173 commits

Author	SHA1	Message	Date
Alexandr Savinov	966315127c	parameterize topbot label generator using its own configuration	2023-07-29 15:39:26 +02:00
Alexandr Savinov	b1209dd776	modify processing of relative parameters of feature generator	2023-07-28 08:46:52 +02:00
Alexandr Savinov	b6cdd05ea9	add possibility to process windows of size 1 in talib feature generator	2023-07-23 22:21:15 +02:00
Alexandr Savinov	1b3b9d7583	parameterize tsfresh feature generator by its own config and remove its global config parameters	2023-07-22 15:15:02 +02:00
Alexandr Savinov	359300b228	remove area features and labels which is now in itblib generator	2023-07-22 14:51:27 +02:00
Alexandr Savinov	86098138d8	remove 'futures' feature generator to be replaced by other feature generators	2023-07-22 14:08:31 +02:00
Alexandr Savinov	8eb2b3cfe5	remove yahoo_main and yahoo_seconday feature generators to be replaced by talib or itblib	2023-07-22 13:42:24 +02:00
Alexandr Savinov	ca2e7ad91c	add itbstats feature generator	2023-07-22 13:18:15 +02:00
Alexandr Savinov	690e38b877	remove dependency on tsfresh	2023-07-22 11:50:37 +02:00
Alexandr Savinov	4fe84ee6d4	new feature generator itblib instead of binance_main and binance_secondary	2023-06-15 22:17:45 +02:00
Alexandr Savinov	7097b0cf6b	implement stream/online mode for the talib feature function	2023-06-14 21:41:20 +02:00
Alexandr Savinov	4c0082f40e	initial implementation of the feature function for talib integration	2023-06-13 19:57:16 +02:00
Alexandr Savinov	d1883f443d	fix memory leak in tensorflow because of repeated predictions in a loop	2023-05-14 14:13:53 +02:00
Alexandr Savinov	e0718da911	increase default train size	2023-03-26 15:46:12 +02:00
Alexandr Savinov	d3637ba7f9	unify signatures of rule functions	2023-03-11 17:43:59 +01:00
Alexandr Savinov	11d15dc168	Use only one output aggregated column rather than two columns	2023-03-11 14:37:33 +01:00
Alexandr Savinov	86b0ffcd3f	fix problem in the score combination function	2023-03-03 15:02:26 +01:00
Alexandr Savinov	db527b48de	use only one final score with negative values for selling and add a rule for two aggregations	2023-02-20 18:39:28 +01:00
Alexandr Savinov	34c7904391	integrate new labels and adjust its parameters	2023-02-19 20:50:25 +01:00
Alexandr Savinov	8df32737f6	fix bug in processing return labels	2023-02-19 15:09:07 +01:00
Alexandr Savinov	9e02330161	add function for label generation based on crossing thresholds	2023-02-19 14:05:38 +01:00
Alexandr Savinov	7fe0d8eaf5	switch to percentage as a threshold parameter	2023-02-19 13:04:09 +01:00
Alexandr Savinov	286520eeba	improvements to the new labeling function for finding cross thresholds	2023-02-19 12:04:01 +01:00
Alexandr Savinov	cc3610689b	additional helper function for new label generation	2023-02-18 20:58:38 +01:00
Alexandr Savinov	7a363ca38d	add a new function for label generation	2023-02-18 17:19:32 +01:00
Alexandr Savinov	51d088c986	introduce a possibility of different rule for rule-based signal generation	2023-02-12 12:38:10 +01:00
Alexandr Savinov	8061942971	scaling scores using scaling parameters	2023-02-11 13:33:04 +01:00
Alexandr Savinov	62ead76e21	unite buy/sell aggregation parameters and move them into a separate section in config	2023-02-05 17:27:37 +01:00
Alexandr Savinov	b53a8ba155	split score aggregation and combination into two separate functions	2023-02-04 19:35:54 +01:00
Alexandr Savinov	eeb4b851fb	separate score post-processing and application of signal rules	2023-02-04 12:54:58 +01:00
Alexandr Savinov	2b2b7ab57d	restructure code of signal generation	2023-02-03 19:52:07 +01:00
Alexandr Savinov	5e1174af6a	remove warnings and minor changes	2022-12-18 10:52:17 +01:00
Alexandr Savinov	1340b30639	refactor extreme labels for performance and to removing warning	2022-12-18 10:47:54 +01:00
Alexandr Savinov	7ee44b3dbe	minor changes	2022-08-20 11:26:28 +02:00
Alexandr Savinov	94e7f50683	bugs with zero division	2022-08-20 11:21:25 +02:00
Alexandr Savinov	063c92ffda	modify parameters of label generation	2022-08-14 19:37:08 +02:00
Alexandr Savinov	d48781e051	refactor performance metrics for trade simulation	2022-08-14 16:54:29 +02:00
Alexandr Savinov	1f2686a34c	improve signal generation by removing unnecessary output and renamings	2022-08-14 10:27:06 +02:00
Alexandr Savinov	e647c5ed12	parameter and other minor changes	2022-08-13 22:38:27 +02:00
Alexandr Savinov	168b7fd477	fix bug with splitting label and algo as well as some minor changes	2022-08-07 14:02:28 +02:00
Alexandr Savinov	6fbb6834bc	function for splitting labal and algorithm as separator as a parameter	2022-08-07 11:13:48 +02:00
Alexandr Savinov	7e1f629a94	refactor train predict models and move performance computation to a common module	2022-08-06 10:05:33 +02:00
Alexandr Savinov	a3e7a658e2	fix problems with support vector classifier and add it to model store	2022-08-05 20:24:42 +02:00
Alexandr Savinov	36f8a93aa5	statistical tsfresh functions for online evaluation	2022-07-24 17:43:27 +02:00
Alexandr Savinov	aad475616b	parameterization and small changes	2022-07-24 11:06:33 +02:00
Alexandr Savinov	4287adaa58	rename feature set to binance main and secondary	2022-07-23 10:03:47 +02:00
Alexandr Savinov	e8e447141a	minor changes	2022-07-23 09:12:34 +02:00
Alexandr Savinov	79cd2323d6	add new feature definitions from tsfresh	2022-07-17 13:58:41 +02:00
Alexandr Savinov	37f8113dc3	fix problem with nan handling in a feature function	2022-07-17 10:14:30 +02:00
Alexandr Savinov	99829c7d30	rename configuration parameters	2022-07-17 10:04:20 +02:00