from typing import 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 training.directional_training import train_directional_models from training.bet_sizing import bet_sizing_with_meta_models from training.ensemble import ensemble_weights from training.types import PipelineOutcome import ray ray.init() def run_pipeline(project_name:str, with_wandb: bool, sweep: bool, raw_config: RawConfig) -> tuple[PipelineOutcome, Config]: wandb, config = __setup_config(project_name, with_wandb, sweep, raw_config) pipeline_outcome = __run_training(config) report_results([s.stats for s in pipeline_outcome.directional_training.training], pipeline_outcome.get_output_stats(), pipeline_outcome.get_output_weights(), config, wandb, sweep) save_models(pipeline_outcome, config) return pipeline_outcome, config 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) -> PipelineOutcome: validate_config(config) # 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 directional models directional_training_outcome = train_directional_models(X, y, forward_returns, config, config.directional_models, from_index = None, preloaded_training_step = None) # 4. Run bet sizing on primary model's output bet_sizing_outcomes = [bet_sizing_with_meta_models(X, outcome.predictions, y, forward_returns, config.meta_models, config, 'meta', None, None, None) for outcome in directional_training_outcome.training] # 4. Ensemble weights ensemble_outcome = ensemble_weights([o.weights for o in bet_sizing_outcomes], forward_returns, y, config.no_of_classes, config.mode == 'training') # 5. (Optional) Additional bet sizing on top of the ensembled weights ensemble_bet_sizing_outcome = bet_sizing_with_meta_models(X, ensemble_outcome.weights, y, forward_returns, config.meta_models, config, 'ensemble', None, None, None) if len(config.meta_models) > 0 else None return PipelineOutcome(directional_training_outcome, bet_sizing_outcomes, ensemble_outcome, ensemble_bet_sizing_outcome) if __name__ == '__main__': run_pipeline(project_name='price-prediction', with_wandb = False, sweep = False, raw_config=get_default_ensemble_config())