mirror of https://github.com/webclinic017/drift.git synced 2026-07-28 03:08:01 +00:00

T

Mark Aron Szulyovszky cc7061b456 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 )

* fix(Core): correct forward returns calculation, classifiers are now working again, only train from when asset returns are available

* feat(Utils): added get_first_valid_return_index()

* feat(Ensemble): return models from `run_whole_pipeline`

* feat(Ensemble): added ensemble step, fixed walk_forward_train_test predictions index confusion,

* chore(Pipeline): remove unnecessary extra ensemble results dataframe

* refactor(Core): removed unnecessary ensemble_train_predict, moved run_single_asset_trainig_pipeline to a separate file

* feat(Training): added scaling on expanding window (the past) to walk_forward_train_test(), now printing out mean sharpe ratio

* feat(CI): added environment.yml file

* chore(Environment): update env.yml

* feat(CI): added testing workflow

* fix(CI): renamed enviroment.yml

* fix(Tests): added missing new parameter to walk_forward_train_test()

2021-12-17 14:32:17 +01:00

.github/workflows

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

.vscode

feat(Pipeline): save results, train on all assets

2021-12-14 22:59:44 +01:00

archive

feat(WalkForward): added regression/classification switch, archived old experiments, wrapped the process into run_whole_pipeline() (#10 )

2021-12-14 18:16:17 +01:00

data

feat(WalkForward): added regression/classification switch, archived old experiments, wrapped the process into run_whole_pipeline() (#10 )