Commit graph

6d88256b34 minor improvements in predict and predict rolling Alexandr Savinov 2023-08-20 09:47:19 +02:00
384dcc7d9e apply multiprocessing to all jobs of one train-predict step Alexandr Savinov 2023-08-19 17:44:15 +02:00
cca8214df5 bug in rolling predict Alexandr Savinov 2023-08-19 16:40:59 +02:00
d707fd5a48 small improvements in downloaders for file and path handling Alexandr Savinov 2023-08-19 15:43:04 +02:00
e203cb1338 switch to pathlib and fix problem with datetime format in parsing in new pandas version Alexandr Savinov 2023-08-19 15:24:06 +02:00
c440f7d7e8

Merge pull request #32 from woehrer12/create-folder-when-not-exist Alexandr Savinov 2023-08-19 14:59:08 +02:00
7fcdbd9e95

Merge pull request #31 from woehrer12/add-config-to-gitignore Alexandr Savinov 2023-08-19 14:58:01 +02:00
674aa9c105

Merge 4eb2bc1a75 into fd5ac4d014 woehrer12 2023-08-19 14:55:47 +02:00
fd5ac4d014 update config with new section for rolling predict Alexandr Savinov 2023-08-19 13:41:48 +02:00
bc947d8d3c fix problem without column in output of rolling predict Alexandr Savinov 2023-08-19 12:51:47 +02:00
300b24e361 move multithreading parameters of rolling predict to config Alexandr Savinov 2023-08-19 12:30:01 +02:00
a418179589 move parameters of rolling prediction from source code to config file Alexandr Savinov 2023-08-19 12:19:58 +02:00
6d0fd41fb6 add exception in case the date is not found Alexandr Savinov 2023-08-19 12:03:41 +02:00
61e40209e6 remove a lightgbm parameter incompatible with new version Alexandr Savinov 2023-08-12 19:35:21 +02:00
8d138c0171 fix too hard limit on the number of trained records Alexandr Savinov 2023-08-11 20:54:54 +02:00
d44ae4f8bd minor changes in comments and parameters Alexandr Savinov 2023-08-11 20:26:56 +02:00
6dab2a608a improve parameterization of the train procedure Alexandr Savinov 2023-08-11 20:17:11 +02:00
b89d0a6fc4 introduce new parameters for computing relative values of features Alexandr Savinov 2023-08-10 21:36:42 +02:00
b2de0cc495 add slope function to itbstats feature generator Alexandr Savinov 2023-08-10 18:55:42 +02:00
59918e38b8 add area function to itbstats feature generator Alexandr Savinov 2023-08-10 18:35:00 +02:00
efe210967a add two feature functions to itbstats generator Alexandr Savinov 2023-08-10 17:59:04 +02:00
2ae11e4155 use algorithm configurations from config file instead of the model_store Alexandr Savinov 2023-08-08 20:56:43 +02:00
6de7c08ad1 introduce bias parameter for statistical functions Alexandr Savinov 2023-08-08 18:21:28 +02:00
d1c77c825f fix merge df out join Julian Wöhrer 2023-08-08 17:40:56 +02:00
4eb2bc1a75 run server skript Julian Wöhrer 2023-08-08 17:26:52 +02:00
dcfa952d47

Merge pull request #2 from woehrer12/add-config-to-gitignore woehrer12 2023-08-08 17:26:33 +02:00
86f08adbe5

