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feat(WalkForward): added regression/classification switch, archived old experiments, wrapped the process into run_whole_pipeline() (#10)

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* refactor(WalkForward): cleaned up training & evaluation code

* refactor: added run_whole_pipeline(), moved all previous models to archive
This commit is contained in:
Mark Aron Szulyovszky
2021-12-14 18:16:17 +01:00
committed by GitHub
parent 7aedb91069
commit d047b7417e
89 changed files with 10763 additions and 6477 deletions
Download Patch File Download Diff File Expand all files Collapse all files
data/TRX_USD.csv
+27 -27
View File
@@ -1,30 +1,4 @@
time,high,low,open,close
2017-10-09,0.003154,0.001419,0.002689,0.002126
2017-10-10,0.00256,0.00168,0.00179,0.00255
2017-10-11,0.00339,0.00166,0.00255,0.0025
2017-10-12,0.00293,0.0018,0.0025,0.0018
2017-10-13,0.00288,0.0018,0.0018,0.00201
2017-10-14,0.00293,0.00199,0.00201,0.00274
2017-10-15,0.00292,0.00199,0.00274,0.00225
2017-10-16,0.00392,0.00198,0.00297,0.00253
2017-10-17,0.00253,0.00177,0.00253,0.00218
2017-10-18,0.00216,0.00184,0.002,0.00192
2017-10-19,0.00217,0.00178,0.00192,0.0018
2017-10-20,0.00214,0.00178,0.0018,0.00213
2017-10-21,0.00256,0.00183,0.00213,0.00234
2017-10-22,0.00265,0.00205,0.00234,0.00265
2017-10-23,0.00319,0.00217,0.00265,0.00312
2017-10-24,0.00314,0.00215,0.00312,0.00266
2017-10-25,0.004,0.00266,0.00266,0.004
2017-10-26,0.00412,0.00252,0.004,0.00296
2017-10-27,0.00379,0.00261,0.00296,0.00312
2017-10-28,0.00369,0.0029,0.00312,0.00368
2017-10-29,0.00469,0.00264,0.00368,0.00269
2017-10-30,0.0037,0.00228,0.00269,0.00262
2017-10-31,0.0034,0.00249,0.00262,0.00278
2017-11-01,0.00283,0.00221,0.00278,0.00222
2017-11-02,0.0027,0.00202,0.00222,0.00212
2017-11-03,0.00263,0.00212,0.00212,0.00217
2017-11-04,0.0026,0.00215,0.00217,0.00218
2017-11-05,0.00255,0.00215,0.00218,0.00248
2017-11-06,0.00248,0.00182,0.00248,0.00183
@@ -1499,4 +1473,30 @@ time,high,low,open,close
2021-11-14,0.1174,0.1106,0.1126,0.1171
2021-11-15,0.129,0.1159,0.1171,0.1239
2021-11-16,0.1239,0.106,0.1239,0.1095
2021-11-17,0.1137,0.1071,0.1095,0.1121
2021-11-17,0.1137,0.1071,0.1095,0.1113
2021-11-18,0.1126,0.09981,0.1113,0.1005
2021-11-19,0.1058,0.09816,0.1005,0.1041
2021-11-20,0.1059,0.1018,0.1041,0.1054
2021-11-21,0.1099,0.1047,0.1054,0.1068
2021-11-22,0.1072,0.1014,0.1068,0.102
2021-11-23,0.1035,0.1013,0.102,0.1029
2021-11-24,0.1037,0.09628,0.1029,0.09787
2021-11-25,0.1012,0.09723,0.09787,0.1002
2021-11-26,0.1013,0.0904,0.1002,0.09228
2021-11-27,0.09543,0.09196,0.09228,0.09342
2021-11-28,0.09533,0.0895,0.09342,0.09525
2021-11-29,0.09722,0.09445,0.09525,0.09665
2021-11-30,0.09989,0.09511,0.09665,0.09655
2021-12-01,0.1006,0.09588,0.09655,0.09689
2021-12-02,0.0983,0.09509,0.09689,0.09755
2021-12-03,0.1019,0.09362,0.09755,0.094
2021-12-04,0.09401,0.0746,0.094,0.08706
2021-12-05,0.08781,0.08236,0.08706,0.0844
2021-12-06,0.08762,0.07914,0.0844,0.08745
