Commit graph

b0cec6cd27 remove unnecessary script Alexandr Savinov 2023-10-15 16:21:02 +02:00
3eb9cbe5ed release preparation v0.6.0 Alexandr Savinov 2023-10-05 12:32:46 +02:00
e7a1cf1906 update requirements and changelog Alexandr Savinov 2023-10-05 12:21:40 +02:00
348041b71e update sample config file Alexandr Savinov 2023-10-05 12:02:55 +02:00
8c1ca2b7a1 fix a bug in TA feature generator Alexandr Savinov 2023-10-03 13:16:38 +02:00
5485ca3956 minor improvements Alexandr Savinov 2023-10-01 20:51:09 +02:00
382cd03926 improve notification logic Alexandr Savinov 2023-09-30 12:58:45 +02:00
b276675073 improve sending notifications Alexandr Savinov 2023-09-26 21:21:45 +02:00
09ad6355bc add visualization functions Alexandr Savinov 2023-09-24 15:20:24 +02:00
4b70b40aae two functions for reading translations Alexandr Savinov 2023-09-24 12:33:43 +02:00
6ca33fa8b4 add diagnostic messages Alexandr Savinov 2023-09-02 11:42:12 +02:00
68a566b8f9 train signal model move some parameters to config Alexandr Savinov 2023-09-02 10:44:14 +02:00
7b8a9cd82a train signals compute separately directions and move some parameters to config Alexandr Savinov 2023-09-02 10:29:47 +02:00
1df71039cd switch back to h5 format because the new keras format does not work on aarch64 platform Alexandr Savinov 2023-08-31 19:31:27 +02:00
1289504982 updae requirements Alexandr Savinov 2023-08-27 16:53:54 +02:00
66a09d2595 update sample config Alexandr Savinov 2023-08-27 16:43:38 +02:00
0c6d2f71dd minor parameter adjustments Alexandr Savinov 2023-08-27 12:30:16 +02:00
233cc9ad17 move all config files to a separate folder Alexandr Savinov 2023-08-26 23:21:48 +02:00
1ab71678bc check if a talib function is streamable Alexandr Savinov 2023-08-26 18:32:06 +02:00
da4f8ec174 introduce two versions of skew and kurtosis from scipy and from pandas Alexandr Savinov 2023-08-26 11:28:04 +02:00
9977be4340 fix bugs with date format and score column from config Alexandr Savinov 2023-08-25 22:27:28 +02:00
c5f4251e91 add ISO date format to all date parsers and readers Alexandr Savinov 2023-08-24 20:24:11 +02:00
0db81899ab remove one redundant config param and change signature of rule methods Alexandr Savinov 2023-08-24 18:53:44 +02:00
ee1f28a563 use relative tolerance instead of absolute tolerance in topbot2 label generator Alexandr Savinov 2023-08-20 10:59:11 +02:00
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
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
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
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