appease mypy
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@@ -8,6 +8,7 @@ from pathlib import Path
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from typing import Any, Dict, List, Tuple
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import numpy as np
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import numpy.typing as npt
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import pandas as pd
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from joblib import dump, load
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from pandas import DataFrame
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@@ -35,14 +36,14 @@ class FreqaiDataKitchen:
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self.data_dictionary: Dict[Any, Any] = {}
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self.config = config
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self.freqai_config = config["freqai"]
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self.predictions = np.array([])
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self.do_predict = np.array([])
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self.target_mean = np.array([])
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self.target_std = np.array([])
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self.full_predictions = np.array([])
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self.full_do_predict = np.array([])
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self.full_target_mean = np.array([])
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self.full_target_std = np.array([])
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self.predictions: npt.ArrayLike = np.array([])
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self.do_predict: npt.ArrayLike = np.array([])
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self.target_mean: npt.ArrayLike = np.array([])
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self.target_std: npt.ArrayLike = np.array([])
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self.full_predictions: npt.ArrayLike = np.array([])
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self.full_do_predict: npt.ArrayLike = np.array([])
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self.full_target_mean: npt.ArrayLike = np.array([])
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self.full_target_std: npt.ArrayLike = np.array([])
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self.model_path = Path()
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self.model_filename = ""
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@@ -123,6 +124,7 @@ class FreqaiDataKitchen:
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:labels: cleaned labels ready to be split.
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"""
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weights: npt.ArrayLike
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if self.config["freqai"]["feature_parameters"]["weight_factor"] > 0:
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weights = self.set_weights_higher_recent(len(filtered_dataframe))
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else:
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@@ -519,12 +521,13 @@ class FreqaiDataKitchen:
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self.do_predict += do_predict
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self.do_predict -= 1
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def set_weights_higher_recent(self, num_weights: int) -> int:
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def set_weights_higher_recent(self, num_weights: int) -> npt.ArrayLike:
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"""
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Set weights so that recent data is more heavily weighted during
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training than older data.
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"""
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weights = np.zeros(num_weights)
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weights = np.zeros_like(num_weights)
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for i in range(1, len(weights)):
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weights[len(weights) - i] = np.exp(
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-i / (self.config["freqai"]["feature_parameters"]["weight_factor"] * num_weights)
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