in directional_stats], axis = 1), 'no_of_samples')
 
     print("Benchmark buy-and-hold sharpe: ", output_stats['benchmark_sharpe'])
 
-    print("Level-1: Number of samples evaluated: ", directional_avg_stats.loc['no_of_samples'].sum())
+    print("Level-1: Number of samples evaluated: ", directional_stats['no_of_samples'])
-    print("Mean Sharpe ratio for Level-1 models: ", round(directional_avg_stats.loc['sharpe'], 3))
+    print("Mean Sharpe ratio for Level-1 models: ", round(directional_stats['sharpe'], 3))
-    print("Mean Probabilistic Sharpe ratio for Level-1 models: ", round(directional_avg_stats.loc['prob_sharpe'].mean(), 3))
+    print("Mean Probabilistic Sharpe ratio for Level-1 models: ", round(directional_stats['prob_sharpe'], 3))
 
-    if len(config.meta_models) > 0: 
+    print("Level-2 (Ensemble): Number of samples evaluated: ", output_stats['no_of_samples'])
-        print("Level-2 (Ensemble): Number of samples evaluated: ", output_stats['no_of_samples'])
+    print("Mean Sharpe ratio for Level-2 (Ensemble) models: ", output_stats['sharpe'])
-        print("Mean Sharpe ratio for Level-2 (Ensemble) models: ", output_stats['sharpe'])
+    print("Mean Probabilistic Sharpe ratio for Level-2 (Ensemble) models: ", output_stats['prob_sharpe'])
-        print("Mean Probabilistic Sharpe ratio for Level-2 (Ensemble) models: ", output_stats['prob_sharpe'])
 
     if sweep:
         if wandb.run is not None:

run_fetch_data_5min.py

@@ -2,6 +2,7 @@ import pandas as pd
 import ssl
 from tqdm import tqdm
 from data_loader.utils import deduplicate_indexes
+from utils.resample import resample_ohlc
 
 base_url = "https://www.cryptodatadownload.com/cdd/"
 
@@ -27,6 +28,10 @@ for file in tqdm(files_to_download):
     data.drop(volume_column_to_delete + ['symbol'], axis=1, inplace=True)
     data.rename({'Volume USD': 'volume'}, axis=1, inplace=True)
     data.index.rename('time', inplace=True)
-    target_file = file.split('_')[1].replace('USD', '') + '_USD'
+    data.sort_index(inplace=True)
     data = deduplicate_indexes(data)
-    data.to_csv(f"data/minute_crypto/{target_file}.csv")
+    data.index = pd.to_datetime(data.index)
+    data = data.resample('1Min').ffill()
+    data = resample_ohlc(data, '5Min')
+    target_file = file.split('_')[1].replace('USD', '') + '_USD'
+    data.to_csv(f"data/5min_crypto/{target_file}.csv")

run_inference.py

@@ -8,9 +8,8 @@ from config.presets import get_dev_config, get_default_ensemble_config, get_ligh
 from labeling.process import label_data
 import pandas as pd
 
-from training.directional_training import train_directional_models
+from training.directional_training import train_directional_model
-from training.bet_sizing import bet_sizing_with_meta_models
+from training.bet_sizing import bet_sizing_with_meta_model
-from training.ensemble import ensemble_weights
 from training.types import PipelineOutcome
 
 def run_inference(preload_models:bool, fallback_raw_config: RawConfig):
@@ -26,7 +25,7 @@ def run_inference(preload_models:bool, fallback_raw_config: RawConfig):
 def __inference(config: Config, pipeline_outcome: PipelineOutcome):
     
     # 1. Load data, check for validity and process data
-    X, returns, forward_returns = load_data(
+    X, returns = load_data(
         assets = config.assets,
         other_assets = config.other_assets,
         exogenous_data = config.exogenous_data,
@@ -38,26 +37,18 @@ def __inference(config: Config, pipeline_outcome: PipelineOutcome):
     )
     assert check_data(X, config) == True, "Data is not valid. Cancelling Inference." 
 
-    events, X, y, forward_returns = label_data(config.event_filter, config.labeling, X, returns, forward_returns)
+    # 2. Filter for significant events when we want to trade, and label data
+    events, X, y, forward_returns = label_data(config.event_filter, config.labeling, X, returns)
 
     inference_from: pd.Timestamp = X.index[len(X.index) - 1]
 
-    # 2. Filter for significant events when we want to trade, and label data
-    events, X, y, forward_returns = label_data(config.event_filter, config.labeling, X, returns, forward_returns)
-
     # 3. Train directional models
-    directional_training_outcome = train_directional_models(X, y, forward_returns, config, config.directional_models, from_index = inference_from, preloaded_training_step = pipeline_outcome.directional_training)
+    directional_training_outcome = train_directional_model(X, y, forward_returns, config, config.directional_model, from_index = inference_from, preloaded_training_step = pipeline_outcome.directional_training)
     
