from utils.load_data import load_data import pandas as pd from training.training import run_single_asset_trainig from utils.launch_wandb import launch_wandb, seperate_configs from models.model_map import map_model_name_to_function from default_config import get_default_config def setup_pipeline(project_name:str, with_wandb: bool, sweep: bool): model_config, training_config, data_config = get_default_config() wandb = None if with_wandb: wandb = launch_wandb(project_name=project_name, default_config=dict(**model_config, **training_config, **data_config), sweep=sweep) model_config, training_config, data_config = seperate_configs(wandb, model_config, training_config, data_config) model_config = map_model_name_to_function(model_config, data_config['method']) pipeline(project_name, wandb, sweep, model_config, training_config, data_config) def pipeline(project_name:str, wandb, sweep:bool, model_config:dict, training_config:dict, data_config:dict ): results = pd.DataFrame() for asset in data_config['all_assets']: print('--------\nPredicting: ', asset) all_predictions = pd.DataFrame() # 1. Load data data_params = data_config.copy() data_params['target_asset'] = asset X, y, target_returns = load_data(**data_params) # 2. Train Level-1 models current_result, current_predictions = run_single_asset_trainig( ticker_to_predict = asset, X = X, y = y, target_returns = target_returns, models = model_config['level_1_models'], method = data_config['method'], sliding_window_size = training_config['sliding_window_size'], retrain_every = training_config['retrain_every'], scaler = training_config['scaler'], wandb = wandb, project_name=project_name, sweep=sweep ) results = pd.concat([results, current_result], axis=1) all_predictions = pd.concat([all_predictions, current_predictions], axis=1) if len(model_config['level_2_models']) > 0: # 3. Train Level-2 (Ensemble) model ensemble_X = all_predictions if training_config['include_original_data_in_ensemble']: ensemble_X = pd.concat([ensemble_X, X], axis=1) ensemble_result, ensemble_preds = run_single_asset_trainig( ticker_to_predict = asset, X = ensemble_X, y = y, target_returns = target_returns, models = model_config['level_2_models'], method = data_config['method'], sliding_window_size = training_config['sliding_window_size'], retrain_every = training_config['retrain_every'], scaler = training_config['scaler'], wandb = wandb, project_name=project_name, sweep=sweep ) results = pd.concat([results, ensemble_result], axis=1) all_predictions = pd.concat([all_predictions, ensemble_preds], axis=1) results.to_csv('results.csv') level1_columns = results[[column for column in results.columns if 'Ensemble' not in column]] ensemble_columns = results[[column for column in results.columns if 'Ensemble' in column]] print("Mean Sharpe ratio for Level-1 models: ", level1_columns.loc['sharpe'].mean()) print("Mean Sharpe ratio for Level-2 (Ensemble) models: ", ensemble_columns.loc['sharpe'].mean()) if sweep: if wandb.run is not None: wandb.finish() if __name__ == '__main__': setup_pipeline(project_name='price-prediction', with_wandb = False, sweep = False)