Commit Graph

8 Commits

Author SHA1 Message Date
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 867269df2b feat(Data): added daily_glassnode DataCollection (#99) 2022-01-03 13:57:36 +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
Mark Aron Szulyovszky f762ceed2a feat(FeatureExtraction): added fractionally differentiated returns to remove lagged returns (#95)
* feat(FeatureExtraction): added fractionally differentiated returns to remove lagged returns

* fix(Sweep): config

* fix(Sweep): name

* fix(Sweep): grid

* feat(Config): separated sliding_window_size_level1 & sliding_window_size_level2

* feat(Dependencies): added ray, now using it to parallel process feature extraction

* fix(Dependencies): added pip explicitly

* fix(Dependencies): removed ray from root

* fix(Models): average model was probably not taking the right timestamp to average

* feat(Config): separated expanding_window_level1 & expanding_window_level2

* fix(Config): set n_features_to_select to the optimal 30
2021-12-28 22:50:09 +01:00
Mark Aron Szulyovszky baf7d261e8 feat(Models): added model that predicts 10 days ahead 2021-11-12 16:10:55 +01:00
Mark Aron Szulyovszky 78b3c07420 feat(Model): trying to get to a model that can train 2021-11-11 17:53:24 +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 20aa1474d6 feat(Data): added extra features, exploration notebook 2021-11-09 17:16:40 +01:00