     # 4. Run bet sizing on primary model's output
-    bet_sizing_outcomes = [bet_sizing_with_meta_models(X, training_outcome.predictions, y, forward_returns, config.meta_models, config, 'meta', from_index = inference_from, transformations_over_time = preloaded_outcome.meta_transformations, preloaded_models = [b.model_over_time for b in preloaded_outcome.meta_training]) for training_outcome, preloaded_outcome in zip(directional_training_outcome.training, pipeline_outcome.bet_sizing)]
+    bet_sizing_outcome = bet_sizing_with_meta_model(X, directional_training_outcome.training.predictions, y, forward_returns, config.meta_model, config, 'meta', from_index = inference_from, transformations_over_time = pipeline_outcome.bet_sizing.meta_transformations, preloaded_models = pipeline_outcome.bet_sizing.meta_training.model_over_time)
 
-    # 4. Ensemble weights
+    return PipelineOutcome(directional_training_outcome, bet_sizing_outcome)
-    ensemble_outcome = ensemble_weights([o.weights for o in bet_sizing_outcomes], forward_returns, y, config.no_of_classes, config.mode == 'training')
-
-    # 5. (Optional) Additional bet sizing on top of the ensembled weights
-    ensemble_bet_sizing_outcome = bet_sizing_with_meta_models(X, ensemble_outcome.weights, y, forward_returns, config.meta_models, config, 'ensemble', from_index = inference_from, transformations_over_time = pipeline_outcome.secondary_bet_sizing.meta_transformations, preloaded_models= [b.model_over_time for b in pipeline_outcome.secondary_bet_sizing.meta_training]) if len(config.meta_models) > 0 else None
-    
-    return PipelineOutcome(directional_training_outcome, bet_sizing_outcomes, ensemble_outcome, ensemble_bet_sizing_outcome)
 
 
 if __name__ == '__main__':

run_pipeline.py

@@ -1,7 +1,7 @@
 from typing import Optional
 
 from config.types import Config, RawConfig
-from config.preprocess import preprocess_config, validate_config
+from config.preprocess import preprocess_config
 from config.presets import get_default_ensemble_config, get_lightweight_ensemble_config
 
 from data_loader.load import load_data
@@ -13,9 +13,8 @@ from reporting.wandb import launch_wandb, override_config_with_wandb_values
 from reporting.reporting import report_results
 from reporting.saving import save_models
 
-from training.directional_training import train_directional_models
+from training.directional_training import train_directional_model
-from training.bet_sizing import bet_sizing_with_meta_models
+from training.bet_sizing import bet_sizing_with_meta_model
-from training.ensemble import ensemble_weights
 from training.types import PipelineOutcome
 
 import ray
@@ -25,7 +24,7 @@ ray.init()
 def run_pipeline(project_name:str, with_wandb: bool, sweep: bool, raw_config: RawConfig) -> tuple[PipelineOutcome, Config]:
     wandb, config = __setup_config(project_name, with_wandb, sweep, raw_config)
     pipeline_outcome = __run_training(config) 
-    report_results([s.stats for s in pipeline_outcome.directional_training.training], pipeline_outcome.get_output_stats(), pipeline_outcome.get_output_weights(), config, wandb, sweep)
+    report_results(pipeline_outcome.directional_training.training.stats, pipeline_outcome.get_output_stats(), pipeline_outcome.get_output_weights(), config, wandb, sweep)
     save_models(pipeline_outcome, config)
     return pipeline_outcome, config
     
@@ -42,11 +41,9 @@ def __setup_config(project_name:str, with_wandb: bool, sweep: bool, raw_config:
 
 
 def __run_training(config: Config) -> PipelineOutcome:
-
-    validate_config(config)
     
-    # 1. Load data, check for validity
+    print("---> Load data, check for validity")
-    X, returns, forward_returns = load_data(
+    X, returns = load_data(
         assets = config.assets,
         other_assets = config.other_assets,
         exogenous_data = config.exogenous_data,
@@ -59,22 +56,16 @@ def __run_training(config: Config) -> PipelineOutcome:
 
     assert check_data(X, config) == True, "Data is not valid." 
 
-    # 2. Filter for significant events when we want to trade, and label data
+    print("---> Filter for significant events when we want to trade, and label data")
-    events, X, y, forward_returns = label_data(config.event_filter, config.labeling, X, returns, forward_returns)
+    events, X, y, forward_returns = label_data(config.event_filter, config.labeling, X, returns)
 
-    # 3. Train directional models
+    print("---> Train directional models")
-    directional_training_outcome = train_directional_models(X, y, forward_returns, config, config.directional_models, from_index = None, preloaded_training_step = None)
+    directional_training_outcome = train_directional_model(X, y, forward_returns, config, config.directional_model, from_index = None, preloaded_training_step = None)
     
