from collections import defaultdict from utils.load_data import get_crypto_assets from feature_extractors.feature_extractor_presets import presets from models.model_map import model_names_classification, model_names_regression def get_default_level_1_config() -> tuple[dict, dict, dict]: training_config = dict( dimensionality_reduction = True, feature_selection = True, n_features_to_select = 30, expanding_window_level1 = False, expanding_window_level2 = False, sliding_window_size_level1 = 380, sliding_window_size_level2 = 1, retrain_every = 20, scaler = 'minmax', # 'normalize' 'minmax' 'standardize' 'none' include_original_data_in_ensemble = False, ) data_config = dict( path='data/', all_assets = get_crypto_assets('data/'), load_other_assets= True, log_returns= True, forecasting_horizon = 1, own_features = ['level_2', 'date_days'], other_features = ['single_mom'], index_column= 'int', method= 'classification', no_of_classes= 'three-balanced' ) regression_models = ["Lasso"] classification_models = ["KNN"] model_config = dict( level_1_models = regression_models if data_config['method'] == 'regression' else classification_models, level_2_model = None ) return model_config, training_config, data_config def get_default_level_2_config() -> tuple[dict, dict, dict]: training_config = dict( dimensionality_reduction = True, feature_selection = True, n_features_to_select = 30, expanding_window_level1 = True, expanding_window_level2 = False, sliding_window_size_level1 = 380, sliding_window_size_level2 = 1, retrain_every = 20, scaler = 'minmax', # 'normalize' 'minmax' 'standardize' 'none' include_original_data_in_ensemble = False, ) data_config = dict( path='data/', all_assets = get_crypto_assets('data/'), load_other_assets= True, log_returns= True, forecasting_horizon = 1, own_features = ['level_2', 'date_days', 'fracdiff'], other_features = ['level_2', 'fracdiff'], index_column= 'int', method= 'classification', no_of_classes= 'three-balanced' ) regression_models = ["Lasso", "KNN", "RF"] regression_ensemble_model = 'KNN' classification_models = ["LR", "LDA", "KNN", "CART", "RF", "StaticMom"] classification_ensemble_model = 'Ensemble_Average' model_config = dict( level_1_models = regression_models if data_config['method'] == 'regression' else classification_models, level_2_model = regression_ensemble_model if data_config['method'] == 'regression' else classification_ensemble_model ) return model_config, training_config, data_config def validate_config(model_config:dict, training_config:dict, data_config:dict): # We need to make sure there's only one output from the pipeline # If level-2 model is there, we need more than one level-1 models to train if model_config["level_2_model"] is not None: assert len(model_config["level_1_models"]) > 0 # If there's no level-2 model, we need to have only one level-1 model if model_config["level_2_model"] is None: assert len(model_config["level_1_models"]) == 1 def get_model_name(model_config:dict) -> str: if model_config["level_2_model"] is not None: return model_config["level_2_model"][0] elif len(model_config["level_1_models"]) == 1: return model_config["level_1_models"][0][0] else: raise Exception("No model name found")