mirror of
https://github.com/webclinic017/drift.git
synced 2026-08-01 13:17:47 +00:00
Mark Aron Szulyovszky
a9b05dbd42
* fix(Reporting): use weighted average (with no_of_samples as weights) and only report level-1 OR level-2 model performance * chore(Config): updated sweep config * fix(Reporting): missing import * fix(Evaluation): get_first_valid_return_index can deal with zero valid indexes * fix(Training): increase threshold for skipping assets * fix(DataLoader): target asset should be always the first column
66 lines
2.4 KiB
Python
66 lines
2.4 KiB
Python
import pandas as pd
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from typing import Literal
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from training.walk_forward import walk_forward_train_test
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from sklearn.preprocessing import MinMaxScaler, Normalizer, StandardScaler
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from utils.evaluate import evaluate_predictions
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from models.base import Model
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def __get_scaler(type: Literal['normalize', 'minmax', 'standardize', 'none']):
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if type == 'normalize':
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return Normalizer()
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elif type == 'minmax':
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return MinMaxScaler(feature_range= (-1, 1))
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elif type == 'standardize':
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return StandardScaler()
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else:
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return None
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def run_single_asset_trainig(
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ticker_to_predict: str,
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X: pd.DataFrame,
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y: pd.Series,
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target_returns: pd.Series,
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models: list[tuple[str, Model]],
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method: Literal['regression', 'classification'],
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expanding_window: bool,
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sliding_window_size: int,
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retrain_every: int,
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scaler: Literal['normalize', 'minmax', 'standardize', 'none'],
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no_of_classes: Literal['two', 'three-balanced', 'three-imbalanced'],
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level: int
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) -> tuple[pd.DataFrame, pd.DataFrame]:
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scaler = __get_scaler(scaler)
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results = pd.DataFrame()
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predictions = pd.DataFrame()
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for model_name, model in models:
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model_over_time, preds = walk_forward_train_test(
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model_name=model_name,
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model = model,
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X = X,
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y = y,
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target_returns = target_returns,
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expanding_window = expanding_window,
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window_size = sliding_window_size,
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retrain_every = retrain_every,
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scaler = scaler
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)
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assert len(preds) == len(y)
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result = evaluate_predictions(
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model_name = model_name,
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target_returns = target_returns,
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y_pred = preds,
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y_true = y,
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method = method,
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no_of_classes=no_of_classes
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)
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column_name = ticker_to_predict + "_" + model_name + "_lvl" + str(level)
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results[column_name] = result
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# column names for model outputs should be different, so we can differentiate between original data and model predictions later, where necessary
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predictions["model_" + column_name] = preds
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return results, predictions |