-    # 4. Run bet sizing on primary model's output
+    print("---> Run bet sizing on directional model's output")
-    bet_sizing_outcomes = [bet_sizing_with_meta_models(X, outcome.predictions, y, forward_returns, config.meta_models, config, 'meta', None, None, None) for outcome in directional_training_outcome.training]
+    bet_sizing_outcomes = bet_sizing_with_meta_model(X, directional_training_outcome.training.predictions, y, forward_returns, config.meta_model, config, 'meta', None, None, None)
 
-    # 4. Ensemble weights
+    return PipelineOutcome(directional_training_outcome, bet_sizing_outcomes)
-    ensemble_outcome = ensemble_weights([o.weights for o in bet_sizing_outcomes], forward_returns, y, config.no_of_classes, config.mode == 'training')
-
-    # 5. (Optional) Additional bet sizing on top of the ensembled weights
-    ensemble_bet_sizing_outcome = bet_sizing_with_meta_models(X, ensemble_outcome.weights, y, forward_returns, config.meta_models, config, 'ensemble', None, None, None) if len(config.meta_models) > 0 else None
-    
-    return PipelineOutcome(directional_training_outcome, bet_sizing_outcomes, ensemble_outcome, ensemble_bet_sizing_outcome)
     
 if __name__ == '__main__':
-    run_pipeline(project_name='price-prediction', with_wandb = False, sweep = False, raw_config=get_default_ensemble_config())
+    run_pipeline(project_name='price-prediction', with_wandb = False, sweep = False, raw_config=get_lightweight_ensemble_config())

tests/test_evaluation.py

@@ -4,6 +4,7 @@ import pandas as pd
 from training.walk_forward import walk_forward_train, walk_forward_inference
 from models.base import Model
 from utils.evaluate import evaluate_predictions
+from sklearn.base import BaseEstimator, ClassifierMixin
 
 no_of_rows = 100
 
@@ -29,7 +30,8 @@ def __generate_even_odd_test_data(no_of_rows) -> tuple[pd.DataFrame, pd.Series]:
 
     return X, y
 
-class EvenOddStubModel(Model):
+
+class EvenOddStubModel(BaseEstimator, ClassifierMixin, Model):
     '''
     A deteministic model that can predict the future with 100% accuracy
     It verifies that the X[n][any_column] == 1 if n is even,
@@ -49,14 +51,10 @@ class EvenOddStubModel(Model):
             assert y[i] == -1 if X[i][0] == 1 else 1
 
     def predict(self, X):
-        return (-1 if X[0][0] == 1 else 1, np.array([]))
+        return np.array([-1 if row[0] == 1 else 1 for row in X])
 
-    def clone(self):
+    def predict_proba(self, X):
-        return self
+        return np.array([[row[0] + 1, 0] for row in X])
-
-
-    def initialize_network(self, input_dim: int, output_dim: int):
-        pass
 
 
 def test_evaluation():

tests/test_walk_forward.py

@@ -2,6 +2,7 @@ import numpy as np
 import pandas as pd
 from training.walk_forward import walk_forward_train, walk_forward_inference
 from models.base import Model
+from sklearn.base import BaseEstimator, ClassifierMixin
 
 no_of_rows = 100
 
@@ -27,7 +28,7 @@ def __generate_incremental_test_data(no_of_rows) -> tuple[pd.DataFrame, pd.Serie
 
 
 
-class IncrementingStubModel(Model):
+class IncrementingStubModel(Model, BaseEstimator, ClassifierMixin):
     '''
     A deteministic model that can predict the future with 100% accuracy
     It verifies that the X[n][any_column]+1 == y[n]
@@ -48,13 +49,10 @@ class IncrementingStubModel(Model):
             assert X[i][0] + 1 == y[i]
 
     def predict(self, X):
-        return (X[0][0] + 1, np.array([]))
+        return np.array([row[0] + 1 for row in X])
 
-    def clone(self):
+    def predict_proba(self, X):
-        return self
+        return np.array([[row[0] + 1, 0] for row in X])
-    
-    def initialize_network(self, input_dim: int, output_dim: int):
-        pass
     
 def test_walk_forward_train_test():
     X, y = __generate_incremental_test_data(no_of_rows)

training/bet_sizing.py

@@ -1,7 +1,7 @@
 from data_loader.types import ForwardReturnSeries, XDataFrame, ySeries
 from utils.evaluate import discretize_threeway_threshold, evaluate_predictions
 from utils.helpers import equal_except_nan
-from .train_model import train_models
+from .train_model import train_model
 import pandas as pd
 from models.base import Model
 from models.model_map import default_feature_selector_classification
@@ -13,17 +13,17 @@ from transformations.scaler import get_scaler
 from transformations.rfe import RFETransformation
 from transformations.pca import PCATransformation
 
