Commit Graph

3 Commits

Author SHA1 Message Date
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 81c217a401 feat(Portfolio): reporting MVP (#108)
* feat(DataLoader): added load_only_returns() method

* feat(Portfolio): load predictions

* feat(Portfolio): normalize weights

* feat(Portfolio): started integrating with portfoliobt

* feat(Portfolio): include fees in the portfolio construction

* feat(Portfolio): demo of pyportfolioopt

* feat(Portfolio): get efficient frontier calculation to work

* feat(Portfolio): add a few strategies to create weights

* chore(Dependencies): remove pyportfolioopt for now

* fix(Dependencies): try to install all dependencies with pip

* fix(Dependencies): indentation

* fix(Dependencies): corrected pytorch module name

* fix(Dependencies): try to have as many modules installed by conda for the sake of sanity?

* fix(Dependencies): put fracdiff into pip modules

* fix(Dependencies): revert to using pip almost exclusively

* feat(Portfolio): added alphalens

* fix(Portfolio): got limited weights working

* feat(Portfolio): trying to get alphalens to work

* feat(Portfolio): alphalens working

* fix(Dependencies): removed vectorbt

* fix(Dependencies): use alphalens-reloaded

* fix(Dependencies): added conda source for alphalens-reloaded

* refactor(Portfolio): removed traces of vectorbt

* feat(Reporting): factor reporting done

* feat(Portfolio): added pyfolio reporting (fails bc alphalens is not working properly lol)
2022-01-08 00:05:36 +01:00
Mark Aron Szulyovszky 867269df2b feat(Data): added daily_glassnode DataCollection (#99) 2022-01-03 13:57:36 +01:00