290 commits

This branch

This branch

All branches

Author	SHA1	Message	Date
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	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	8061942971	scaling scores using scaling parameters	2023-02-11 13:33:04 +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	95f727ae67	added modified config with new score aggregation section	2023-02-05 17:28:34 +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	e184a30065	add change log v0.4.0	2022-09-04 20:22:20 +02:00
Alexandr Savinov	08e1600fd4	add sample configuration	2022-09-04 18:35:07 +02:00
Alexandr Savinov	a4d28e3aea	update figure in readme	2022-09-04 17:47:48 +02:00
Alexandr Savinov	1a53453514	add figure to readme	2022-09-04 17:40:41 +02:00
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	a70d52ac05	readme update	2022-08-21 11:12:13 +02:00
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	aa6e2427cf	binance downloader loads all symbols described in data sources	2022-08-14 20:40:43 +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	1c9d2d4072	notify about transactions and performance	2022-08-13 20:41:01 +02:00
Alexandr Savinov	447e3352f9	fix bug with detecting and saving transactions	2022-08-13 10:02:54 +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	a3e7a658e2	fix problems with support vector classifier and add it to model store	2022-08-05 20:24:42 +02:00
Alexandr Savinov	3d4e84f7d9	fix errors in yahoo downloader	2022-07-31 11:55:54 +02:00
Alexandr Savinov	0353421ee2	add license	2022-07-31 10:50:22 +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	004ace5234	allow for comments in json config and simplify its default parameters	2022-07-23 15:27:46 +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