time_test_modelling.py
Goal: Test and verify in sample and out of sample time splits for dataset
"""
from Code.lib.plot_utils import PlotUtility
from Code.lib.time_utils import TimeUtility
from Code.lib.retrieve_data import DataRetrieve, ComputeTarget
from Code.utilities.stat_tests import stationarity_tests, mean_and_variance
import datetime
from dateutil.relativedelta import relativedelta
from pandas.tseries.offsets import BDay
if __name__ == "__main__":
plotIt = PlotUtility()
timeUtil = TimeUtility()
dSet = DataRetrieve()
ct = ComputeTarget()
doPlot = False
issue = "tlt"
pivotDate = datetime.date(2018, 4, 2)
is_oos_ratio = 2
oos_months = 3
segments = 3
# get segmented dates
isOosDates = timeUtil.is_oos_data_split(issue, pivotDate, is_oos_ratio,
oos_months, segments)
dataLoadStartDate = isOosDates[0]
is_start_date = isOosDates[1]
from Code.lib.time_utils import TimeUtility
from Code.lib.retrieve_data import DataRetrieve, ComputeTarget
from Code.lib.retrieve_system_info import TradingSystemUtility
from Code.lib.candle_indicators import CandleIndicators
from Code.lib.transformers import Transformers
from Code.lib.ta_momentum_studies import TALibMomentumStudies
from Code.lib.model_utils import ModelUtility, TimeSeriesSplitImproved
from Code.lib.feature_generator import FeatureGenerator
from Code.utilities.stat_tests import stationarity_tests
from Code.lib.config import current_feature, feature_dict
from Code.models import models_utils
from Code.lib.model_algos import AlgoUtility
from Code.lib.tms_utils import TradeRisk
plotIt = PlotUtility()
timeUtil = TimeUtility()
ct = ComputeTarget()
candle_ind = CandleIndicators()
dSet = DataRetrieve()
taLibMomSt = TALibMomentumStudies()
transf = Transformers()
modelUtil = ModelUtility()
featureGen = FeatureGenerator()
dSet = DataRetrieve()
modelAlgo = AlgoUtility()
sysUtil = TradingSystemUtility()
tradeRisk = TradeRisk()
if __name__ == '__main__':
from Code.lib.plot_utils import PlotUtility
plotIt = PlotUtility()