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11 Commits

Author SHA1 Message Date
Mark Aron Szulyovszky 2606639cc2 fix(Labelling): didn't forward shift forward returns previously, introduced major lookahead bias (#249) 
* fix(Labelling): didn't forward shift forward returns previously, introduced major lookahead bias

* fix(Baseline): use the same config
 2022-03-15 19:12:40 +01:00
Mark Aron Szulyovszky b5ddee8dce feat(HPO): added run_hpo script (#237) 
* feat(HPO): added `run_hpo` script

* fix(Linter): ran

* feat(HPO): removed any reference to sweep (superseeded by optuna)

* fix(HPO): optimize for sharpe

* fix(Config): removed glassnode data, save trials from hpo

* feat(Labelling): added three-balanced method works again

* fix(BetSizing): set the correct class labels

* fix(HPO): powerset should return what's expected, added two new normalization methods

* fix(Linter): ran

* fix(DataLoader): sort the dataframe when fetching data

* fix(Config): only take z-score of other assets
 2022-03-15 14:43:16 +01:00
Mark Aron Szulyovszky 345b48a67c feat(Filters): added numba compiled cusum filter (#243) 2022-03-15 14:32:49 +01:00
Mark Aron Szulyovszky c1d79ac8c2 fix(Labeling): use X.loc instead of X.filter, remove Nan from event_start_times 2022-03-12 13:27:44 +01:00
Mark Aron Szulyovszky 567cd5e9f0 refactor(Evaluate): print out accuracy, f1, etc. for the final & meta predictions, separated out evaluation step (#228) 
* refactor(Evaluate): print out accuracy, f1, etc. for the final & meta predictions, separated out evaluation step

* fix(Linter): ran

* fix(Tests): syntax change

* fix(Inference): runs now again

* fix(Linter): ran
 2022-03-03 17:40:17 +01:00
Mark Aron Szulyovszky 75157c6285 feat(Labeling): purge overlapping events, sort dataframe at loading time (#226) 
* feat(Labeling): purge overlapping events, sort dataframe at loading time

* fix(Linter): ran

* refactor(Labeling): moved purge_overlapping_events one abstraction level higher

* fix(Data): renamed class

* fix(Data): corrected parameter name

* fix(Config): parameters

* fix(Data): fixed path

* fix(Data): uncommented required code

* feat(EventFilters): use vol based CUSUM

* fix(Config): only retrain every 2000 samples

* fix(Config): filter out even more events

* fix(Inference): added remove_overlapping_events

* refactor(Types): simplified type hierarchy
 2022-03-02 00:26:33 +01:00
Mark Aron Szulyovszky 10a0803c91 fix(Data): make sure we have data in chronological order 2022-02-20 18:01:01 +01:00
Mark Aron Szulyovszky c9f8ed1304 feat(Data): added script to download data from binance (#224) 
* feat(Data): added script to download data from binance

* feat(Data): saving unified parquet file/loading

* fix(Config): tweak the cusum filter's threshold

* fix(Dependencies): added binance_historical_data
 2022-02-20 12:30:53 +01:00
Mark Aron Szulyovszky 8dd2d88740 chore(Linter): reformatted code with black (#211) 
* chore(Linter): reformatted code with black

* Create black.yaml
 2022-02-17 19:22:17 +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