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feat(HPO): added run_hpo script (#237)

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* feat(HPO): added `run_hpo` script

* fix(Linter): ran

* feat(HPO): removed any reference to sweep (superseeded by optuna)

* fix(HPO): optimize for sharpe

* fix(Config): removed glassnode data, save trials from hpo

* feat(Labelling): added three-balanced method works again

* fix(BetSizing): set the correct class labels

* fix(HPO): powerset should return what's expected, added two new normalization methods

* fix(Linter): ran

* fix(DataLoader): sort the dataframe when fetching data

* fix(Config): only take z-score of other assets
This commit is contained in:
Mark Aron Szulyovszky
2022-03-15 14:43:16 +01:00
committed by GitHub
parent 345b48a67c
commit b5ddee8dce
30 changed files with 126 additions and 115 deletions
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config/types.py
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@@ -26,6 +26,7 @@ class RawConfig(BaseModel):
other_features: list[str]
exogenous_features: list[str]
event_filter: Literal["none", "cusum_vol", "cusum_fixed"]
event_filter_multiplier: float
remove_overlapping_events: bool
labeling: Literal["two_class", "three_class_balanced", "three_class_imbalanced"]
forecasting_horizon: int