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()