97 commits

Author	SHA1	Message	Date
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
Alexandr Savinov	dbacf65c7b	refactor train models	2022-07-16 11:41:27 +02:00
Alexandr Savinov	297da5c405	fix problems of previous commit by adding files	2022-07-16 11:31:08 +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	a90e87c797	refactorings and optimizations	2022-06-26 17:32:41 +02:00
Alexandr Savinov	c2ad579752	fine tuning feature and label generation	2022-04-24 20:52:38 +02:00
Alexandr Savinov	d8e4749b0f	multiple sources and their processing by merger and feature generator as well as refactorings	2022-04-23 09:18:45 +02:00
Alexandr Savinov	70eb51c434	add top-bot labels with lower levels and tolerances	2022-04-19 19:05:39 +02:00
Alexandr Savinov	8f8ca8b97d	refactor generate features	2022-04-18 13:25:25 +02:00
Alexandr Savinov	5f5fb5ae1d	refactore merger to read data from config	2022-04-17 19:55:22 +02:00
Alexandr Savinov	8d7d0618dc	change the role and conventions for data folder and file names	2022-04-17 11:34:34 +02:00
Alexandr Savinov	2054ff963b	move file names to config from P class	2022-04-15 21:45:46 +02:00
Alexandr Savinov	a7c336d499	use model repo	2022-04-15 15:27:30 +02:00
Alexandr Savinov	f5cbdd0ae6	next iteration and introduce file with algo hyper-parameters	2022-04-15 11:46:19 +02:00
Alexandr Savinov	cb60795e79	improvements and parameterization	2022-04-13 16:34:38 +02:00
Alexandr Savinov	4b6fee9a9d	latest changes	2022-04-10 19:38:53 +02:00
Alexandr Savinov	515333967b	fix problems with label generation	2022-03-26 16:45:23 +01:00
Alexandr Savinov	ce44a74b1e	refactor label generation and signals	2022-03-25 22:49:33 +01:00
Alexandr Savinov	91ef6652a0	refactor feature generation	2022-03-25 22:48:23 +01:00
Alexandr Savinov	75f0b8323f	implement main signal aggregation function and cleaning the code from old functions and drafts	2022-03-20 20:53:41 +01:00
Alexandr Savinov	7fb686fb75	restructure code for signal generation	2022-03-20 17:11:00 +01:00
Alexandr Savinov	af0d253a0c	add functions for generating top-bot labels	2022-03-20 11:04:43 +01:00
Alexandr Savinov	f1a28fe077	initial commit	2022-03-20 10:09:33 +01:00