-def bet_sizing_with_meta_models(
+def bet_sizing_with_meta_model(
                             X: XDataFrame,
                             input_predictions: pd.Series,
                             y: ySeries,
                             forward_returns: ForwardReturnSeries,
-                            models: list[Model],
+                            model: Model,
                             config: Config,
                             model_suffix: str,
                             from_index: Optional[pd.Timestamp],
                             transformations_over_time: Optional[TransformationsOverTime] = None,
-                            preloaded_models: Optional[list[ModelOverTime]] = None
+                            preloaded_models: Optional[ModelOverTime] = None
                         ) -> BetSizingWithMetaOutcome:
 
     input_predictions.name = "model_predictions"
@@ -50,12 +50,12 @@ def bet_sizing_with_meta_models(
             ],
         )
 
-    meta_outcomes = train_models(
+    meta_outcome = train_model(
         ticker_to_predict = "prediction_correct",
         X = meta_X,
         y = meta_y,
         forward_returns = forward_returns,
-        models = models,
+        model = model,
         expanding_window = config.expanding_window_meta,
         sliding_window_size = config.sliding_window_size_meta,
         retrain_every = config.retrain_every,
@@ -64,16 +64,11 @@ def bet_sizing_with_meta_models(
         level = 'meta',
         output_stats = config.mode == 'training',
         transformations_over_time = transformations_over_time,
-        models_over_time = preloaded_models,
+        model_over_time = preloaded_models,
     )
 
-    # Ensemble predictions if necessary
+    meta_predictions = meta_outcome.predictions
-    if len(models) > 1:
+    bet_size = meta_outcome.probabilities.iloc[:,1]
-        meta_predictions = pd.concat([outcome.predictions for outcome in meta_outcomes], axis = 1).mean(axis = 1).apply(discretize_threeway_threshold(0.5))
-        bet_size = pd.concat([outcome.probabilities[outcome.probabilities.columns[1::2]] for outcome in meta_outcomes], axis = 1).mean(axis = 1)
-    else:
-        meta_predictions = meta_outcomes[0].predictions
-        bet_size = meta_outcomes[0].probabilities.iloc[:,1]
     avg_predictions_with_sizing = input_predictions * meta_predictions * bet_size
 
     if config.mode == 'training':
@@ -89,4 +84,4 @@ def bet_sizing_with_meta_models(
         stats = None
     model_id = "model_" + config.target_asset[1] + "_" + model_suffix
 
-    return BetSizingWithMetaOutcome(model_id, meta_outcomes, transformations_over_time, avg_predictions_with_sizing, stats)
+    return BetSizingWithMetaOutcome(model_id, meta_outcome, transformations_over_time, avg_predictions_with_sizing, stats)

training/directional_training.py

@@ -13,12 +13,12 @@ from transformations.scaler import get_scaler
 from transformations.rfe import RFETransformation
 from transformations.pca import PCATransformation
 
-def train_directional_models(
+def train_directional_model(
                 X: pd.DataFrame,
                 y: pd.Series,
                 forward_returns: pd.Series,
                 config: Config,
-                models: list[Model],
+                model: Model,
                 from_index: Optional[pd.Timestamp],
                 preloaded_training_step: Optional[DirectionalTrainingOutcome] = None,
             ) -> DirectionalTrainingOutcome:
@@ -42,12 +42,7 @@ def train_directional_models(
     else:
         transformations_over_time = preloaded_training_step.transformations
 
-    def print_stats(outcome: TrainingOutcome) -> TrainingOutcome:
+    training_outcome = train_model(
-        if config.mode == 'training':
-            print(outcome.stats)
-        return outcome
-
-    training_outcomes = [print_stats(train_model(
         ticker_to_predict = config.target_asset[1],
         X = X,
         y = y,
@@ -55,13 +50,16 @@ def train_directional_models(
         model = model,
         expanding_window = config.expanding_window_base,
         sliding_window_size = config.sliding_window_size_base,
-        retrain_every =  config.retrain_every,
+        retrain_every = config.retrain_every,
         from_index = from_index,
         no_of_classes = config.no_of_classes,
         level = 'primary',
         output_stats= config.mode == 'training',
         transformations_over_time = transformations_over_time,
-        model_over_time = preloaded_training_step.training[index].model_over_time if preloaded_training_step else None
+        model_over_time = preloaded_training_step.training.model_over_time if preloaded_training_step else None
-    )) for index, model in enumerate(models)]
+    )
-    return DirectionalTrainingOutcome(training_outcomes, transformations_over_time)
+    if config.mode == 'training':
+        print(training_outcome.stats)
+
+    return DirectionalTrainingOutcome(training_outcome, transformations_over_time)
 

