* fix(Selection): dynamic step size for feature selection
* refactor(Pipeline): type definition
* chore(Cache): renamed clear_cache script
* feat(Config): dynamic feature selection is now a toggleable feature
* fix(Training): not passing in necessary parameter
* feature(MetaLabeling): added hacky prototype
* fix(MetaLabeling): drop index until first valid X & y
* fix(MetaLabeling): transform both X & y before feature selection
* fix(MetaLabeling): got feature selection to work
* fix(MetaLabeling): correct values for meta_y
* feat(MetaLabeling): created predictions multiplied by bet sizes
* feat(Pipeline): print out averaged result
* fix(Evaluation): correctly deal with non-discretized data
* fix(Pipeline): use the right column names
* refactor(Pipeline): move out meta-labeling
* refactor(Pipeline): complete refactoring
* feat(CI): post results to PR
* fix(Pipeline): use the correct filename
* chore(Config): removed now redundant feature_selection flag
* feat(Models): added SVC
* fix(Pipeline): accidentally switched two return values
* feat(Sweep): prepared sweep_meta.yaml, moved report_results() into a separate file
* fix(Pipeline): wrong function name
* fix(Sweep): yaml + run_sweep
* fix(Sweep): typo in name
* fix(Reporting): only save averaged results
* feat(MetaLabeling): use optional meta-labeling step for every lvl1 models, before averaging
* feat(Reporting): print out sharpe improvement in meta-labeling step
* fix(Sweep): adjusted config, defaulted to good defaults
* fix(Sweep): adjusted sweep
* 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
* 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
* 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
Mark Aron Szulyovszky