mirror of
https://github.com/webclinic017/drift.git
synced 2026-08-17 21:08:08 +00:00
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:
@@ -0,0 +1,20 @@
|
||||
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
|
||||
Reference in New Issue
Block a user