gavindiaz/drift

mirror of https://github.com/webclinic017/drift.git synced 2026-07-27 18:57:55 +00:00

T

Mark Aron Szulyovszky cc70d3f907 feat(Selection): added toggleable feature selection step into the pipeline (#83 )

* feat(Selection): added prototype feature selection python script

* feat(Utils): added some helpers for the future from Advances in Financial ML book

* feat(Selection): added RFECV

* feat(Selection): added configurable feature selection step into pipeline

* feat(Config): added level_1 & level_2 default config, PCA before feature selection process starts

* feat(Selection): added backup feature selector models if current one can't output feature importance, removed unnecessary array for level-2 models

* fix(Training): deal with zero first value coming out of static models

* feat(Sweep): added feature selection sweep

* fix(Sweep): config problem

* fix(Sweep): config

* chore(Utils): removed unnecessary purged k-fold crossval class

* feat(Config): added dimensionality_reduction as a separate flag

* fix(Sweep): config updated

* fix(Sweep): sweep name

* chore(Config): updated level_2 config to the best performing configuation

2021-12-27 21:59:22 +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

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

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

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

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(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +01:00

feature_selection

feat(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +01:00

feat(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +01:00

feat(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +01:00

feat(Data): add option to predict 3 classes (#79 )

2021-12-23 13:24:56 +01:00

feat(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +01:00

feat(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +01:00

.gitignore

feature: Added Weights and Biases configuration to the repo. (#48 )

2021-12-20 14:01:14 +01:00

config.py

feat(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +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(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +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(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +01:00

run_sweep.py

Feature: Added sweep functionality (#65 )

2021-12-21 17:28:36 +01:00

sweep_level_1.yaml

feat(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +01:00

sweep_level_2.yaml

feat(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +01:00

sweep_selection.yaml

feat(Selection): added toggleable feature selection step into the pipeline (#83 )

2021-12-27 21:59:22 +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!:)