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Mark Aron Szulyovszky 9d47ee942d feat(Project): use SKLearn models directly, removed custom ensembling, use 5 minute data, batch inference, numba cusum filter (#192)
* feat(Project): use 5 minute data, running training in parallel, sped up cusum filter by 10x with numba

* fix(WalkForward): inference mini-batch parallelization

* fix(WalkForward): don't use the parallel version of any of the functions

* feat(CI): download the data required

* fix(Project): 5min_crypto folder added

* fix(Evaluate): make sure we have numerical stability in returns

* feat(Models): use SKLearn models directly to enable composability

* feat(Inference): batched inference now working, added forecasting_horizon

* fix(Inference): works again

* fix(Inference)

* chore(Models): remove unused Ensemble model

* fix(Labeller): don't just forward shift returns, also take the sum of the data happened until then

* Update test.yml
2022-02-17 16:36:35 +01:00

65 lines
1.9 KiB
YAML

name: run test and pipeline
on: [push]
jobs:
run:
runs-on: [ubuntu-latest]
# optionally use a convenient Ubuntu LTS + CUDA + DVC + CML image
# container: docker://dvcorg/cml:0-dvc2-base1-gpu
# container: docker://ghcr.io/iterative/cml:0-dvc2-base1-gpu
steps:
- uses: actions/checkout@v2
- uses: conda-incubator/setup-miniconda@v2
with:
auto-update-conda: false
activate-environment: quant
environment-file: environment.yml
python-version: 3.9
- uses: iterative/setup-cml@v1
- name: Run pytest
shell: bash -l {0}
run: |
pytest --junit-xml pytest.xml
- name: Download data
shell: bash -l {0}
run: |
python run_fetch_data_5min.py
- name: Run pipeline
shell: bash -l {0}
run: |
export RAY_DISABLE_MEMORY_MONITOR=1
python run_pipeline.py
# - name: Run portfolio reporting
# shell: bash -l {0}
# run: |
# python run_portfolio_reporting.py
- name: Run inference
shell: bash -l {0}
run: |
python run_inference.py
- name: Delete models
shell: bash -l {0}
run: |
rm -rf ./output/models
- uses: actions/upload-artifact@v2
with:
name: artifacts
path: output
- name: Upload Unit Test Results
if: always()
uses: actions/upload-artifact@v2
with:
name: Unit Test Results (Python ${{ matrix.python-version }})
path: pytest.xml
- name: Publish Unit Test Results
uses: EnricoMi/publish-unit-test-result-action@v1
if: always()
with:
files: pytest.xml
- name: Write CML report
env:
REPO_TOKEN: ${{ secrets.GITHUB_TOKEN }}
run: |
cat output/results.csv >> report.md
cml-send-comment report.md