diff --git a/models/model_map.py b/models/model_map.py index 98b3aff..ca5547f 100644 --- a/models/model_map.py +++ b/models/model_map.py @@ -5,7 +5,7 @@ from sklearn.tree import DecisionTreeClassifier from sklearnex.neighbors import KNeighborsRegressor, KNeighborsClassifier from sklearn.discriminant_analysis import LinearDiscriminantAnalysis from sklearnex.svm import SVR, SVC -from sklearn.naive_bayes import GaussianNB +from sklearn.naive_bayes import GaussianNB, MultinomialNB from sklearn.neural_network import MLPRegressor, MLPClassifier from sklearn.ensemble import AdaBoostRegressor, RandomForestRegressor, ExtraTreesRegressor, AdaBoostClassifier, GradientBoostingClassifier, ExtraTreesClassifier from sklearnex.ensemble import RandomForestClassifier @@ -51,6 +51,7 @@ model_map = { KNN= SKLearnModel(KNeighborsClassifier()), CART= SKLearnModel(DecisionTreeClassifier(max_depth=15, random_state=1)), NB= SKLearnModel(GaussianNB()), + MNB = SKLearnModel(MultinomialNB()), AB= SKLearnModel(AdaBoostClassifier(n_estimators=15)), RF= SKLearnModel(RandomForestClassifier(n_jobs=-1, max_depth=20, random_state=1)), SVC = SKLearnModel(SVC(kernel='rbf', C=1e3, probability=True, random_state=1)), diff --git a/sweep_primary_models.yaml b/sweep_primary_models.yaml index 30dbe7a..b66c279 100644 --- a/sweep_primary_models.yaml +++ b/sweep_primary_models.yaml @@ -1,5 +1,5 @@ program: run_sweep.py -method: bayes +method: grid project: price-forecasting name: Level-1 models metric: @@ -20,15 +20,13 @@ parameters: expanding_window_meta_labeling: value: False n_features_to_select: - values: [10, 20, 30] - distribution: categorical + value: 50 dimensionality_reduction: value: True sliding_window_size_primary: - values: [180, 280, 380, 480, 580] - distribution: categorical + value: 380 sliding_window_size_meta_labeling: - value: 1 + value: 380 retrain_every: values: [10, 20, 30] distribution: categorical @@ -37,25 +35,23 @@ parameters: method: value: 'classification' no_of_classes: - values: ['two', 'three-balanced', 'three-imbalanced'] - distribution: categorical + value: 'two' forecasting_horizon: value: 1 load_non_target_asset: - values: [True, False] - distribution: categorical + value: True log_returns: value: True index_column: value: 'int' primary_models: - values: [["LR_two_class"], ["LDA"], ["KNN"], ["CART"], ["NB"], ["AB"], ["RF"]] + values: [['LR_two_class'], ['SVC'], ['LDA'], ['KNN'], ['CART'], ['MNB'], ['NB'], ['AB'], ['RF'], ['XGB_two_class'], ['LGBM']] distribution: categorical meta_labeling_models: - value: [] + value: ["LGBM", "LR_two_class"] own_features: - values: [['single_mom', 'date_days'], [], ['level_1', 'date_days'], ['date_days', 'level_2']] - distribution: categorical + value: ['date_days', 'level_2', 'lags_up_to_5'] other_features: - values: [[], ['level_1'], ['level_2']] - distribution: categorical + value: ['level_2', 'lags_up_to_5'] + exogenous_features: + value: ['standard_scaling'] \ No newline at end of file