From: Jérôme Benoit <jerome.benoit@piment-noir.org>
Date: Fri, 14 Mar 2025 13:06:03 +0000 (+0100)
Subject: perf(qav3): fine tune the label window optimisation
X-Git-Url: https://git.piment-noir.org/?a=commitdiff_plain;h=56ca556c0671d04f3a1ff3291725673e2ccc2aec;p=freqai-strategies.git

perf(qav3): fine tune the label window optimisation

Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
---

diff --git a/quickadapter/user_data/freqaimodels/LightGBMRegressorQuickAdapterV35.py b/quickadapter/user_data/freqaimodels/LightGBMRegressorQuickAdapterV35.py
index 9af3c64..24baa08 100644
--- a/quickadapter/user_data/freqaimodels/LightGBMRegressorQuickAdapterV35.py
+++ b/quickadapter/user_data/freqaimodels/LightGBMRegressorQuickAdapterV35.py
@@ -593,18 +593,13 @@ def period_objective(
     y_test = y_test.iloc[-fit_live_predictions_candles:].to_numpy()
     test_weights = test_weights[-fit_live_predictions_candles:]
     y_pred = y_pred[-fit_live_predictions_candles:]
-    y_test = [
-        y_test[i : i + label_period_candles]
-        for i in range(0, len(y_test), label_period_candles)
-    ]
+    label_window: int = label_period_candles * 2
+    y_test = [y_test[i : i + label_window] for i in range(0, len(y_test), label_window)]
     test_weights = [
-        test_weights[i : i + label_period_candles]
-        for i in range(0, len(test_weights), label_period_candles)
-    ]
-    y_pred = [
-        y_pred[i : i + label_period_candles]
-        for i in range(0, len(y_pred), label_period_candles)
+        test_weights[i : i + label_window]
+        for i in range(0, len(test_weights), label_window)
     ]
+    y_pred = [y_pred[i : i + label_window] for i in range(0, len(y_pred), label_window)]
 
     error = 0.0
     for y_t, y_p, t_w in zip(y_test, y_pred, test_weights):
diff --git a/quickadapter/user_data/freqaimodels/XGBoostRegressorQuickAdapterV35.py b/quickadapter/user_data/freqaimodels/XGBoostRegressorQuickAdapterV35.py
index 751067f..bdec0f6 100644
--- a/quickadapter/user_data/freqaimodels/XGBoostRegressorQuickAdapterV35.py
+++ b/quickadapter/user_data/freqaimodels/XGBoostRegressorQuickAdapterV35.py
@@ -601,18 +601,13 @@ def period_objective(
     y_test = y_test.iloc[-fit_live_predictions_candles:].to_numpy()
     test_weights = test_weights[-fit_live_predictions_candles:]
     y_pred = y_pred[-fit_live_predictions_candles:]
-    y_test = [
-        y_test[i : i + label_period_candles]
-        for i in range(0, len(y_test), label_period_candles)
-    ]
+    label_window: int = label_period_candles * 2
+    y_test = [y_test[i : i + label_window] for i in range(0, len(y_test), label_window)]
     test_weights = [
-        test_weights[i : i + label_period_candles]
-        for i in range(0, len(test_weights), label_period_candles)
-    ]
-    y_pred = [
-        y_pred[i : i + label_period_candles]
-        for i in range(0, len(y_pred), label_period_candles)
+        test_weights[i : i + label_window]
+        for i in range(0, len(test_weights), label_window)
     ]
+    y_pred = [y_pred[i : i + label_window] for i in range(0, len(y_pred), label_window)]
 
     error = 0.0
     for y_t, y_p, t_w in zip(y_test, y_pred, test_weights):