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feat(HPO): added run_hpo script (#237)
* 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
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@@ -20,10 +20,13 @@ def walk_forward_inference(
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expanding_window: bool,
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window_size: int,
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retrain_every: int,
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class_labels: list[int],
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from_index: Optional[pd.Timestamp],
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) -> tuple[PredictionsSeries, ProbabilitiesDataFrame]:
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predictions = pd.Series(index=X.index, dtype="object").rename(model_name)
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probabilities = pd.DataFrame(index=X.index)
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probabilities = pd.DataFrame(
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index=X.index, columns=[str(label) for label in class_labels]
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)
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inference_from = (
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max(
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