Merge pull request #1 from woehrer12/create-folder-when-not-exist woehrer12 2023-08-08 17:24:54 +02:00
a44d5f7751 create folder when not exist Julian Wöhrer 2023-08-07 20:22:57 +02:00
9c9ecf626d add config.json Julian Wöhrer 2023-08-07 18:08:39 +02:00
d121345b11 update sample configuration Alexandr Savinov 2023-08-06 13:33:05 +02:00
1b8cf9f943 fix train signals Alexandr Savinov 2023-08-06 13:30:22 +02:00
ac72a61523 fix problems in notifier after previous refactorings Alexandr Savinov 2023-08-06 13:08:55 +02:00
d22bdfc21f requirements and some minor changes in printing Alexandr Savinov 2023-08-06 12:03:55 +02:00
e65059f18e processing new score aggregation sets in all scripts Alexandr Savinov 2023-08-06 11:27:35 +02:00
bd26775f46 integrate a new signal model into the analyzer Alexandr Savinov 2023-08-05 17:23:02 +02:00
514cfb6b46 restructure signal model processing logic and configuration parameters Alexandr Savinov 2023-08-05 16:45:01 +02:00
2923d210de compute last rows from the new aggregation parameters Alexandr Savinov 2023-08-05 14:18:29 +02:00
efced19814 update analyzer to the new logic of aggregation Alexandr Savinov 2023-08-05 14:12:27 +02:00
920bf3a2b0 introduce aggregation sets and restructure aggregation parameters Alexandr Savinov 2023-08-05 12:02:07 +02:00
497fc7aa06 update readme Alexandr Savinov 2023-08-05 10:14:18 +02:00
33c6a557b5 compute relative values for itbstats generator Alexandr Savinov 2023-07-31 21:29:37 +02:00
204648b57e implement function list parameter in itbstats generator Alexandr Savinov 2023-07-31 20:56:06 +02:00
b3b2249c04 add some new features to itbstat feature generator Alexandr Savinov 2023-07-31 18:44:52 +02:00
a74491d26e refactor highlow2 label generator by introducing its own configuration Alexandr Savinov 2023-07-29 22:45:42 +02:00
966315127c parameterize topbot label generator using its own configuration Alexandr Savinov 2023-07-29 15:39:26 +02:00
035b3b3c25 fix problem with topbot label names Alexandr Savinov 2023-07-29 15:14:56 +02:00
b1209dd776 modify processing of relative parameters of feature generator Alexandr Savinov 2023-07-28 08:46:52 +02:00
b6cdd05ea9 add possibility to process windows of size 1 in talib feature generator Alexandr Savinov 2023-07-23 22:21:15 +02:00
1b3b9d7583 parameterize tsfresh feature generator by its own config and remove its global config parameters Alexandr Savinov 2023-07-22 15:15:02 +02:00
359300b228 remove area features and labels which is now in itblib generator Alexandr Savinov 2023-07-22 14:51:27 +02:00
86098138d8 remove 'futures' feature generator to be replaced by other feature generators Alexandr Savinov 2023-07-22 14:08:31 +02:00
8eb2b3cfe5 remove yahoo_main and yahoo_seconday feature generators to be replaced by talib or itblib Alexandr Savinov 2023-07-22 13:42:24 +02:00
ca2e7ad91c add itbstats feature generator Alexandr Savinov 2023-07-22 13:18:15 +02:00
690e38b877 remove dependency on tsfresh Alexandr Savinov 2023-07-22 11:50:37 +02:00
4fe84ee6d4 new feature generator itblib instead of binance_main and binance_secondary Alexandr Savinov 2023-06-15 22:17:45 +02:00
7097b0cf6b implement stream/online mode for the talib feature function Alexandr Savinov 2023-06-14 21:41:20 +02:00
f84a53f6d0 add talib feature generator and improve output during feature generation Alexandr Savinov 2023-06-13 21:13:55 +02:00
4ec1e2d692 improvement: add output to label generation loop Alexandr Savinov 2023-06-13 20:01:50 +02:00
4c0082f40e initial implementation of the feature function for talib integration Alexandr Savinov 2023-06-13 19:57:16 +02:00
116b42e778 bump version number to 0.6.dev Alexandr Savinov 2023-06-13 19:54:58 +02:00
a7b69a5e9e update readme Alexandr Savinov 2023-05-14 18:58:20 +02:00
d1883f443d fix memory leak in tensorflow because of repeated predictions in a loop Alexandr Savinov 2023-05-14 14:13:53 +02:00
73f7e1bd79 release preparation v0.5.0 Alexandr Savinov 2023-03-26 15:50:23 +02:00
d95846eeb6 use signed trade score instead of two unsigned buy and sell scores Alexandr Savinov 2023-03-26 15:47:30 +02:00
e0718da911 increase default train size Alexandr Savinov 2023-03-26 15:46:12 +02:00
e15dac43a5 update requirements.txt Alexandr Savinov 2023-03-26 15:44:34 +02:00
d3637ba7f9 unify signatures of rule functions Alexandr Savinov 2023-03-11 17:43:59 +01:00
67aacc893a fix bug in predict Alexandr Savinov 2023-03-11 17:31:16 +01:00
11d15dc168 Use only one output aggregated column rather than two columns Alexandr Savinov 2023-03-11 14:37:33 +01:00
504793cd3b fix problem in train signals Alexandr Savinov 2023-03-11 12:20:01 +01:00
2861ad384d readme and changelog update Alexandr Savinov 2023-03-11 11:34:19 +01:00
7bdf6542fe fix error in finding labels Alexandr Savinov 2023-03-11 10:12:19 +01:00
39a53a5df6 parameterize model folder in config Alexandr Savinov 2023-03-11 10:05:43 +01:00
6a030bca77 add new config parameters Alexandr Savinov 2023-03-05 11:10:52 +01:00
eb2b6512e9 move train model grid parameters to the config file Alexandr Savinov 2023-03-03 18:32:17 +01:00
86b0ffcd3f fix problem in the score combination function Alexandr Savinov 2023-03-03 15:02:26 +01:00
d5a9249578 fix problems with labels and other parameters in online mode Alexandr Savinov 2023-02-20 20:01:39 +01:00
db527b48de use only one final score with negative values for selling and add a rule for two aggregations Alexandr Savinov 2023-02-20 18:39:28 +01:00
e17d473251

