import pandas as pd from typing import Callable, Optional from config.types import Config, RawConfig from config.preprocess import preprocess_config, validate_config from config.presets import get_default_ensemble_config, get_lightweight_ensemble_config from data_loader.load import load_data from data_loader.process import check_data from labeling.process import label_data from reporting.wandb import launch_wandb, override_config_with_wandb_values from reporting.reporting import report_results from reporting.saving import save_models from reporting.types import Reporting from training.training_steps import primary_step, secondary_step import ray ray.init() def run_pipeline(project_name:str, with_wandb: bool, sweep: bool, raw_config: RawConfig) -> tuple[Reporting.Asset, Config, pd.DataFrame, pd.DataFrame, pd.DataFrame]: wandb, config = __setup_config(project_name, with_wandb, sweep, raw_config) reporting = __run_training(config) results, all_predictions, all_probabilities, all_models = reporting.get_results() report_results(results, all_predictions, config, wandb, sweep, project_name) save_models(all_models, config) return all_models, config, results, all_predictions, all_probabilities def __setup_config(project_name:str, with_wandb: bool, sweep: bool, raw_config: RawConfig) -> tuple[Optional[object], Config]: wandb = None if with_wandb: wandb = launch_wandb(project_name=project_name, default_config=raw_config, sweep=sweep) raw_config = override_config_with_wandb_values(wandb, raw_config) config = preprocess_config(raw_config) return wandb, config def __run_training(config: Config): validate_config(config) reporting = Reporting() # 1. Load data, check for validity X, returns, forward_returns = load_data( assets = config.assets, other_assets = config.other_assets, exogenous_data = config.exogenous_data, target_asset = config.target_asset, load_non_target_asset = config.load_non_target_asset, own_features = config.own_features, other_features = config.other_features, exogenous_features = config.exogenous_features, ) assert check_data(X, config) == True, "Data is not valid." # 2. Filter for significant events when we want to trade, and label data events, X, y, forward_returns = label_data(config.event_filter, config.labeling, X, returns, forward_returns) # 3. Train a Primary model with optional metalabeling for each asset training_step_primary, current_predictions = primary_step(X, y, forward_returns, config, reporting, from_index = None) # 4. Train an Ensemble model with optional metalabeling for each asset training_step_secondary = secondary_step(X, y, current_predictions, forward_returns, config, reporting, from_index = None) # 5. Save the models reporting.asset = Reporting.Asset(name = config.target_asset[1], primary = training_step_primary, secondary = training_step_secondary) return reporting if __name__ == '__main__': run_pipeline(project_name='price-prediction', with_wandb = False, sweep = False, raw_config=get_default_ensemble_config())