5 Commits

Author	SHA1	Message	Date
Mark Aron Szulyovszky	79d84cf0a3	feat(Model): added own Model class, SkLearnModel wrapper and StaticMomentumModel (#61) ... * feat(Model): added own `Model` class, SkLearnModel wrapper and StaticMomentumModel * fix(Tests): added missing Model variable * fix(Tests): added missing clone method()	2021-12-21 10:30:09 +01:00
Mark Aron Szulyovszky	b8b7375c30	feat(Tests): added test for evaluate_predictions() (#41)	2021-12-18 22:23:07 +01:00
Mark Aron Szulyovszky	0963df2087	refactor(Project): move out load_data to utils, rename fetch_data to run_fetch_data, got classifiers to work (#38)	2021-12-17 17:41:50 +01:00
Mark Aron Szulyovszky	cc7061b456	feat(Core): ensemble models, correct forward returns calculation, scaling, only train from when asset returns are available, major bug fixed in walk_forward_train_test (#35) ... * fix(Core): correct forward returns calculation, classifiers are now working again, only train from when asset returns are available * feat(Utils): added get_first_valid_return_index() * feat(Ensemble): return models from `run_whole_pipeline` * feat(Ensemble): added ensemble step, fixed walk_forward_train_test predictions index confusion, * chore(Pipeline): remove unnecessary extra ensemble results dataframe * refactor(Core): removed unnecessary ensemble_train_predict, moved run_single_asset_trainig_pipeline to a separate file * feat(Training): added scaling on expanding window (the past) to walk_forward_train_test(), now printing out mean sharpe ratio * feat(CI): added environment.yml file * chore(Environment): update env.yml * feat(CI): added testing workflow * fix(CI): renamed enviroment.yml * fix(Tests): added missing new parameter to walk_forward_train_test()	2021-12-17 14:32:17 +01:00
Mark Aron Szulyovszky	6440ced32c	feat(Tests): added basic unit tests for walk_forward_train_test() (#22) ... * feat(Tests): added basic unit tests for walk_forward_train_test() * fix(Tests): inherit from BaseEstimator, fix index problems in walk_forward_train_test * fix(WalkForward): predictions were mistakenly removed, oops * fix(WalkForward): mistakenly re-assiging model	2021-12-15 17:54:03 +01:00