drift

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Mark Aron Szulyovszky f762ceed2a feat(FeatureExtraction): added fractionally differentiated returns to remove lagged returns (#95 )

* feat(FeatureExtraction): added fractionally differentiated returns to remove lagged returns

* fix(Sweep): config

* fix(Sweep): name

* fix(Sweep): grid

* feat(Config): separated sliding_window_size_level1 & sliding_window_size_level2

* feat(Dependencies): added ray, now using it to parallel process feature extraction

* fix(Dependencies): added pip explicitly

* fix(Dependencies): removed ray from root

* fix(Models): average model was probably not taking the right timestamp to average

* feat(Config): separated expanding_window_level1 & expanding_window_level2

* fix(Config): set n_features_to_select to the optimal 30

2021-12-28 22:50:09 +01:00

evaluate.py

feat(Sweep): separated level-1 and level-2 sweep configs, skip assets with too few samples to train on, simplified model mapping (#84 )

2021-12-23 23:48:59 +01:00

get_prices.py

refactor(Reporting): only report the last model's results, moved wandb-related functions to reporting (#69 )

2021-12-22 12:04:38 +01:00

helpers.py

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

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

load_data.py

feat(FeatureExtraction): added fractionally differentiated returns to remove lagged returns (#95 )