training/ensemble.py

@@ -1,26 +0,0 @@
-from .types import WeightsSeries, EnsembleOutcome
-import pandas as pd
-from utils.evaluate import evaluate_predictions
-from data_loader.types import ForwardReturnSeries, ySeries
-from typing import Literal
-
-def ensemble_weights(
-                    input_weights: list[WeightsSeries],
-                    forward_returns: ForwardReturnSeries,
-                    y: ySeries,
-                    no_of_classes: Literal['two', 'three-balanced', 'three-imbalanced'],
-                    output_stats: bool
-                ) -> EnsembleOutcome:
-    weights = pd.concat(input_weights, axis=1).mean(axis=1)
-    if output_stats:
-        stats = evaluate_predictions(
-            forward_returns = forward_returns,
-            y_pred = weights,
-            y_true = y,
-            no_of_classes = no_of_classes,
-            discretize = True,
-        )
-        print(stats)
-    else:
-        stats = None
-    return EnsembleOutcome(weights, stats)

training/train_model.py

@@ -1,29 +1,10 @@
 import pandas as pd
 from typing import Literal, Optional
-from training.walk_forward import walk_forward_train, walk_forward_inference
+from training.walk_forward import walk_forward_train, walk_forward_inference, walk_forward_inference_batched
 from utils.evaluate import evaluate_predictions
 from models.base import Model
 from .types import ModelOverTime, TransformationsOverTime, TrainingOutcome
 
-def train_models(
-                ticker_to_predict: str,
-                X: pd.DataFrame,
-                y: pd.Series,
-                forward_returns: pd.Series,
-                models: list[Model],
-                expanding_window: bool,
-                sliding_window_size: int,
-                retrain_every: int,
-                from_index: Optional[pd.Timestamp],
-                no_of_classes: Literal['two', 'three-balanced', 'three-imbalanced'],
-                level: str,
-                output_stats: bool,
-                transformations_over_time: TransformationsOverTime,
-                models_over_time: Optional[list[ModelOverTime]]
-    ) -> list[TrainingOutcome]:
-    return [train_model(ticker_to_predict, X, y, forward_returns, model, expanding_window, sliding_window_size, retrain_every, from_index, no_of_classes, level, output_stats, transformations_over_time, models_over_time[index] if models_over_time else None) for index, model in enumerate(models)]
-
-
 def train_model(
                 ticker_to_predict: str,
                 X: pd.DataFrame,
@@ -61,7 +42,8 @@ def train_model(
     else:
         model_id = model_over_time.name
 
-    predictions, probabilities = walk_forward_inference(
+    inference_function = walk_forward_inference if from_index is not None else walk_forward_inference_batched
+    predictions, probabilities = inference_function(
         model_name = model_id,
         model_over_time= model_over_time,
         transformations_over_time = transformations_over_time,

training/types.py

@@ -19,33 +19,26 @@ class TrainingOutcome:
     stats: Optional[Stats]
     model_over_time: ModelOverTime
 
-@dataclass
-class EnsembleOutcome:
-    weights: WeightsSeries
-    stats: Optional[Stats]
-
 @dataclass
 class BetSizingWithMetaOutcome:
     model_id: str
-    meta_training: list[TrainingOutcome]
+    meta_training: TrainingOutcome
     meta_transformations: TransformationsOverTime
     weights: WeightsSeries
     stats: Optional[Stats]
 
 @dataclass
 class DirectionalTrainingOutcome:
-    training: list[TrainingOutcome]
+    training: TrainingOutcome
     transformations: TransformationsOverTime
     
 @dataclass
 class PipelineOutcome:
     directional_training: DirectionalTrainingOutcome
-    bet_sizing: list[BetSizingWithMetaOutcome]
+    bet_sizing: BetSizingWithMetaOutcome
-    ensemble: EnsembleOutcome
-    secondary_bet_sizing: Optional[BetSizingWithMetaOutcome]
 
     def get_output_weights(self) -> WeightsSeries:
-        return self.secondary_bet_sizing.weights if self.secondary_bet_sizing else self.ensemble.weights
+        return self.bet_sizing.weights
 
-    def get_output_stats(self) -> Optional[Stats]:
+    def get_output_stats(self) -> Stats:
-        return self.secondary_bet_sizing.stats if self.secondary_bet_sizing else self.ensemble.stats
+        return self.bet_sizing.stats

training/walk_forward/__init__.py

@@ -1,3 +1,4 @@
+from .inference_batched import walk_forward_inference_batched
 from .inference import walk_forward_inference
 from .train import walk_forward_train
-from .process_transformations_parallel import walk_forward_process_transformations
+from .process_transformations import walk_forward_process_transformations

training/walk_forward/inference.py

@@ -16,7 +16,7 @@ def walk_forward_inference(
                     retrain_every: int,
                     from_index: Optional[pd.Timestamp],
                 ) -> tuple[PredictionsSeries, ProbabilitiesDataFrame]:
-    predictions = pd.Series(index=X.index).rename(model_name)
+    predictions = pd.Series(index=X.index, dtype='object').rename(model_name)
     probabilities = pd.DataFrame(index=X.index)
 
     inference_from = max(get_first_valid_return_index(model_over_time), get_first_valid_return_index(X.iloc[:,0])) if from_index is None else X.index.to_list().index(from_index)
@@ -49,7 +49,9 @@ def walk_forward_inference(
 
         next_timestep = next_timestep.to_numpy()
 
