7a6ddcec08
fix(Data): one-hot encode date features
2021-12-14 22:58:43 +01:00
beb281fc3a
feat(Evaluation): created a unified evaluation framework for both regression / classification
2021-12-14 21:25:43 +01:00
1ef314c034
fix(WalkForward): major bug where we passed in "window of windows of data" is resolved, refactored walk_forward_train_test() and load_data()
2021-12-14 21:07:03 +01:00
d047b7417e
feat(WalkForward): added regression/classification switch, archived old experiments, wrapped the process into run_whole_pipeline() ( #10 )
...
* refactor(WalkForward): cleaned up training & evaluation code
* refactor: added run_whole_pipeline(), moved all previous models to archive
2021-12-14 18:16:17 +01:00
7aedb91069
feat(Data): added various data loading config options, walk forward method draft ( #9 )
...
* feat(Eval): added format_data_for_backtest()
* feat(Data): added many configurable parameters to load_files to reduce boilerplate and prepare for HPO
* feat(Core): added walk forward method of training/testing
* fix(Model): remove the unnecessary softmax activation from the keras models
* feat(Core): added walk_forward_train_test()
2021-12-01 09:28:24 +01:00
6e192ebc8a
feat(Models): added a basic sktime model and missing USD crypto currency pairs ( #7 )
2021-11-17 22:28:34 +01:00
3fec439c08
feat(Data): added new derived features + asset pairs for crypto tickers ( #6 )
2021-11-17 12:07:49 +01:00
1d6eed3a94
feat(Core): added the first classification model & the feature necessary ( #4 )
...
* feat(Core): added the first classification model & the feature necessary
* feat(Models): added basic transformers model
2021-11-16 10:02:02 +01:00
797791d2f4
feat(Forecasting): pytorch-forecasting scaffolding is now working, added narrow data format, fixed missing time column index name ( #5 )
...
* feat: Started implementing pytorch-forecasting.
* feat(Forecasting): pytorch-forecasting scaffolding is now working, added narrow data format, fixed missing `time` column index name
Co-authored-by: Daniel Szemerey <szemy2@gmail.com >
2021-11-16 10:00:26 +01:00
07302a7541
feat(Models): added MAE & RMSE metrics, fixed NaN & Inf values in data,
2021-11-14 23:50:25 +01:00
478a15a7cb
feat(Data): added day/month/dayofweek features
2021-11-14 17:24:56 +01:00
9d342d6039
feat(Data): added day_month, month, day_week columns as features
2021-11-14 11:59:59 +01:00
78b3c07420
feat(Model): trying to get to a model that can train
2021-11-11 17:53:24 +01:00
3188aab220
feat(Model): continued with the keras model scaffolding
2021-11-10 14:51:12 +01:00
20aa1474d6
feat(Data): added extra features, exploration notebook
2021-11-09 17:16:40 +01:00
d5086a4785
feat(Data): added load_data, to aggregate everything into one dataframe
2021-11-09 16:12:48 +01:00
Mark Aron Szulyovszky