mirror of
https://github.com/webclinic017/drift.git
synced 2026-07-28 11:17:47 +00:00
Mark Aron Szulyovszky
9d47ee942d
* feat(Project): use 5 minute data, running training in parallel, sped up cusum filter by 10x with numba * fix(WalkForward): inference mini-batch parallelization * fix(WalkForward): don't use the parallel version of any of the functions * feat(CI): download the data required * fix(Project): 5min_crypto folder added * fix(Evaluate): make sure we have numerical stability in returns * feat(Models): use SKLearn models directly to enable composability * feat(Inference): batched inference now working, added forecasting_horizon * fix(Inference): works again * fix(Inference) * chore(Models): remove unused Ensemble model * fix(Labeller): don't just forward shift returns, also take the sum of the data happened until then * Update test.yml
59 lines
2.6 KiB
Python
59 lines
2.6 KiB
Python
import pandas as pd
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from models.base import Model
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from training.types import ModelOverTime, TransformationsOverTime
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from utils.helpers import get_first_valid_return_index
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from tqdm import tqdm
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from typing import Optional
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from data_loader.types import ForwardReturnSeries, XDataFrame, ySeries
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import ray
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from utils.parallel import parallel_compute_with_bar
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from copy import deepcopy
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def walk_forward_train(
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model: Model,
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X: XDataFrame,
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y: ySeries,
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forward_returns: ForwardReturnSeries,
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expanding_window: bool,
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window_size: int,
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retrain_every: int,
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from_index: Optional[pd.Timestamp],
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transformations_over_time: TransformationsOverTime,
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) -> ModelOverTime:
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models_over_time = pd.Series(index=y.index).rename(model.name)
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first_nonzero_return = max(get_first_valid_return_index(forward_returns), get_first_valid_return_index(X.iloc[:,0]), get_first_valid_return_index(y))
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train_from = first_nonzero_return + window_size + 1 if from_index is None else X.index.to_list().index(from_index)
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train_till = len(y)
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if model.only_column is not None:
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X = X[[column for column in X.columns if model.only_column in column]]
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if model.data_transformation == 'original':
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transformations_over_time = []
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models = parallel_compute_with_bar([train_on_window.remote(index, first_nonzero_return, window_size, X, y, model, expanding_window, transformations_over_time) for index in tqdm(range(train_from, train_till, retrain_every))])
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for index, current_model in models:
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models_over_time[X.index[index]] = current_model
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return models_over_time
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@ray.remote
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def train_on_window(index: int, first_nonzero_return: int, window_size: int, X: XDataFrame, y: ySeries, model: Model, expanding_window: bool, transformations_over_time: TransformationsOverTime) -> tuple[int, Model]:
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train_window_start = X.index[first_nonzero_return] if expanding_window else X.index[index - window_size - 1]
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train_window_end = X.index[index - 1]
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current_transformations = [transformation_over_time[index] for transformation_over_time in transformations_over_time]
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X_slice = X[train_window_start:train_window_end]
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for transformation in current_transformations:
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X_slice = transformation.transform(X_slice)
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X_slice = X_slice.to_numpy()
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y_slice = y[train_window_start:train_window_end].to_numpy()
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current_model = deepcopy(model)
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current_model.fit(X_slice, y_slice)
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return index, model
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