16 Commits

Author SHA1 Message Date
Mark Aron Szulyovszky 3b9d7f554a feature(Config): added transformation parameters to Config, removed expanding_window (it's ON now) 2022-02-19 14:44:49 +01:00
Mark Aron Szulyovszky 9d47ee942d feat(Project): use SKLearn models directly, removed custom ensembling, use 5 minute data, batch inference, numba cusum filter (#192)
* feat(Project): use 5 minute data, running training in parallel, sped up cusum filter by 10x with numba

* fix(WalkForward): inference mini-batch parallelization

* fix(WalkForward): don't use the parallel version of any of the functions

* feat(CI): download the data required

* fix(Project): 5min_crypto folder added

* fix(Evaluate): make sure we have numerical stability in returns

* feat(Models): use SKLearn models directly to enable composability

* feat(Inference): batched inference now working, added forecasting_horizon

* fix(Inference): works again

* fix(Inference)

* chore(Models): remove unused Ensemble model

* fix(Labeller): don't just forward shift returns, also take the sum of the data happened until then

* Update test.yml
2022-02-17 16:36:35 +01:00
Mark Aron Szulyovszky 42a1bc59cb feat(Events): added EventFilter, EventLabeller (#186) 2022-01-26 23:22:43 +01:00
Mark Aron Szulyovszky 867269df2b feat(Data): added daily_glassnode DataCollection (#99) 2022-01-03 13:57:36 +01:00
Mark Aron Szulyovszky 442915f847 feat(Data): create DataSource, DataCollection, added hourly crypto data (#96)
* feat(Data): create DataSource, DataCollection, added hourly crypto data

* fix(Data): hourly data format, loading & config
2021-12-31 19:04:27 +01:00
Mark Aron Szulyovszky 0963df2087 refactor(Project): move out load_data to utils, rename fetch_data to run_fetch_data, got classifiers to work (#38) 2021-12-17 17:41:50 +01:00
Mark Aron Szulyovszky d047b7417e feat(WalkForward): added regression/classification switch, archived old experiments, wrapped the process into run_whole_pipeline() (#10)
* refactor(WalkForward): cleaned up training & evaluation code

* refactor: added run_whole_pipeline(), moved all previous models to archive
2021-12-14 18:16:17 +01:00
Mark Aron Szulyovszky 6e192ebc8a feat(Models): added a basic sktime model and missing USD crypto currency pairs (#7) 2021-11-17 22:28:34 +01:00
Mark Aron Szulyovszky 3fec439c08 feat(Data): added new derived features + asset pairs for crypto tickers (#6) 2021-11-17 12:07:49 +01:00
Mark Aron Szulyovszky 797791d2f4 feat(Forecasting): pytorch-forecasting scaffolding is now working, added narrow data format, fixed missing time column index name (#5)
* feat: Started implementing pytorch-forecasting.

* feat(Forecasting): pytorch-forecasting scaffolding is now working, added narrow data format, fixed missing `time` column index name

Co-authored-by: Daniel Szemerey <szemy2@gmail.com>
2021-11-16 10:00:26 +01:00
Mark Aron Szulyovszky 3188aab220 feat(Model): continued with the keras model scaffolding 2021-11-10 14:51:12 +01:00
Mark Aron Szulyovszky 20aa1474d6 feat(Data): added extra features, exploration notebook 2021-11-09 17:16:40 +01:00
Mark Aron Szulyovszky d5086a4785 feat(Data): added load_data, to aggregate everything into one dataframe 2021-11-09 16:12:48 +01:00
Mark Aron Szulyovszky 51b7d35660 feat(Data): downloading data for pre-defined tickers 2021-11-09 15:21:22 +01:00
Mark Aron Szulyovszky 58137a0f36 feat(Data): fetch prices from cryptocompare (and alphavantage) 2021-11-09 12:58:05 +01:00
Mark Aron Szulyovszky 9f54cdc81f feat(Data): added csv downloaded from oecd website, prototype preprocessing script 2021-11-07 15:16:45 +01:00