Commit Graph

5 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 a9b05dbd42 fix(Reporting): use weighted average (with no_of_samples as weights) and only report level-1 OR level-2 model performance (#91)
* fix(Reporting): use weighted average (with no_of_samples as weights) and only report level-1 OR level-2 model performance

* chore(Config): updated sweep config

* fix(Reporting): missing import

* fix(Evaluation): get_first_valid_return_index can deal with zero valid indexes

* fix(Training): increase threshold for skipping assets

* fix(DataLoader): target asset should be always the first column
2021-12-26 12:15:11 +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 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