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fix(Reporting): use weighted average (with no_of_samples as weights) and only report level-1 OR level-2 model performance (#91)

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* fix(Reporting): use weighted average (with no_of_samples as weights) and only report level-1 OR level-2 model performance

* chore(Config): updated sweep config

* fix(Reporting): missing import

* fix(Evaluation): get_first_valid_return_index can deal with zero valid indexes

* fix(Training): increase threshold for skipping assets

* fix(DataLoader): target asset should be always the first column
This commit is contained in:
Mark Aron Szulyovszky
2021-12-26 12:15:11 +01:00
committed by GitHub
parent fc4e59a7d2
commit a9b05dbd42
6 changed files with 41 additions and 19 deletions
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utils/load_data.py
+3 -2
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@@ -35,9 +35,10 @@ def load_data(path: str,
- Series `forward_returns` with the target asset returns shifted by 1 day
"""
files = [f for f in os.listdir(path) if os.path.isfile(os.path.join(path,f)) and not f.startswith('.')]
files = [f for f in files if load_other_assets == True or (load_other_assets == False and f.startswith(target_asset))]
target_file = [f for f in files if f.startswith(target_asset)]
other_files = [f for f in files if load_other_assets == True and f.startswith(target_asset) == False]
files = target_file + other_files
def is_target_asset(target_asset: str, file: str): return file.split('.')[0].startswith(target_asset)
dfs = [__load_df(
path=os.path.join(path,f),