Merge ca4af89059 into 34c7904391 loopsmark 2023-02-20 07:41:06 +01:00
34c7904391 integrate new labels and adjust its parameters Alexandr Savinov 2023-02-19 20:50:25 +01:00
8df32737f6 fix bug in processing return labels Alexandr Savinov 2023-02-19 15:09:07 +01:00
9e02330161 add function for label generation based on crossing thresholds Alexandr Savinov 2023-02-19 14:05:38 +01:00
7fe0d8eaf5 switch to percentage as a threshold parameter Alexandr Savinov 2023-02-19 13:04:09 +01:00
286520eeba improvements to the new labeling function for finding cross thresholds Alexandr Savinov 2023-02-19 12:04:01 +01:00
cc3610689b additional helper function for new label generation Alexandr Savinov 2023-02-18 20:58:38 +01:00
7a363ca38d add a new function for label generation Alexandr Savinov 2023-02-18 17:19:32 +01:00
ca4af89059 readme typo Marcos Lopez 2023-02-17 14:40:19 +01:00
0423cd5d6d add backtesting Marcos Lopez 2023-02-17 14:34:51 +01:00
cf58cf602d add true labels to the output of labels script Alexandr Savinov 2023-02-14 21:09:01 +01:00
51d088c986 introduce a possibility of different rule for rule-based signal generation Alexandr Savinov 2023-02-12 12:38:10 +01:00
95881504eb allow for two score aggregation sets in config Alexandr Savinov 2023-02-12 11:50:12 +01:00
b493c2b267 renamings and minor changes in aggregation logic Alexandr Savinov 2023-02-12 11:06:34 +01:00
f4ba63c783 compute and store score statistics which is needed for setting aggregation parameters Alexandr Savinov 2023-02-11 19:54:09 +01:00
637d574f8b better separate aggregation and signal models Alexandr Savinov 2023-02-11 17:50:07 +01:00
8061942971 scaling scores using scaling parameters Alexandr Savinov 2023-02-11 13:33:04 +01:00
5d0baec149 fix bug in signal generation with getting newly introduced score_generation parameters Alexandr Savinov 2023-02-11 12:31:42 +01:00
95f727ae67 added modified config with new score aggregation section Alexandr Savinov 2023-02-05 17:28:34 +01:00
62ead76e21 unite buy/sell aggregation parameters and move them into a separate section in config Alexandr Savinov 2023-02-05 17:27:37 +01:00
b53a8ba155 split score aggregation and combination into two separate functions Alexandr Savinov 2023-02-04 19:35:54 +01:00
eeb4b851fb separate score post-processing and application of signal rules Alexandr Savinov 2023-02-04 12:54:58 +01:00