-        prediction, probs = current_model.predict(next_timestep)
+        prediction = current_model.predict(next_timestep)
+        probs = current_model.predict_proba(next_timestep)
+
         predictions[X.index[index]] = prediction
         if inference_from == index and len(probabilities.columns) != len(probs):
             probabilities = probabilities.reindex(columns = ["prob_" + str(num) for num in range(0, len(probs.T))])

training/walk_forward/inference_batched.py

@@ -0,0 +1,56 @@
+import pandas as pd
+from training.types import ModelOverTime, TransformationsOverTime, PredictionsSeries, ProbabilitiesDataFrame
+from utils.helpers import get_first_valid_return_index
+from tqdm import tqdm
+from typing import Optional
+from data_loader.types import XDataFrame
+from tqdm import tqdm
+
+def walk_forward_inference_batched(
+                    model_name: str,
+                    model_over_time: ModelOverTime,
+                    transformations_over_time: TransformationsOverTime,
+                    X: XDataFrame,
+                    expanding_window: bool,
+                    window_size: int,
+                    retrain_every: int,
+                    from_index: Optional[pd.Timestamp],
+                ) -> tuple[PredictionsSeries, ProbabilitiesDataFrame]:
+    predictions = pd.Series(index=X.index, dtype='object').rename(model_name)
+    probabilities = pd.DataFrame(index=X.index, columns=['0', '1'])
+
+    inference_from = max(get_first_valid_return_index(model_over_time), get_first_valid_return_index(X.iloc[:,0])) if from_index is None else X.index.to_list().index(from_index)
+    inference_till = X.shape[0]
+    first_model = model_over_time[inference_from]
+
+    if first_model.only_column is not None:
+        X = X[[column for column in X.columns if first_model.only_column in column]]
+    
+    if first_model.data_transformation == 'original':
+        transformations_over_time = []
+
+    batch_indices = range(inference_from, inference_till, retrain_every) if inference_till - inference_from > retrain_every else [inference_from]
+    batched_results = [__inference_from_window(index, index + retrain_every, X, model_over_time, transformations_over_time, expanding_window, window_size) for index in tqdm(batch_indices)]
+    for batch in batched_results:
+        for index, prediction, probs in batch:
+            predictions[X.index[index]] = prediction
+            probabilities.loc[X.index[index]] = probs
+
+    return predictions, probabilities
+
+def __inference_from_window(index_start: int, index_end: int, X: XDataFrame, model_over_time: ModelOverTime, transformations_over_time: TransformationsOverTime, expanding_window: bool, window_size: int) -> list[tuple[int, float, pd.Series]]:
+    current_model = model_over_time[X.index[index_start]]
+    current_transformations = [transformation_over_time[X.index[index_start]] for transformation_over_time in transformations_over_time]
+
+    input_data = X.iloc[index_start:index_end]
+        
+    for transformation in current_transformations:
+        input_data = transformation.transform(input_data)
+
+    input_data = input_data.to_numpy()
+
+    predictions = current_model.predict(input_data)
+    probs = current_model.predict_proba(input_data)
+    results = [(index_start + index, predictions[index], probs[index]) for index in range(len(predictions))]
+    
+    return results

training/walk_forward/inference_parallel.py

@@ -18,7 +18,7 @@ def walk_forward_inference(
                     retrain_every: int,
                     from_index: Optional[pd.Timestamp],
                 ) -> tuple[PredictionsSeries, ProbabilitiesDataFrame]:
-    predictions = pd.Series(index=X.index).rename(model_name)
+    predictions = pd.Series(index=X.index, dtype='object').rename(model_name)
     probabilities = pd.DataFrame(index=X.index)
 
     inference_from = max(get_first_valid_return_index(model_over_time), get_first_valid_return_index(X.iloc[:,0])) if from_index is None else X.index.to_list().index(from_index)
@@ -31,32 +31,38 @@ def walk_forward_inference(
     if first_model.data_transformation == 'original':
         transformations_over_time = []
 
-    results = ray.get([__inference_from_window.remote(index, inference_from, retrain_every, X, model_over_time, transformations_over_time, expanding_window, window_size) for index in range(inference_from, inference_till)])
+    batch_size = int((inference_till - inference_from) / 10)
-    for index, prediction, probs in results:
+    batched_results = ray.get([__inference_from_window.remote(index, index + batch_size, inference_from, retrain_every, X, model_over_time, transformations_over_time, expanding_window, window_size) for index in range(inference_from, inference_till)])
-        predictions[X.index[index]] = prediction
+    for batch in batched_results:
-        probabilities.loc[X.index[index]] = probs
+        for index, prediction, probs in batch:
+            predictions[X.index[index]] = prediction
+            probabilities.loc[X.index[index]] = probs
 
