mirror of https://github.com/webclinic017/drift.git synced 2026-08-06 15:47:52 +00:00

T

Mark Aron Szulyovszky 75157c6285 feat(Labeling): purge overlapping events, sort dataframe at loading time (#226 )

* feat(Labeling): purge overlapping events, sort dataframe at loading time

* fix(Linter): ran

* refactor(Labeling): moved purge_overlapping_events one abstraction level higher

* fix(Data): renamed class

* fix(Data): corrected parameter name

* fix(Config): parameters

* fix(Data): fixed path

* fix(Data): uncommented required code

* feat(EventFilters): use vol based CUSUM

* fix(Config): only retrain every 2000 samples

* fix(Config): filter out even more events

* fix(Inference): added remove_overlapping_events

* refactor(Types): simplified type hierarchy

2022-03-02 00:26:33 +01:00

.github/workflows

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

.vscode

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

config

feat(Labeling): purge overlapping events, sort dataframe at loading time (#226 )

2022-03-02 00:26:33 +01:00

data

feature(Config): added transformation parameters to Config, removed expanding_window (it's ON now)

2022-02-19 14:44:49 +01:00

data_loader

fix(Data): make sure we have data in chronological order

2022-02-20 18:01:01 +01:00

docs

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

feature_extractors

feat(Data): added script to download data from binance (#224 )

2022-02-20 12:30:53 +01:00

labeling

feat(Labeling): purge overlapping events, sort dataframe at loading time (#226 )

2022-03-02 00:26:33 +01:00

models

fix(Ensembling): stacking now works (although performance is poor)

2022-02-19 19:19:02 +01:00

mycodemod

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

output

chore(Project): added output folder (#124 )

2022-01-07 19:03:17 +01:00

reporting

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

tests

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

training

feat(Labeling): purge overlapping events, sort dataframe at loading time (#226 )

2022-03-02 00:26:33 +01:00

transformations

feat(Transformations): added robust scaler (#223 )

2022-02-20 00:41:46 +01:00

utils

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

.gitignore

feat(Project): use SKLearn models directly, removed custom ensembling, use 5 minute data, batch inference, numba cusum filter (#192 )

2022-02-17 16:36:35 +01:00

.libcst.codemod.yaml

Create copy_repo.yml (#200 )

2022-02-02 17:23:16 +01:00

conftest.py

feat(Tests): added basic unit tests for walk_forward_train_test() (#22 )

2021-12-15 17:54:03 +01:00

environment-strip-action.yaml

Create copy_repo.yml (#200 )

2022-02-02 17:23:16 +01:00

environment.yml

feat(Data): added script to download data from binance (#224 )

2022-02-20 12:30:53 +01:00

exploration.ipynb

feat(Events): added EventFilter, EventLabeller (#186 )

2022-01-26 23:22:43 +01:00

README.md

Update README.md

2022-01-26 22:06:40 +01:00

run_clear_cache.py

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

run_evaluate_robustness.py

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

run_fetch_data_5min.py

feat(Labeling): purge overlapping events, sort dataframe at loading time (#226 )

2022-03-02 00:26:33 +01:00

run_fetch_data_daily.py

feat(Data): added script to download data from binance (#224 )

2022-02-20 12:30:53 +01:00

run_fetch_data_glassnode.py

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

run_inference.py

feat(Labeling): purge overlapping events, sort dataframe at loading time (#226 )

2022-03-02 00:26:33 +01:00

run_model_dev.py

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

run_multi_asset_pipeline.py

feat(Pipeline): added multi-asset pipeline, ensembling_method to config

2022-02-19 15:37:19 +01:00

run_pipeline.py

feat(Labeling): purge overlapping events, sort dataframe at loading time (#226 )

2022-03-02 00:26:33 +01:00

run_portfolio_reporting.py

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

run_sweep.py

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

strip_action.yaml

feat(Docs): prepare for sphinx-pages (#205 )

2022-02-02 17:56:25 +01:00

wandb_setup.py

chore(Linter): reformatted code with black (#211 )

2022-02-17 19:22:17 +01:00

README.md

Financial time series prediction

And end-to-end pipeline to train predictive Machine Learning models on financial (non-stationary, regime changing) time series. Includes feature selection and meta labelling.