Commit Graph

4 Commits

Author SHA1 Message Date
Mark Aron Szulyovszky 5db2a3b935 fix(Reporting): identify primary models correctly with the new column names 2022-01-11 19:44:01 +01:00
Mark Aron Szulyovszky b1c04afb13 refactor(Naming): use new convention, added Ensemble model parameter back, support multiple Meta-Labeling models (#132)
* refactor(Naming): use `primary_models` & `meta_labeling_models`

* refactor(Naming): using primary * meta_labeling across config and in pipeline

* feat(Pipeline): added back Ensemble models

* fix(Pipeline): compiler error

* fix(Config): typo

* chore(Pipeline): removed unused averaging step

* revert the changes in discretizing

* chore(Pipeline): remove sharpe improvement logging

* fix(Pipeline): ensemble predictions should be a pd.Series instead of a DataFrame

* fix(Pipeline): discard unnecessary ensemble_probabilities

* fix(Pipeline): fixes regarding various meta-labeling ensemble bugs

* fix(Reporting): use the new naming convention

* fix(Reporting): use the right variable

* feat(Sweep): new sweep for ensemble models

* fix(Sweep): config reference

* fix(Config): simplified dev config

* fix(Models): use the faster LR model

* fix(Models): use LGBM in the meta-labeling model for speed

* fix(Selection): always use the first model for feature selection, commented out caching from select_features() as it's close to redundant in terms of speed
2022-01-09 17:21:06 +01:00
Mark Aron Szulyovszky f8af5641e8 chore(Project): added output folder (#124)
* chore(Project): added output folder

* chore(CI): updated path

* fix(CI): correct path
2022-01-07 19:03:17 +01:00
Mark Aron Szulyovszky 9488e92597 feature(MetaLabeling): replaced previous non-functional Ensembling method with Meta-labeling method available for both lvl1 and lvl2 models (#110)
* feature(MetaLabeling): added hacky prototype

* fix(MetaLabeling): drop index until first valid X & y

* fix(MetaLabeling): transform both X & y before feature selection

* fix(MetaLabeling): got feature selection to work

* fix(MetaLabeling): correct values for meta_y

* feat(MetaLabeling): created predictions multiplied by bet sizes

* feat(Pipeline): print out averaged result

* fix(Evaluation): correctly deal with non-discretized data

* fix(Pipeline): use the right column names

* refactor(Pipeline): move out meta-labeling

* refactor(Pipeline): complete refactoring

* feat(CI): post results to PR

* fix(Pipeline): use the correct filename

* chore(Config): removed now redundant feature_selection flag

* feat(Models): added SVC

* fix(Pipeline): accidentally switched two return values

* feat(Sweep): prepared sweep_meta.yaml, moved report_results() into a separate file

* fix(Pipeline): wrong function name

* fix(Sweep): yaml + run_sweep

* fix(Sweep): typo in name

* fix(Reporting): only save averaged results

* feat(MetaLabeling): use optional meta-labeling step for every lvl1 models, before averaging

* feat(Reporting): print out sharpe improvement in meta-labeling step

* fix(Sweep): adjusted config, defaulted to good defaults

* fix(Sweep): adjusted sweep
2022-01-06 16:36:45 +01:00