mirror of
https://github.com/webclinic017/drift.git
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Daniel Szemerey
78a7fe028e
* feat: Added collection of models into a dictionary. * feat: Models are now saved in a structured way into a dictionary. * Rename run_model_test.py to run_model_dev.py * fix(Pipeline): missing variable statement Co-authored-by: Mark Aron Szulyovszky <mark.szulyovszky@gmail.com>
66 lines
2.6 KiB
Python
66 lines
2.6 KiB
Python
import pandas as pd
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from typing import Literal
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from training.walk_forward import walk_forward_train_test
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from utils.evaluate import evaluate_predictions
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from models.base import Model
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from utils.scaler import get_scaler
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from utils.types import ScalerTypes
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def run_single_asset_trainig(
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ticker_to_predict: str,
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original_X: pd.DataFrame,
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X: pd.DataFrame,
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y: pd.Series,
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target_returns: pd.Series,
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models: list[tuple[str, Model]],
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method: Literal['regression', 'classification'],
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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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scaler: ScalerTypes,
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no_of_classes: Literal['two', 'three-balanced', 'three-imbalanced'],
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level: int
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) -> tuple[pd.DataFrame, pd.DataFrame, pd.DataFrame, dict]:
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scaler = get_scaler(scaler)
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results = pd.DataFrame()
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all_models_single_asset = dict()
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predictions = pd.DataFrame(index=y.index)
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probabilities = pd.DataFrame(index=y.index)
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for model_name, model in models:
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model_over_time, preds, probs = walk_forward_train_test(
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model_name=model_name,
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model = model,
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X = X if model.feature_selection == 'on' else original_X,
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y = y,
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target_returns = target_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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scaler = scaler
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)
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assert len(preds) == len(y)
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result = evaluate_predictions(
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model_name = model_name,
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target_returns = target_returns,
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y_pred = preds,
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y_true = y,
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method = method,
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no_of_classes=no_of_classes,
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discretize=True
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)
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column_name = "model_" + ticker_to_predict + "_" + model_name + "_lvl" + str(level)
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results[column_name] = result
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all_models_single_asset[model_name] = model_over_time
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# column names for model outputs should be different, so we can differentiate between original data and model predictions later, where necessary
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predictions[column_name] = preds
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probs_column_name = "probs_" + ticker_to_predict + "_" + model_name + "_lvl" + str(level)
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probs.columns = [probs_column_name + "_" + c for c in probs.columns]
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probabilities = pd.concat([probabilities, probs], axis=1)
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return results, predictions, probabilities, all_models_single_asset |