gavindiaz/drift
1
0
Fork 0
mirror of https://github.com/webclinic017/drift.git synced 2026-07-27 18:57:55 +00:00
Code Issues Packages Projects Releases Wiki Activity
126 Commits 1 Branch 0 Tags
5b7bcbb5e93d6ec8e3fb7314360923f66d470285
Commit Graph

8 Commits

Author SHA1 Message Date
Mark Aron Szulyovszky 5b7bcbb5e9 fix(DataLoader): sort the data before merging (this corrupted the pipeline completely) 2022-03-12 22:22:10 +01:00
Mark Aron Szulyovszky b656f790f5 feat(Data): resample exogenous/other datasource when their frequency is different (#234) 
* feat(Data): resample exogenous/other datasource when their frequency is different

* fix(Linter): ran

* fix(Data): resampling done properly
 2022-03-10 20:00:06 +01:00
Mark Aron Szulyovszky 4a9f74d645 fix(Project): m1 support (#233) 2022-03-10 13:07:41 +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