     return predictions, probabilities
 
 @ray.remote
-def __inference_from_window(index: int, inference_from: int, retrain_every: int, X: XDataFrame, model_over_time: ModelOverTime, transformations_over_time: TransformationsOverTime, expanding_window: bool, window_size: int) -> tuple[int, float, pd.Series]:
+def __inference_from_window(index_start: int, index_end: int, inference_from: int, retrain_every: int, X: XDataFrame, model_over_time: ModelOverTime, transformations_over_time: TransformationsOverTime, expanding_window: bool, window_size: int) -> list[tuple[int, float, pd.Series]]:
-            
-    last_model_index = index - ((index - inference_from) % retrain_every)
-    train_window_start = X.index[inference_from] if expanding_window else X.index[index - window_size - 1]
-
-    current_model = model_over_time[X.index[last_model_index]]
-    current_transformations = [transformation_over_time[X.index[last_model_index]] for transformation_over_time in transformations_over_time]
-
-    if current_model.predict_window_size == 'window_size': 
-        next_timestep = X.loc[train_window_start:X.index[index]]
-    else: 
-        # we need to get a Dataframe out of it, since the transformation step always expects a 2D array, but it's equivalent to X.iloc[index]
-        next_timestep = X.loc[X.index[index]:X.index[index]]
     
-    for transformation in current_transformations:
+    results = []
-        next_timestep = transformation.transform(next_timestep)
+    for index in range(index_start, index_end):
+        last_model_index = index - ((index - inference_from) % retrain_every)
+        train_window_start = X.index[inference_from] if expanding_window else X.index[index - window_size - 1]
 
-    next_timestep = next_timestep.to_numpy()
+        current_model = model_over_time[X.index[last_model_index]]
+        current_transformations = [transformation_over_time[X.index[last_model_index]] for transformation_over_time in transformations_over_time]
 
-    prediction, probs = current_model.predict(next_timestep)
+        if current_model.predict_window_size == 'window_size': 
-    return index, prediction, probs
+            next_timestep = X.loc[train_window_start:X.index[index]]
+        else: 
+            # we need to get a Dataframe out of it, since the transformation step always expects a 2D array, but it's equivalent to X.iloc[index]
+            next_timestep = X.loc[X.index[index]:X.index[index]]
+        
+        for transformation in current_transformations:
+            next_timestep = transformation.transform(next_timestep)
+
+        next_timestep = next_timestep.to_numpy()
+
+        prediction, probs = current_model.predict(next_timestep)
+        results.append((index, prediction, probs))
+    
+    return results

training/walk_forward/process_transformations.py

@@ -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)

training/walk_forward/process_transformations_parallel.py

@@ -6,6 +6,7 @@ from transformations.base import Transformation
 from typing import Optional
 from data_loader.types import ForwardReturnSeries, XDataFrame, ySeries
 import ray
+from utils.parallel import parallel_compute_with_bar
 
 def walk_forward_process_transformations(
                         X: XDataFrame,
@@ -23,7 +24,7 @@ def walk_forward_process_transformations(
     train_from = first_nonzero_return + window_size + 1 if from_index is None else X.index.to_list().index(from_index)
     train_till = len(y)
     
-    processed_transformations = ray.get([preprocess_transformations_window.remote(X, y, expanding_window, window_size, transformations, first_nonzero_return, index) for index in range(train_from, train_till, retrain_every)])
+    processed_transformations = parallel_compute_with_bar([preprocess_transformations_window.remote(X, y, expanding_window, window_size, transformations, first_nonzero_return, index) for index in range(train_from, train_till, retrain_every)])
         
     for transformation, index_time in processed_transformations:
         for transformation_index, transformation in enumerate(transformation):

training/walk_forward/train.py

@@ -5,7 +5,7 @@ from utils.helpers import get_first_valid_return_index
 from tqdm import tqdm
 from typing import Optional
 from data_loader.types import ForwardReturnSeries, XDataFrame, ySeries
-
+from copy import deepcopy
 
 def walk_forward_train(
                     model: Model,
@@ -18,7 +18,7 @@ def walk_forward_train(
                     from_index: Optional[pd.Timestamp],
                     transformations_over_time: TransformationsOverTime,
                 ) -> ModelOverTime:
-    models_over_time = pd.Series(index=y.index).rename(model.name)
+    models_over_time = pd.Series(index=y.index, dtype='object').rename(model.name)
 
     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)
@@ -43,13 +43,9 @@ def walk_forward_train(
         X_slice = X_slice.to_numpy()
         y_slice = y[train_window_start:train_window_end].to_numpy()
 
