Commit Graph

3 Commits

Author SHA1 Message Date
Mark Aron Szulyovszky b5ddee8dce feat(HPO): added run_hpo script (#237)
* feat(HPO): added `run_hpo` script

* fix(Linter): ran

* feat(HPO): removed any reference to sweep (superseeded by optuna)

* fix(HPO): optimize for sharpe

* fix(Config): removed glassnode data, save trials from hpo

* feat(Labelling): added three-balanced method works again

* fix(BetSizing): set the correct class labels

* fix(HPO): powerset should return what's expected, added two new normalization methods

* fix(Linter): ran

* fix(DataLoader): sort the dataframe when fetching data

* fix(Config): only take z-score of other assets
2022-03-15 14:43:16 +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