9 Commits

Author SHA1 Message Date
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 95b0499430 fix(Config): rename sliding_window_size to initial_window_size (#235) 2022-03-13 16:05:16 +01:00
Mark Aron Szulyovszky 7a443d93e4 feat(Transformations): added robust scaler (#223)
* feat(Transformations): added robust scaler

* fix(Config): set back default scaler to MinMax
2022-02-20 00:41:46 +01:00
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 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
Mark Aron Szulyovszky 6b26643ece feat(Transformations): replaced feature selection pre-processing step with online version (with cache) (#170)
* feat(Transformations): removed feature-selection pre-processing step completely

* fix(Core): removed unnecessary `original_X`

* fix(Transformations): use the X_expanding_window to transform subsequent data

* fix(RFE): should check for model correctly

* fix(Config): only re-train the model every 40 timestamp

* fix(MetaLabeling): pass in the correct X to meta-labeling step

* fix(Transformation): PCA should at least keep as many features as sliding_window_size

* feat(Transformations): cache transformations across the same asset

* fix(Tests): missing preloaded_transformations arg

* chore(Config): got rid of unnecessary 'classification_models' and 'regression_models' dictionary keys
2022-01-17 11:43:51 +01:00
Mark Aron Szulyovszky 1856fcad22 feat(Transformations): added Transformations abstraction & handling in walk_forward_train() & inference() (#161)
* feat(Transformations): added Transformations abstraction & handling in walk_forward_train() & inference()

* fix(WalkForward): use Dataframes to call Transformation.fit_transform()

* feat(WalkForward): restored option for models to recieve unscaled data

* fix(Transformations): output DataFrame as expected

* fix(Tests): missing new property
2022-01-12 23:22:55 +01:00