Commit Graph

4 Commits

Author SHA1 Message Date
Mark Aron Szulyovszky cc70d3f907 feat(Selection): added toggleable feature selection step into the pipeline (#83)
* feat(Selection): added prototype feature selection python script

* feat(Utils): added some helpers for the future from Advances in Financial ML book

* feat(Selection): added RFECV

* feat(Selection): added configurable feature selection step into pipeline

* feat(Config): added level_1 & level_2 default config, PCA before feature selection process starts

* feat(Selection): added backup feature selector models if current one can't output feature importance, removed unnecessary array for level-2 models

* fix(Training): deal with zero first value coming out of static models

* feat(Sweep): added feature selection sweep

* fix(Sweep): config problem

* fix(Sweep): config

* chore(Utils): removed unnecessary purged k-fold crossval class

* feat(Config): added dimensionality_reduction as a separate flag

* fix(Sweep): config updated

* fix(Sweep): sweep name

* chore(Config): updated level_2 config to the best performing configuation
2021-12-27 21:59:22 +01:00
Mark Aron Szulyovszky b6cd6b14fe feat(Config): feature extractors are enabled one-by-one with a bool, added previous model to model.fit() (#77)
* feat(Config): feature extractors are enabled one-by-one with a bool, added previous model to model.fit()

* fix(Sweep): removed unused `other_features` parameter that fails sweep

* feat(Config): using preset names for defining feature extractors again

* fix(Tests): fixed model stub classes
2021-12-23 10:35:20 +01:00
Mark Aron Szulyovszky d3d7184ea4 feat(Models): added StaticAverageModel for average ensembling & StaticNaiveModel (#64)
* feat(Models): added StaticAverageModel for average ensembling

* feat(Models): made sure we only pipe in predictions to StaticAverageModel, added StaticNaiveModel as potential baseline

* chore(Models): removed unnecessary commented out code
2021-12-21 15:57:08 +01:00
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