iicd/xautodl
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Add DoubleEnsemble

Browse Source
This commit is contained in:
D-X-Y
2021-03-07 09:52:30 +00:00
parent 2f655f212a
commit 8318aebb06
2 changed files with 100 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files

3
exps/trading/baselines.py
View File

@@ -8,6 +8,7 @@
# python exps/trading/baselines.py --alg SFM #
# python exps/trading/baselines.py --alg XGBoost #
# python exps/trading/baselines.py --alg LightGBM #
# python exps/trading/baselines.py --alg DoubleE #
#####################################################
import sys
import argparse
@@ -46,6 +47,8 @@ def retrieve_configs():
alg2names["LightGBM"] = "workflow_config_lightgbm_Alpha360.yaml"
# State Frequency Memory (SFM): Stock Price Prediction via Discovering Multi-Frequency Trading Patterns, KDD-2017
alg2names["SFM"] = "workflow_config_sfm_Alpha360.yaml"
# 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"
# find the yaml paths
alg2paths = OrderedDict()