2021-12-07,0.09261,0.08681,0.08745,0.09009
2021-12-08,0.09382,0.08983,0.09009,0.0924
2021-12-09,0.0934,0.08867,0.0924,0.08872
2021-12-10,0.09305,0.08754,0.08872,0.08778
2021-12-11,0.0919,0.08668,0.08778,0.09154
2021-12-12,0.09245,0.08986,0.09154,0.09109
2021-12-13,0.09156,0.08604,0.09109,0.08606
1 time high low open close
2017-10-09 0.003154 0.001419 0.002689 0.002126
2017-10-10 0.00256 0.00168 0.00179 0.00255
2017-10-11 0.00339 0.00166 0.00255 0.0025
2017-10-12 0.00293 0.0018 0.0025 0.0018
2017-10-13 0.00288 0.0018 0.0018 0.00201
2017-10-14 0.00293 0.00199 0.00201 0.00274
2017-10-15 0.00292 0.00199 0.00274 0.00225
2017-10-16 0.00392 0.00198 0.00297 0.00253
2017-10-17 0.00253 0.00177 0.00253 0.00218
2017-10-18 0.00216 0.00184 0.002 0.00192
2017-10-19 0.00217 0.00178 0.00192 0.0018
2017-10-20 0.00214 0.00178 0.0018 0.00213
2017-10-21 0.00256 0.00183 0.00213 0.00234
2017-10-22 0.00265 0.00205 0.00234 0.00265
2017-10-23 0.00319 0.00217 0.00265 0.00312
2017-10-24 0.00314 0.00215 0.00312 0.00266
2017-10-25 0.004 0.00266 0.00266 0.004
2017-10-26 0.00412 0.00252 0.004 0.00296
2017-10-27 0.00379 0.00261 0.00296 0.00312
2017-10-28 0.00369 0.0029 0.00312 0.00368
2017-10-29 0.00469 0.00264 0.00368 0.00269
2017-10-30 0.0037 0.00228 0.00269 0.00262
2017-10-31 0.0034 0.00249 0.00262 0.00278
2017-11-01 0.00283 0.00221 0.00278 0.00222
2017-11-02 0.0027 0.00202 0.00222 0.00212
2017-11-03 0.00263 0.00212 0.00212 0.00217
2 2017-11-04 0.0026 0.00215 0.00217 0.00218
3 2017-11-05 0.00255 0.00215 0.00218 0.00248
4 2017-11-06 0.00248 0.00182 0.00248 0.00183
1473 2021-11-14 0.1174 0.1106 0.1126 0.1171
1474 2021-11-15 0.129 0.1159 0.1171 0.1239
1475 2021-11-16 0.1239 0.106 0.1239 0.1095
1476 2021-11-17 0.1137 0.1071 0.1095 0.1121 0.1113
1477 2021-11-18 0.1126 0.09981 0.1113 0.1005
1478 2021-11-19 0.1058 0.09816 0.1005 0.1041
1479 2021-11-20 0.1059 0.1018 0.1041 0.1054
1480 2021-11-21 0.1099 0.1047 0.1054 0.1068
1481 2021-11-22 0.1072 0.1014 0.1068 0.102
1482 2021-11-23 0.1035 0.1013 0.102 0.1029
1483 2021-11-24 0.1037 0.09628 0.1029 0.09787
1484 2021-11-25 0.1012 0.09723 0.09787 0.1002
1485 2021-11-26 0.1013 0.0904 0.1002 0.09228
1486 2021-11-27 0.09543 0.09196 0.09228 0.09342
1487 2021-11-28 0.09533 0.0895 0.09342 0.09525
1488 2021-11-29 0.09722 0.09445 0.09525 0.09665
1489 2021-11-30 0.09989 0.09511 0.09665 0.09655
1490 2021-12-01 0.1006 0.09588 0.09655 0.09689
1491 2021-12-02 0.0983 0.09509 0.09689 0.09755
1492 2021-12-03 0.1019 0.09362 0.09755 0.094
1493 2021-12-04 0.09401 0.0746 0.094 0.08706
1494 2021-12-05 0.08781 0.08236 0.08706 0.0844
1495 2021-12-06 0.08762 0.07914 0.0844 0.08745
1496 2021-12-07 0.09261 0.08681 0.08745 0.09009
1497 2021-12-08 0.09382 0.08983 0.09009 0.0924
1498 2021-12-09 0.0934 0.08867 0.0924 0.08872
1499 2021-12-10 0.09305 0.08754 0.08872 0.08778
1500 2021-12-11 0.0919 0.08668 0.08778 0.09154
1501 2021-12-12 0.09245 0.08986 0.09154 0.09109
1502 2021-12-13 0.09156 0.08604 0.09109 0.08606