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[Sim, Pdr bot] Can train a model every n epochs, vs every 1 epoch. Enables fancier models, more data #1005

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trentmc opened this issue May 7, 2024 · 1 comment · Fixed by #1101
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Type: Enhancement New feature or request

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@trentmc
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trentmc commented May 7, 2024

Background / motivation

Our baseline modeling approach is LinearLogistic, which trains very quickly.

But model-training time can quickly go up by 10x, 100x and even 1000x when:

  • fancier models: LinearLogistic -> LinearSVC (10x time) -> xgboost, ffx, etc (100x+ time) -> LLMs (1000x+ time)
  • more training data: just 'c' on 1 pair on 1 exchange -> {'o','c','v'} on >1 pair on >1 exchange. Can cause 10x or 100x more data
  • cross-validation: 1-fold -> 5-fold -> 20-fold

So we can quickly see a 10x - 1000x increase in model training time.

This will make sim iterations painfully slow, and make it infeasible to run predictoor bots because model building will be too slow.

TODOs / DoD

  • In aimodel_ss, have a new setting train_every_n_epochs. Update unit tests, ppss.yaml, etc.
  • In sim_engine: can train a model every n epochs
  • In predictoor_agent: can train a model every n epochs
@trentmc trentmc added the Type: Enhancement New feature or request label May 7, 2024
@trentmc trentmc changed the title [Sim, Pdr bot] Can train a model every n epochs, vs every 1 epoch. Enables fancier models, more data. [Sim, Pdr bot] Can train a model every n epochs, vs every 1 epoch. Enables fancier models, more data May 7, 2024
@trentmc
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trentmc commented May 31, 2024

👏

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