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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/labellers/fixed_time_three_class_imbalanced.py
+1 -1
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@@ -57,4 +57,4 @@ class FixedTimeHorionThreeClassImbalancedEventLabeller(EventLabeller):
return [-1, 0, 1]
def get_discretize_function(self) -> Callable:
raise NotImplementedError
return discretize_threeway_threshold(0.02)