4 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	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	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