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7 Commits

Author SHA1 Message Date
Mark Aron Szulyovszky 5482e3fc95 feat(Config): added start_date property (#245) 
* refactor(Training): remove non-expanding window option

* feat(Config): added `start_date` property

* fix(Inference): added start_date here as well

* fix(Linter): ran
 2022-03-15 17:48:43 +01:00
Mark Aron Szulyovszky 95b0499430 fix(Config): rename sliding_window_size to initial_window_size (#235) 2022-03-13 16:05:16 +01:00
Mark Aron Szulyovszky 77206a5d0a fix(Config): adjusted parameters to 5 minute timeframe 2022-02-19 14:58:34 +01:00
Mark Aron Szulyovszky 3b9d7f554a feature(Config): added transformation parameters to Config, removed expanding_window (it's ON now) 2022-02-19 14:44:49 +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 3eb3ea94e3 Refactor(Training): new outcome types, representative pipeline steps, bet-sizing (#187) 
* refactor(Training): added InferenceResult & TrainedModel types

* refactor(Pipeline): introduced TrainingOutcome, BetSizingWithMetaOutcome, etc.

* fix(Pipeline): getting it to compile

* refactor(WalkForward): separate preprocessing step

* feat(Pipeline): separate out transformations processing step

* refactor(Pipeline): use the Directional model terminology, put bet_sizing into pipeline instead of hiding it in a step

* refactor(WalkForward): moved functions to separate folder

* fix(WalkForward): use sparse array to store models, process transformations in parallel (lot faster)

* fix(Tests): and evaluation

* fix(Tests): for realz

* fix(Inference): preloading everything now, renamed primary models to directional models

* fix(BetSizing): was running transformations on the wrong data, oops

* fix(BetSizing): concatenated on the wrong axis accidentally

* fix(Reporting): able to use the new Stats type

* fix(BetSizing): renamed int column names

* fix(Portfolio): name the column properly

* fix(Reporting): rename the correct Series, lol

* fix(Inference): walk_forwad_inference() can deal with models not being aligned with the starting index

* fix(WalkForward): accidentally using the wrong index

* fix(WalkForward): use the correct indicies to fetch last model/transformations

* fix(CI): changed the name of the results
 2022-01-29 06:41:40 +01:00
Mark Aron Szulyovszky 42a1bc59cb feat(Events): added EventFilter, EventLabeller (#186) 2022-01-26 23:22:43 +01:00