Commit Graph

5 Commits

Author SHA1 Message Date
Mark Aron Szulyovszky 25b64f5a3d refactor(Reporting): only report the last model's results, moved wandb-related functions to reporting (#69)
* refactor(Reporting): only report the last model's results, moved wandb-related functions to `reporting`

* fix(Reporting): use .mean() on axis 1 to retain the metrics, fixed get_model_name()

* fix(Config): sweep file syntax

* fix(Config): changed hyperparameter search method to "bayes"

* chore(Sweep): adjusted sweep config based on the results we saw (removed Momentum as well)

* fix(Sweep): only use classification method for now, we're not yet prepared for regression
2021-12-22 12:04:38 +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 797791d2f4 feat(Forecasting): pytorch-forecasting scaffolding is now working, added narrow data format, fixed missing time column index name (#5)
* feat: Started implementing pytorch-forecasting.

* feat(Forecasting): pytorch-forecasting scaffolding is now working, added narrow data format, fixed missing `time` column index name

Co-authored-by: Daniel Szemerey <szemy2@gmail.com>
2021-11-16 10:00:26 +01:00
Mark Aron Szulyovszky 3188aab220 feat(Model): continued with the keras model scaffolding 2021-11-10 14:51:12 +01:00
Mark Aron Szulyovszky 51b7d35660 feat(Data): downloading data for pre-defined tickers 2021-11-09 15:21:22 +01:00