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Mark Aron Szulyovszky 95573eb9dd feat(Data): add option to predict 3 classes (#79) 
* feat(Data): add option to predict 3 classes

* feat(Evaluation): added ability to evaluate 3 class predictions

* chore(Config): set sensible config for regression models

* feat(Data): added option to use balanced or imbalanced three-class data

* feat(Evaluate): correctly track "no_of_samples" now that we have three classes

* chore(Sweep): remove probably not useful scaler values from sweep
2021-12-23 13:24:56 +01:00
.github/workflows
refactor(Project): move out load_data to utils, rename fetch_data to run_fetch_data, got classifiers to work (#38)
2021-12-17 17:41:50 +01:00
.vscode
feat(Pipeline): save results, train on all assets
2021-12-14 22:59:44 +01:00
archive
refactor(Project): move out load_data to utils, rename fetch_data to run_fetch_data, got classifiers to work (#38)
2021-12-17 17:41:50 +01:00
data
refactor(Project): move out load_data to utils, rename fetch_data to run_fetch_data, got classifiers to work (#38)
2021-12-17 17:41:50 +01:00
feature_extractors
feat(Config): feature extractors are enabled one-by-one with a bool, added previous model to model.fit() (#77)
2021-12-23 10:35:20 +01:00
models
feat(Data): add option to predict 3 classes (#79)
2021-12-23 13:24:56 +01:00
reporting
feat(Config): feature extractors are enabled one-by-one with a bool, added previous model to model.fit() (#77)
2021-12-23 10:35:20 +01:00
tests
feat(Data): add option to predict 3 classes (#79)
2021-12-23 13:24:56 +01:00
training
feat(Data): add option to predict 3 classes (#79)
2021-12-23 13:24:56 +01:00
utils
feat(Data): add option to predict 3 classes (#79)
2021-12-23 13:24:56 +01:00
.gitignore
feature: Added Weights and Biases configuration to the repo. (#48)
2021-12-20 14:01:14 +01:00
config.py
feat(Data): add option to predict 3 classes (#79)
2021-12-23 13:24:56 +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.yml
feat(Models): added debug_future_lookahead, sped up LogisticRegression & DecisionTreeClassifier (#74)
2021-12-22 16:59:03 +01:00
exploration.ipynb
feat(Models): added model that predicts 10 days ahead
2021-11-12 16:10:55 +01:00
README.md
feat(Core): ensemble models, correct forward returns calculation, scaling, only train from when asset returns are available, major bug fixed in walk_forward_train_test (#35)
2021-12-17 14:32:17 +01:00
run_fetch_data.py
refactor(Project): move out load_data to utils, rename fetch_data to run_fetch_data, got classifiers to work (#38)
2021-12-17 17:41:50 +01:00
run_pipeline.py
feat(Data): add option to predict 3 classes (#79)
2021-12-23 13:24:56 +01:00
run_sweep.py
Feature: Added sweep functionality (#65)
2021-12-21 17:28:36 +01:00
sweep.yaml
feat(Data): add option to predict 3 classes (#79)
2021-12-23 13:24:56 +01:00
wandb_setup.py
feature: Added Weights and Biases configuration to the repo. (#48)
2021-12-20 14:01:14 +01:00

README.md

Financial time series prediction models

Installation

Use the conda environment file attached!:)

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Readme 11 MiB
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Python 85%
Jupyter Notebook 15%