diff --git a/examples/benchmarks_dynamic/DDG-DA/Makefile b/examples/benchmarks_dynamic/DDG-DA/Makefile new file mode 100644 index 000000000..c6cf5206e --- /dev/null +++ b/examples/benchmarks_dynamic/DDG-DA/Makefile @@ -0,0 +1,4 @@ +.PHONY: clean + +clean: + -rm -r *.pkl mlruns || true diff --git a/examples/benchmarks_dynamic/DDG-DA/workflow.py b/examples/benchmarks_dynamic/DDG-DA/workflow.py index b69107549..f57080055 100644 --- a/examples/benchmarks_dynamic/DDG-DA/workflow.py +++ b/examples/benchmarks_dynamic/DDG-DA/workflow.py @@ -116,7 +116,9 @@ class DDGDA: feature_selected = feature_df.loc[:, col_selected.index] - feature_selected = feature_selected.groupby("datetime").apply(lambda df: (df - df.mean()).div(df.std())) + feature_selected = feature_selected.groupby("datetime", group_keys=False).apply( + lambda df: (df - df.mean()).div(df.std()) + ) feature_selected = feature_selected.fillna(0.0) df_all = { @@ -168,7 +170,8 @@ class DDGDA: # - Only the dataset part is important, in current version of meta model will integrate the rb = RollingBenchmark(model_type=self.sim_task_model, **self.rb_kwargs) sim_task = rb.basic_task() - train_start = self.rb_kwargs.get("train_start", "2008-01-01") + # the train_start for training meta model does not necessarily align with final rolling + train_start = "2008-01-01" if self.rb_kwargs.get("train_start") is None else self.rb_kwargs.get("train_start") train_end = "2010-12-31" if self.meta_1st_train_end is None else self.meta_1st_train_end test_start = (pd.Timestamp(train_end) + pd.Timedelta(days=1)).strftime("%Y-%m-%d") proxy_forecast_model_task = {