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Add baselines

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This commit is contained in:
D-X-Y
2021-03-17 03:32:47 +00:00
parent f6cbac706f
commit e04f17116d
7 changed files with 172 additions and 22 deletions
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exps/trading/baselines.py
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@@ -5,7 +5,8 @@
# python exps/trading/baselines.py --alg GRU #
# python exps/trading/baselines.py --alg LSTM #
# python exps/trading/baselines.py --alg ALSTM #
# python exps/trading/baselines.py --alg NAIVE #
# python exps/trading/baselines.py --alg NAIVE-V1 #
# python exps/trading/baselines.py --alg NAIVE-V2 #
# #
# python exps/trading/baselines.py --alg SFM #
# python exps/trading/baselines.py --alg XGBoost #
@@ -53,7 +54,8 @@ def retrieve_configs():
# DoubleEnsemble: A New Ensemble Method Based on Sample Reweighting and Feature Selection for Financial Data Analysis, https://arxiv.org/pdf/2010.01265.pdf
alg2names["DoubleE"] = "workflow_config_doubleensemble_Alpha360.yaml"
alg2names["TabNet"] = "workflow_config_TabNet_Alpha360.yaml"
alg2names["NAIVE"] = "workflow_config_naive_Alpha360.yaml"
alg2names["NAIVE-V1"] = "workflow_config_naive_v1_Alpha360.yaml"
alg2names["NAIVE-V2"] = "workflow_config_naive_v2_Alpha360.yaml"
# find the yaml paths
alg2paths = OrderedDict()