feat(Core): ensemble models, correct forward returns calculation, scaling, only train from when asset returns are available, major bug fixed in walk_forward_train_test (#35)

* fix(Core): correct forward returns calculation, classifiers are now working again, only train from when asset returns are available

* feat(Utils): added get_first_valid_return_index()

* feat(Ensemble): return models from `run_whole_pipeline`

* feat(Ensemble): added ensemble step, fixed walk_forward_train_test predictions index confusion,

* chore(Pipeline): remove unnecessary extra ensemble results dataframe

* refactor(Core): removed unnecessary ensemble_train_predict, moved run_single_asset_trainig_pipeline to a separate file

* feat(Training): added scaling on expanding window (the past) to walk_forward_train_test(), now printing out mean sharpe ratio

* feat(CI): added environment.yml file

* chore(Environment): update env.yml

* feat(CI): added testing workflow

* fix(CI): renamed enviroment.yml

* fix(Tests): added missing new parameter to walk_forward_train_test()
This commit is contained in:
Mark Aron Szulyovszky
2021-12-17 14:32:17 +01:00
committed by GitHub
parent 1eaba0c221
commit cc7061b456
12 changed files with 385 additions and 195 deletions
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name: quant
channels:
- johnsnowlabs
- conda-forge
- defaults
dependencies:
- python=3.9
- seaborn
- scikit-learn-intelex
- ipython
- scipy
- scikit-learn
- numba
- pytorch
- matplotlib
- numpy
- quantstats
- pytorch-lightning
- pytest
prefix: /usr/local/anaconda3/envs/quant