fynance.models.rolling._RollingBasis¶
-
class
fynance.models.rolling.
_RollingBasis
(X, y, f=None, index=None)¶ Base object to roll a neural network model.
Rolling over a time axis with a train period from t - n to t and a testing period from t to t + s.
Parameters: - X, y : array_like
Respectively input and output data.
- f : callable, optional
Function to transform target, e.g.
torch.sign
function.- index : array_like, optional
Time index of data.
Attributes: - n, s, r : int
Respectively size of training, testing and rolling period.
- b, e, T : int
Respectively batch size, number of epochs and size of entire dataset.
- t, _e, i : int
Respectively the current time period, the current epoch and the current iteration.
- n_iter : int
The total number of iteration \(n_iter = e \times (T - t0 - s) \times r\).
- y_eval, y_test : np.ndarray[ndim=1 or 2, dtype=np.float64]
Respectively evaluating (or training) and testing predictions.
Methods
__call__
(train_period, test_period[, start, …])Callable method to set target features data, and model. run
([backtest_plot, backtest_kpi, figsize, func])Run neural network model and backtest predictions.