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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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labeling/eventfilters_map.py
+3 -3
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@@ -2,7 +2,7 @@ from .event_filters.nofilter import NoEventFilter
from .event_filters.cusum import CUSUMVolatilityEventFilter, CUSUMFixedEventFilter
eventfilters_map = dict(
none=NoEventFilter(),
cusum_vol=CUSUMVolatilityEventFilter(vol_period=100, multiplier=3.5),
cusum_fixed=CUSUMFixedEventFilter(threshold=20),
none=NoEventFilter,
cusum_vol=CUSUMVolatilityEventFilter,
cusum_fixed=CUSUMFixedEventFilter,
)