mirror of
https://github.com/webclinic017/drift.git
synced 2026-08-15 03:48:09 +00:00
Mark Aron SzulyovszkyandGitHub
18768c3925
* fix(FeatureExtractor): use a rolling z-score instead of StandardScaler with unavoidable lookahead bias * chore(Archive): removed archived models * fix(FeatureExtractors): syntax * fix(FeatureExtractors): mistake with expanding window
56 lines
1.4 KiB
YAML
56 lines
1.4 KiB
YAML
program: run_sweep.py
|
|
method: grid
|
|
project: price-forecasting
|
|
name: Meta labelling
|
|
metric:
|
|
goal: maximize
|
|
name: sharpe
|
|
parameters:
|
|
primary_models_meta_labeling:
|
|
value: True
|
|
assets:
|
|
value: ['daily_crypto']
|
|
other_assets:
|
|
value: ['daily_etf']
|
|
exogenous_data:
|
|
value: ['daily_glassnode']
|
|
expanding_window_primary:
|
|
value: True
|
|
expanding_window_meta_labeling:
|
|
value: True
|
|
sliding_window_size_primary:
|
|
value: 380
|
|
sliding_window_size_meta_labeling:
|
|
value: 380
|
|
n_features_to_select:
|
|
value: 50
|
|
dimensionality_reduction:
|
|
value: True
|
|
retrain_every:
|
|
value: 20
|
|
scaler:
|
|
value: 'minmax'
|
|
method:
|
|
value: 'classification'
|
|
no_of_classes:
|
|
value: 'two'
|
|
forecasting_horizon:
|
|
value: 1
|
|
load_non_target_asset:
|
|
value: True
|
|
log_returns:
|
|
value: True
|
|
index_column:
|
|
value: 'int'
|
|
primary_models:
|
|
value: ["LDA", "KNN", "SVC", "CART", "NB", "AB", "RF", "XGB_two_class", "LGBM", "StaticMom"]
|
|
meta_labeling_models:
|
|
values: [["LDA"], ["XGB_two_class"], ["LR_two_class"], ["LGBM"], ["LGBM", "LR_two_class"], ["XGB_two_class", "LDA"], ["XGB_two_class", "LR_two_class"]]
|
|
distribution: categorical
|
|
own_features:
|
|
value: ['date_days', 'level_2', 'lags_up_to_5']
|
|
other_features:
|
|
value: ['level_2', 'lags_up_to_5']
|
|
exogenous_features:
|
|
value: ['z_score']
|