143 commits

Author	SHA1	Message	Date
Alexandr Savinov	da4f8ec174	introduce two versions of skew and kurtosis from scipy and from pandas	2023-08-26 11:28:04 +02:00
Alexandr Savinov	9977be4340	fix bugs with date format and score column from config	2023-08-25 22:27:28 +02:00
Alexandr Savinov	c5f4251e91	add ISO date format to all date parsers and readers	2023-08-24 20:24:11 +02:00
Alexandr Savinov	0db81899ab	remove one redundant config param and change signature of rule methods	2023-08-24 18:53:44 +02:00
Alexandr Savinov	ee1f28a563	use relative tolerance instead of absolute tolerance in topbot2 label generator	2023-08-20 10:59:11 +02:00
Alexandr Savinov	6d0fd41fb6	add exception in case the date is not found	2023-08-19 12:03:41 +02:00
Alexandr Savinov	61e40209e6	remove a lightgbm parameter incompatible with new version	2023-08-12 19:35:21 +02:00
Alexandr Savinov	d44ae4f8bd	minor changes in comments and parameters	2023-08-11 20:26:56 +02:00
Alexandr Savinov	b89d0a6fc4	introduce new parameters for computing relative values of features	2023-08-10 21:36:42 +02:00
Alexandr Savinov	b2de0cc495	add slope function to itbstats feature generator	2023-08-10 18:55:42 +02:00
Alexandr Savinov	59918e38b8	add area function to itbstats feature generator	2023-08-10 18:35:00 +02:00
Alexandr Savinov	efe210967a	add two feature functions to itbstats generator	2023-08-10 17:59:04 +02:00
Alexandr Savinov	2ae11e4155	use algorithm configurations from config file instead of the model_store	2023-08-08 20:56:43 +02:00
Alexandr Savinov	6de7c08ad1	introduce bias parameter for statistical functions	2023-08-08 18:21:28 +02:00
Alexandr Savinov	514cfb6b46	restructure signal model processing logic and configuration parameters	2023-08-05 16:45:01 +02:00
Alexandr Savinov	920bf3a2b0	introduce aggregation sets and restructure aggregation parameters	2023-08-05 12:02:07 +02:00
Alexandr Savinov	33c6a557b5	compute relative values for itbstats generator	2023-07-31 21:29:37 +02:00
Alexandr Savinov	204648b57e	implement function list parameter in itbstats generator	2023-07-31 20:56:06 +02:00
Alexandr Savinov	b3b2249c04	add some new features to itbstat feature generator	2023-07-31 18:44:52 +02:00
Alexandr Savinov	a74491d26e	refactor highlow2 label generator by introducing its own configuration	2023-07-29 22:45:42 +02:00
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