Commit Graph

5 Commits

Author SHA1 Message Date
Mark Aron Szulyovszky c1d79ac8c2 fix(Labeling): use X.loc instead of X.filter, remove Nan from event_start_times 2022-03-12 13:27:44 +01:00
Mark Aron Szulyovszky 75157c6285 feat(Labeling): purge overlapping events, sort dataframe at loading time (#226)
* feat(Labeling): purge overlapping events, sort dataframe at loading time

* fix(Linter): ran

* refactor(Labeling): moved purge_overlapping_events one abstraction level higher

* fix(Data): renamed class

* fix(Data): corrected parameter name

* fix(Config): parameters

* fix(Data): fixed path

* fix(Data): uncommented required code

* feat(EventFilters): use vol based CUSUM

* fix(Config): only retrain every 2000 samples

* fix(Config): filter out even more events

* fix(Inference): added remove_overlapping_events

* refactor(Types): simplified type hierarchy
2022-03-02 00:26:33 +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