rebalance_window = 63 # rebalance_window is the number of days to retrain the model
validation_window = 63 # validation_window is the number of days to do validation and trading (e.g. if validation_window=63, then both validation and trading period will be 63 days)
train_start = '2009-01-01'
train_end = '2020-04-01'
val_test_start = '2020-04-01'
val_test_end = '2021-07-20'
ensemble_agent = DRLEnsembleAgent(df=processed,
train_period=(train_start,train_end),
val_test_period=(val_test_start,val_test_end),
rebalance_window=rebalance_window,
validation_window=validation_window,
**env_kwargs)
ERROR:
NameError Traceback (most recent call last)
in ()
6 val_test_end = '2021-07-20'
7
----> 8 ensemble_agent = DRLEnsembleAgent(df=processed,
9 train_period=(train_start,train_end),
10 val_test_period=(val_test_start,val_test_end),
NameError: name 'DRLEnsembleAgent' is not defined