Introduction

This is the framework of periodically Rolling Retrain (RR) forecasting models. RR adapts to market dynamics by utilizing the up-to-date data periodically.

Run the Code

Users can try RR by running the following command:

    python rolling_benchmark.py run

The default forecasting models are Linear. Users can choose other forecasting models by changing the model_type parameter. For example, users can try LightGBM forecasting models by running the following command:

    python rolling_benchmark.py --conf_path=workflow_config_lightgbm_Alpha158.yaml run