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Bt enhance #83

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merged 9 commits into from
Apr 15, 2020
Merged

Bt enhance #83

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10e9c2c
backtest enhancement
wangzhishi Apr 14, 2020
d654496
bug fix associated with auto_scale
wangzhishi Apr 14, 2020
b8bf9eb
notebook update
wangzhishi Apr 14, 2020
1f62f05
notebook update
wangzhishi Apr 14, 2020
4de0e6a
more meta data
wangzhishi Apr 14, 2020
f025fd4
typo fix
wangzhishi Apr 14, 2020
5df4d7f
update unit test for backtest
wangzhishi Apr 14, 2020
fffabcc
resolve conflicts
wangzhishi Apr 15, 2020
77d83c6
update
wangzhishi Apr 15, 2020
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435 changes: 379 additions & 56 deletions examples/Backtest_Orbit_Model.ipynb
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99 changes: 69 additions & 30 deletions examples/Regressors_setup_demo.ipynb
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Original file line number Diff line number Diff line change
Expand Up @@ -16,7 +16,7 @@
},
{
"cell_type": "code",
"execution_count": 2,
"execution_count": 1,
"metadata": {
"ExecuteTime": {
"end_time": "2020-02-26T06:36:53.430179Z",
Expand All @@ -41,7 +41,7 @@
},
{
"cell_type": "code",
"execution_count": 3,
"execution_count": 2,
"metadata": {
"ExecuteTime": {
"end_time": "2020-02-26T06:36:53.434780Z",
Expand All @@ -60,7 +60,7 @@
"dtype: object"
]
},
"execution_count": 3,
"execution_count": 2,
"metadata": {},
"output_type": "execute_result"
}
Expand All @@ -75,7 +75,7 @@
},
{
"cell_type": "code",
"execution_count": 4,
"execution_count": 3,
"metadata": {
"ExecuteTime": {
"end_time": "2020-02-26T06:36:53.483821Z",
Expand Down Expand Up @@ -165,7 +165,7 @@
"4 2010-01-31 538617 1.086926 0.776993 1.072525"
]
},
"execution_count": 4,
"execution_count": 3,
"metadata": {},
"output_type": "execute_result"
}
Expand All @@ -176,7 +176,7 @@
},
{
"cell_type": "code",
"execution_count": 5,
"execution_count": 4,
"metadata": {
"ExecuteTime": {
"end_time": "2020-02-26T06:36:53.490218Z",
Expand Down Expand Up @@ -207,7 +207,7 @@
},
{
"cell_type": "code",
"execution_count": 6,
"execution_count": 5,
"metadata": {},
"outputs": [],
"source": [
Expand All @@ -218,7 +218,7 @@
},
{
"cell_type": "code",
"execution_count": 7,
"execution_count": 6,
"metadata": {},
"outputs": [],
"source": [
Expand All @@ -230,13 +230,15 @@
" seasonality=52,\n",
" seed=1,\n",
" predict_method='map',\n",
" is_multiplicative=True\n",
" sample_method='map',\n",
" is_multiplicative=True,\n",
" auto_scale=False\n",
")"
]
},
{
"cell_type": "code",
"execution_count": 8,
"execution_count": 7,
"metadata": {
"ExecuteTime": {
"end_time": "2020-02-26T06:36:53.916107Z",
Expand All @@ -258,43 +260,80 @@
},
{
"cell_type": "code",
"execution_count": 9,
"execution_count": 12,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>regressor</th>\n",
" <th>regressor_sign</th>\n",
" <th>coefficient</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>trend.unemploy</td>\n",
" <td>Positive</td>\n",
" <td>0.041533</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>trend.filling</td>\n",
" <td>Positive</td>\n",
" <td>0.000011</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>trend.job</td>\n",
" <td>Regular</td>\n",
" <td>-0.070758</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
"array([[4.15329225e-02, 1.12462424e-05]])"
" regressor regressor_sign coefficient\n",
"0 trend.unemploy Positive 0.041533\n",
"1 trend.filling Positive 0.000011\n",
"2 trend.job Regular -0.070758"
]
},
"execution_count": 9,
"execution_count": 12,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"lgt_map.aggregated_posteriors['map']['pr_beta']"
"lgt_map.get_regression_coefs(aggregation_method='map')"
]
},
{
"cell_type": "code",
"execution_count": 10,
"execution_count": null,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"array([-0.07075831])"
]
},
"execution_count": 10,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"lgt_map.aggregated_posteriors['map']['rr_beta']"
]
"outputs": [],
"source": []
},
{
"cell_type": "markdown",
Expand Down
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