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you-n-g be4646b4b7 Adjust rolling api (#1594) 
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README.md
Adjust rolling api (#1594)
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rolling_benchmark.py
Adjust rolling api (#1594)
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workflow_config_lightgbm_Alpha158.yaml
Adjust rolling api (#1594)
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workflow_config_linear_Alpha158.yaml
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README.md

Introduction

This is the framework of periodically Rolling Retrain (RR) forecasting models. RR adapts to market dynamics by utilizing the up-to-date data periodically.

Run the Code

Users can try RR by running the following command:

    python rolling_benchmark.py run

The default forecasting models are Linear. Users can choose other forecasting models by changing the model_type parameter. For example, users can try LightGBM forecasting models by running the following command:

    python rolling_benchmark.py --conf_path=workflow_config_lightgbm_Alpha158.yaml run