232 commits

Author	SHA1	Message	Date
Alexandr Savinov	67aacc893a	fix bug in predict	2023-03-11 17:31:16 +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	504793cd3b	fix problem in train signals	2023-03-11 12:20:01 +01:00
Alexandr Savinov	7bdf6542fe	fix error in finding labels	2023-03-11 10:12:19 +01:00
Alexandr Savinov	39a53a5df6	parameterize model folder in config	2023-03-11 10:05:43 +01:00
Alexandr Savinov	eb2b6512e9	move train model grid parameters to the config file	2023-03-03 18:32:17 +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	cf58cf602d	add true labels to the output of labels script	2023-02-14 21:09:01 +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	95881504eb	allow for two score aggregation sets in config	2023-02-12 11:50:12 +01:00
Alexandr Savinov	b493c2b267	renamings and minor changes in aggregation logic	2023-02-12 11:06:34 +01:00
Alexandr Savinov	f4ba63c783	compute and store score statistics which is needed for setting aggregation parameters	2023-02-11 19:54:09 +01:00
Alexandr Savinov	637d574f8b	better separate aggregation and signal models	2023-02-11 17:50:07 +01:00
Alexandr Savinov	5d0baec149	fix bug in signal generation with getting newly introduced score_generation parameters	2023-02-11 12:31:42 +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	5e1174af6a	remove warnings and minor changes	2022-12-18 10:52:17 +01:00
Alexandr Savinov	5de99711be	rename scripts	2022-08-27 13:25:07 +02:00
Alexandr Savinov	a8add04e48	rename scripts	2022-08-27 13:05:49 +02:00
Alexandr Savinov	94e7f50683	bugs with zero division	2022-08-20 11:21:25 +02:00
Alexandr Savinov	aa6e2427cf	binance downloader loads all symbols described in data sources	2022-08-14 20:40:43 +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	008d7fe1c2	improve prediction in online model by selecting on algorithm type	2022-08-07 15:10:58 +02:00
Alexandr Savinov	53603f9e50	add new script for computing predictions	2022-08-07 14:04:47 +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	d5731c714f	add a new script generate signals	2022-08-06 18:26:54 +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	57db64b1e9	add svm algorithm to other scripts	2022-08-05 21:27:46 +02:00
Alexandr Savinov	3d4e84f7d9	fix errors in yahoo downloader	2022-07-31 11:55:54 +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	b89f476ee5	simplify and improve rolling predictions	2022-07-18 21:53:50 +02:00
Alexandr Savinov	99e7c3a84b	fix server by integrating new conventions and functions	2022-07-18 20:23:36 +02:00
Alexandr Savinov	cdab2f2e59	fix train signal models	2022-07-17 21:32:45 +02:00
Alexandr Savinov	79cd2323d6	add new feature definitions from tsfresh	2022-07-17 13:58:41 +02:00
Alexandr Savinov	99829c7d30	rename configuration parameters	2022-07-17 10:04:20 +02:00
Alexandr Savinov	dbacf65c7b	refactor train models	2022-07-16 11:41:27 +02:00
Alexandr Savinov	fffe57aa00	label generation improvements and refactorings	2022-07-16 11:24:04 +02:00
Alexandr Savinov	3feeacb7ff	feature generation improvements and refactorings	2022-07-16 11:08:53 +02:00
Alexandr Savinov	3002c8833f	merge data daily raster and improvements	2022-07-16 10:09:56 +02:00
Alexandr Savinov	af184dc27c	minor adjustments in yahoo downloader	2022-07-10 12:17:16 +02:00
Alexandr Savinov	45684441ff	add yahoo downloader	2022-07-10 11:14:47 +02:00
Alexandr Savinov	8bd167e164	remove unnecessary files	2022-07-03 17:45:01 +02:00