mirror of
https://github.com/webclinic017/drift.git
synced 2026-08-02 13:47:47 +00:00
Mark Aron Szulyovszky
f85ee6bb9c
* fix(MetaLabeling): previously misinterpreted meta-labeling, now also multiplying base model's prediction with the meta model's prediction * fix(Evaluate): print results * fix(Evaluate): make sure we have numerical stability in returns * fix(Inference): only output and print stats in training mode * fix(Evaluate): don't add miniscule amount to result
87 lines
3.3 KiB
Python
87 lines
3.3 KiB
Python
import pandas as pd
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from typing import Literal, Optional
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from training.walk_forward import walk_forward_train, walk_forward_inference
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from utils.evaluate import evaluate_predictions
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from models.base import Model
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from .types import ModelOverTime, TransformationsOverTime, TrainingOutcome
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def train_models(
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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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forward_returns: pd.Series,
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models: list[Model],
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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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from_index: Optional[pd.Timestamp],
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no_of_classes: Literal['two', 'three-balanced', 'three-imbalanced'],
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level: str,
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output_stats: bool,
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transformations_over_time: TransformationsOverTime,
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models_over_time: Optional[list[ModelOverTime]]
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) -> list[TrainingOutcome]:
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return [train_model(ticker_to_predict, X, y, forward_returns, model, expanding_window, sliding_window_size, retrain_every, from_index, no_of_classes, level, output_stats, transformations_over_time, models_over_time[index] if models_over_time else None) for index, model in enumerate(models)]
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def train_model(
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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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forward_returns: pd.Series,
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model: Model,
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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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from_index: Optional[pd.Timestamp],
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no_of_classes: Literal['two', 'three-balanced', 'three-imbalanced'],
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level: str,
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output_stats: bool,
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transformations_over_time: TransformationsOverTime,
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model_over_time: Optional[ModelOverTime]
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) -> TrainingOutcome:
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if model_over_time is None:
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print("Train model")
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model_over_time = walk_forward_train(
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model = model,
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X = X,
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y = y,
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forward_returns = forward_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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from_index = from_index,
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transformations_over_time = transformations_over_time,
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)
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levelname = ("_" + level) if level == 'meta' else ""
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if model_over_time is None:
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model_id = "model_" + model.name + "_" + ticker_to_predict + levelname
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else:
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model_id = model_over_time.name
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predictions, probabilities = walk_forward_inference(
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model_name = model_id,
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model_over_time= model_over_time,
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transformations_over_time = transformations_over_time,
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X = X,
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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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from_index = from_index,
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)
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assert len(predictions) == len(y)
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if output_stats:
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stats = evaluate_predictions(
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forward_returns = forward_returns,
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y_pred = predictions,
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y_true = y,
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no_of_classes=no_of_classes,
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discretize=True
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)
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else:
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stats = None
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return TrainingOutcome(model_id, predictions, probabilities, stats, model_over_time) |