3 Commits

Author	SHA1	Message	Date
Mark Aron Szulyovszky	e80fffdb65	refactor(Config): use a Config object instead of dictionary of dictionaries! (#184) ... * refactor(Config): use a Config object instead of dictionary of dictionaries! * fix(Config): use default_ensemble_config * fix(Portfolio): fixed portfolio construction	2022-01-23 18:37:43 +01:00
Mark Aron Szulyovszky	1cd0119589	feat(DataLoader): caching MVP, added ability to use standard scaling for exogenous data, scaling is now also done before feature selection (#105) ... * fix(FeatureExtractor): apply log to transform some series to normality * feat(DataLoader): add ability of not returning returns when they're not needed (exogenous data), applied log to certain features * feat(FeatureExtractors): added standard scaling for exogenous data * feat(FeatureSelection): scale data with the passed in scaler before doing feature-selection * fix(Config): sweep config * feat(Models): output probability, store it * feat(Core): added caching to select_features() and load_data() * fix(Dependencies): added diskcache * fix(Training): error when creating results DF * feat(Models): added xgboost, fixed tests * refactor(Cache): moved hashing to a separate function, created wrapper functions to separate business logic and caching * fix(Tests): new syntax * fix(Model): XGboost can't handle -1 class, so we'll use the deprecated label_encoder fornow * fix(Model): XGBoost config * feat(Cache): add run_clear_cache script * fix(Pipeline) accidentally re-instatiating all_predictions for each asset	2022-01-04 11:44:35 +01:00
Mark Aron Szulyovszky	442915f847	feat(Data): create DataSource, DataCollection, added hourly crypto data (#96) ... * feat(Data): create DataSource, DataCollection, added hourly crypto data * fix(Data): hourly data format, loading & config	2021-12-31 19:04:27 +01:00