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@@ -70,7 +70,7 @@ class HighFreqNorm(Processor):
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columns=["FEATURE_%d" % i for i in range(12 * 240)],
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).sort_index()
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return df_new_features
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def config(self, fit_start_time=None, fit_end_time=None, **kwargs):
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if fit_start_time:
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self.fit_start_time = fit_start_time
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@@ -177,8 +177,8 @@ class HighfreqWorkflow(object):
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dataset_backtest.setup_data(handler_kwargs={})
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##=============get data=============
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xtest, = dataset.prepare(["test"])
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backtest_test, = dataset_backtest.prepare(["test"])
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(xtest,) = dataset.prepare(["test"])
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(backtest_test,) = dataset_backtest.prepare(["test"])
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print(xtest, backtest_test)
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return
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@@ -105,7 +105,7 @@ class RollingDataWorkflow(object):
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handler_kwargs={
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"start_time": datetime(train_start_time[0] + rolling_offset, *train_start_time[1:]),
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"end_time": datetime(test_end_time[0] + rolling_offset, *test_end_time[1:]),
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"processor_kwargs":{
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"processor_kwargs": {
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"fit_start_time": datetime(train_start_time[0] + rolling_offset, *train_start_time[1:]),
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"fit_end_time": datetime(train_end_time[0] + rolling_offset, *train_end_time[1:]),
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},
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@@ -126,7 +126,9 @@ class RollingDataWorkflow(object):
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},
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)
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dataset.setup_data(
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handler_kwargs={"init_type": DataHandlerLP.IT_FIT_SEQ,}
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handler_kwargs={
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"init_type": DataHandlerLP.IT_FIT_SEQ,
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}
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)
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dtrain, dvalid, dtest = dataset.prepare(["train", "valid", "test"])
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