refactor(Training): remove non-expanding window option (#244)

This commit is contained in:
Mark Aron Szulyovszky
2022-03-15 16:21:06 +01:00
committed by GitHub
parent b5ddee8dce
commit d0c519dc5b
8 changed files with 5 additions and 147 deletions
+1 -10
View File
@@ -15,7 +15,6 @@ def walk_forward_train(
X: XDataFrame,
y: ySeries,
forward_returns: ForwardReturnSeries,
expanding_window: bool,
window_size: int,
retrain_every: int,
from_index: Optional[pd.Timestamp],
@@ -46,11 +45,9 @@ def walk_forward_train(
train_on_window.remote(
index,
first_nonzero_return,
window_size,
X,
y,
model,
expanding_window,
transformations_over_time,
)
for index in tqdm(range(train_from, train_till, retrain_every))
@@ -66,18 +63,12 @@ def walk_forward_train(
def train_on_window(
index: int,
first_nonzero_return: int,
window_size: int,
X: XDataFrame,
y: ySeries,
model: Model,
expanding_window: bool,
transformations_over_time: TransformationsOverTime,
) -> tuple[int, Model]:
train_window_start = (
X.index[first_nonzero_return]
if expanding_window
else X.index[index - window_size - 1]
)
train_window_start = X.index[first_nonzero_return]
train_window_end = X.index[index - 1]
current_transformations = [