-        current_model = model.clone()
+        current_model = deepcopy(model)
-
-        current_model.initialize_network(input_dim = len(X_slice[0]), output_dim=1) 
         current_model.fit(X_slice, y_slice)
 
         models_over_time[X.index[index]] = current_model
-        for transformation_index, transformation in enumerate(current_transformations):
-            transformations_over_time[transformation_index][X.index[index]] = transformation
 
     return models_over_time

training/walk_forward/train_parallel.py

@@ -0,0 +1,58 @@
+import pandas as pd
+from models.base import Model
+from training.types import ModelOverTime, TransformationsOverTime
+from utils.helpers import get_first_valid_return_index
+from tqdm import tqdm
+from typing import Optional
+from data_loader.types import ForwardReturnSeries, XDataFrame, ySeries
+import ray
+from utils.parallel import parallel_compute_with_bar
+from copy import deepcopy
+
+def walk_forward_train(
+                    model: Model,
+                    X: XDataFrame,
+                    y: ySeries,
+                    forward_returns: ForwardReturnSeries,
+                    expanding_window: bool,
+                    window_size: int,
+                    retrain_every: int,
+                    from_index: Optional[pd.Timestamp],
+                    transformations_over_time: TransformationsOverTime,
+                ) -> ModelOverTime:
+    models_over_time = pd.Series(index=y.index).rename(model.name)
+
+    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)
+    train_till = len(y)
+
+    if model.only_column is not None:
+        X = X[[column for column in X.columns if model.only_column in column]]
+    
+    if model.data_transformation == 'original':
+        transformations_over_time = []
+    
+    models = parallel_compute_with_bar([train_on_window.remote(index, first_nonzero_return, window_size, X, y, model, expanding_window, transformations_over_time) for index in tqdm(range(train_from, train_till, retrain_every))])
+    for index, current_model in models: 
+        models_over_time[X.index[index]] = current_model
+
+    return models_over_time
+
+@ray.remote
+def train_on_window(index: int, first_nonzero_return: int, window_size: int, X: XDataFrame, y: ySeries, model: Model, expanding_window: bool, transformations_over_time: TransformationsOverTime) -> tuple[int, Model]:
+    train_window_start = X.index[first_nonzero_return] if expanding_window else X.index[index - window_size - 1]
+
+    train_window_end = X.index[index - 1]
+    current_transformations = [transformation_over_time[index] for transformation_over_time in transformations_over_time]
+    X_slice = X[train_window_start:train_window_end]
+
+    for transformation in current_transformations:
+        X_slice = transformation.transform(X_slice)
+    
+    X_slice = X_slice.to_numpy()
+    y_slice = y[train_window_start:train_window_end].to_numpy()
+
+    current_model = deepcopy(model)
+
+    current_model.fit(X_slice, y_slice)
+    return index, model

transformations/rfe.py

@@ -4,21 +4,17 @@ from typing import Optional
 from copy import deepcopy
 from sklearn.feature_selection import RFE
 import pandas as pd
-from models.base import Model
+from models.sklearn import SKLearnModel
-from models.model_map import default_feature_selector_classification
 
 class RFETransformation(Transformation):
 
     rfe: RFE
     n_feature_to_select: int
 
-    def __init__(self, n_feature_to_select: int, model: Model, step = 0.1):
+    def __init__(self, n_feature_to_select: int, model: SKLearnModel, step = 0.1):
         self.n_feature_to_keep = n_feature_to_select
         self.model = model
-        if hasattr(self.model, 'model') == False: return
+        self.rfe = RFE(model, n_features_to_select= n_feature_to_select, step=step)
-        if hasattr(self.model.model, 'feature_importances_') == False and hasattr(self.model.model, 'coef_') == False:
-            model = default_feature_selector_classification
-        self.rfe = RFE(model.model, n_features_to_select= n_feature_to_select, step=step)
 
     def fit(self, X: pd.DataFrame, y: Optional[pd.Series] = None) -> None:
         if self.rfe is None: return

utils/evaluate.py

@@ -49,7 +49,7 @@ def evaluate_predictions(
         return len(series[series != 0])
     no_of_samples = count_non_zero(df.y_pred)
     scorecard['no_of_samples'] = no_of_samples
-    sharpe = sharpe_ratio(df.result)
+    sharpe = sharpe_ratio(df.result + 1e-20)
     scorecard['sharpe'] = sharpe
     benchmark_sharpe = sharpe_ratio(df.forward_returns)
     scorecard['benchmark_sharpe'] = benchmark_sharpe

utils/parallel.py

@@ -0,0 +1,15 @@
+from tqdm import tqdm
+import ray
+
+def parallel_compute_with_bar(computations) -> list:
+
+    def to_iterator(obj_ids):
+        while obj_ids:
+            done, obj_ids = ray.wait(obj_ids)
+            yield ray.get(done[0])
+
+    ret = []
+    for x in tqdm(to_iterator(computations), total=len(computations)):
+        ret.append(x)
+
+    return ret

utils/resample.py

@@ -0,0 +1,9 @@
+import pandas as pd
+
+def resample_ohlc(df, period):
+    output = pd.DataFrame()
+    output['open'] = df.open.resample(period).first()
+    output['high'] = df.high.resample(period).max()
+    output['low'] = df.low.resample(period).min()
+    output['close'] = df.close.resample(period).last()
+    return output