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…t's make this work
… the networks and the actual algo
… the networks and the actual algo
… gaussian. still getting tensor shape mismatch errors..
… in lightninggit status!
…irichlet concentrations in what we pass to the network along with the state
…ake it work unless I reengineer everything, see #65
…t multiprocessing
…any, created portfolio_vs_market reward, cleaned up pgportfolio qvals/adv calc
danielhomola
reviewed
Feb 7, 2021
| s_cols = pd.Series(list(cols)) | ||
| ohlc_cols = s_cols[s_cols.str.contains("open|high|low|close")] | ||
| non_ohlc_cols = list(s_cols[~s_cols.str.contains("open|high|low|close")]) | ||
| vol_cols = list( |
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AFAIK, in contracts to the OHLC cols, volume cols are always the same for each instrument. OHLC cols can be suffixed with fd_whatever, hence the finicky way of fishing them out, but here we could just simply do
vol_cols = [NBarVars.volume, NBarVars.cum_volume_buy, NBarVars.cum_volume_sell]
vol_quote_cols = [
NBarVars.cum_volume_quote,
NBarVars.cum_volume_quote_buy,
NBarVars.cum_volume_quote_sell,
]
which is admittedly less sexy but reads better.. what do you reckon?
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that's true, i thought in case any of these aren't modelled than this version might fall over in _preprocess_train_dfs(), but why wouldn't we include these - I'll change it , thanks!
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of course you're totally right! this exact same scenario just happened to me :D sorry for my stupid comment! I think your original version is the robust one!
… or what the HEKK
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TimeGan implementation to develop a generator capable of providing us with good synthetic training data.
Article here; github here; bitbucket here;