Commit graph

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
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
2b2b7ab57d restructure code of signal generation Alexandr Savinov 2023-02-03 19:52:07 +01:00
5e1174af6a remove warnings and minor changes Alexandr Savinov 2022-12-18 10:52:17 +01:00
1340b30639 refactor extreme labels for performance and to removing warning Alexandr Savinov 2022-12-18 10:47:54 +01:00
e184a30065 add change log v0.4.0 Alexandr Savinov 2022-09-04 20:22:20 +02:00
08e1600fd4 add sample configuration Alexandr Savinov 2022-09-04 18:35:07 +02:00
a4d28e3aea update figure in readme Alexandr Savinov 2022-09-04 17:47:48 +02:00
1a53453514 add figure to readme Alexandr Savinov 2022-09-04 17:40:41 +02:00
5de99711be rename scripts Alexandr Savinov 2022-08-27 13:25:07 +02:00
a8add04e48 rename scripts Alexandr Savinov 2022-08-27 13:05:49 +02:00
a70d52ac05 readme update Alexandr Savinov 2022-08-21 11:12:13 +02:00
7ee44b3dbe minor changes Alexandr Savinov 2022-08-20 11:26:28 +02:00
94e7f50683 bugs with zero division Alexandr Savinov 2022-08-20 11:21:25 +02:00
aa6e2427cf binance downloader loads all symbols described in data sources Alexandr Savinov 2022-08-14 20:40:43 +02:00
063c92ffda modify parameters of label generation Alexandr Savinov 2022-08-14 19:37:08 +02:00
d48781e051 refactor performance metrics for trade simulation Alexandr Savinov 2022-08-14 16:54:29 +02:00
1f2686a34c improve signal generation by removing unnecessary output and renamings Alexandr Savinov 2022-08-14 10:27:06 +02:00
e647c5ed12 parameter and other minor changes Alexandr Savinov 2022-08-13 22:38:27 +02:00
1c9d2d4072 notify about transactions and performance Alexandr Savinov 2022-08-13 20:41:01 +02:00
447e3352f9 fix bug with detecting and saving transactions Alexandr Savinov 2022-08-13 10:02:54 +02:00
008d7fe1c2 improve prediction in online model by selecting on algorithm type Alexandr Savinov 2022-08-07 15:10:58 +02:00
53603f9e50 add new script for computing predictions Alexandr Savinov 2022-08-07 14:04:47 +02:00
168b7fd477 fix bug with splitting label and algo as well as some minor changes Alexandr Savinov 2022-08-07 14:02:28 +02:00
6fbb6834bc function for splitting labal and algorithm as separator as a parameter Alexandr Savinov 2022-08-07 11:13:48 +02:00
d5731c714f add a new script generate signals Alexandr Savinov 2022-08-06 18:26:54 +02:00
7e1f629a94 refactor train predict models and move performance computation to a common module Alexandr Savinov 2022-08-06 10:05:33 +02:00
57db64b1e9 add svm algorithm to other scripts Alexandr Savinov 2022-08-05 21:27:46 +02:00
a3e7a658e2 fix problems with support vector classifier and add it to model store Alexandr Savinov 2022-08-05 20:24:42 +02:00
3d4e84f7d9 fix errors in yahoo downloader Alexandr Savinov 2022-07-31 11:55:54 +02:00
0353421ee2 add license Alexandr Savinov 2022-07-31 10:50:22 +02:00
36f8a93aa5 statistical tsfresh functions for online evaluation Alexandr Savinov 2022-07-24 17:43:27 +02:00
aad475616b parameterization and small changes Alexandr Savinov 2022-07-24 11:06:33 +02:00
004ace5234 allow for comments in json config and simplify its default parameters Alexandr Savinov 2022-07-23 15:27:46 +02:00
4287adaa58 rename feature set to binance main and secondary Alexandr Savinov 2022-07-23 10:03:47 +02:00
e8e447141a minor changes Alexandr Savinov 2022-07-23 09:12:34 +02:00
b89f476ee5 simplify and improve rolling predictions Alexandr Savinov 2022-07-18 21:53:50 +02:00
99e7c3a84b fix server by integrating new conventions and functions Alexandr Savinov 2022-07-18 20:23:36 +02:00
cdab2f2e59 fix train signal models Alexandr Savinov 2022-07-17 21:32:45 +02:00
79cd2323d6 add new feature definitions from tsfresh Alexandr Savinov 2022-07-17 13:58:41 +02:00
41419268eb update configuration parameters Alexandr Savinov 2022-07-17 10:21:42 +02:00
37f8113dc3 fix problem with nan handling in a feature function Alexandr Savinov 2022-07-17 10:14:30 +02:00
99829c7d30 rename configuration parameters Alexandr Savinov 2022-07-17 10:04:20 +02:00
dbacf65c7b refactor train models Alexandr Savinov 2022-07-16 11:41:27 +02:00
297da5c405 fix problems of previous commit by adding files Alexandr Savinov 2022-07-16 11:31:08 +02:00
fffe57aa00 label generation improvements and refactorings Alexandr Savinov 2022-07-16 11:24:04 +02:00
3feeacb7ff feature generation improvements and refactorings Alexandr Savinov 2022-07-16 11:08:53 +02:00
3002c8833f merge data daily raster and improvements Alexandr Savinov 2022-07-16 10:09:56 +02:00
af184dc27c minor adjustments in yahoo downloader Alexandr Savinov 2022-07-10 12:17:16 +02:00
45684441ff add yahoo downloader Alexandr Savinov 2022-07-10 11:14:47 +02:00
9f74cc96bd remove unnecessary test code v0.3.0 Alexandr Savinov 2022-07-09 12:24:42 +02:00
a84b63a97b add sample configs and update readme Alexandr Savinov 2022-07-09 12:12:39 +02:00
4e223b9b0e update readme Alexandr Savinov 2022-07-09 10:55:37 +02:00
8bd167e164 remove unnecessary files Alexandr Savinov 2022-07-03 17:45:01 +02:00
9b1e216ea3 Merge remote-tracking branch 'origin2/master' Alexandr Savinov 2022-07-03 17:14:22 +02:00
a90e87c797 refactorings and optimizations Alexandr Savinov 2022-06-26 17:32:41 +02:00
c2ad579752 fine tuning feature and label generation Alexandr Savinov 2022-04-24 20:52:38 +02:00
d8e4749b0f multiple sources and their processing by merger and feature generator as well as refactorings Alexandr Savinov 2022-04-23 09:18:45 +02:00
70eb51c434 add top-bot labels with lower levels and tolerances Alexandr Savinov 2022-04-19 19:05:39 +02:00
8f8ca8b97d refactor generate features Alexandr Savinov 2022-04-18 13:25:25 +02:00
5f5fb5ae1d refactore merger to read data from config Alexandr Savinov 2022-04-17 19:55:22 +02:00
8d7d0618dc change the role and conventions for data folder and file names Alexandr Savinov 2022-04-17 11:34:34 +02:00
6e60d0ca23 move train length to algo descriptor Alexandr Savinov 2022-04-16 20:30:34 +02:00
15811b6277 move algorithm list and feature sets to config Alexandr Savinov 2022-04-16 18:22:55 +02:00
2054ff963b move file names to config from P class Alexandr Savinov 2022-04-15 21:45:46 +02:00
a7c336d499 use model repo Alexandr Savinov 2022-04-15 15:27:30 +02:00
6cf4a40502 remove frequency from file names Alexandr Savinov 2022-04-15 12:47:31 +02:00
f5cbdd0ae6 next iteration and introduce file with algo hyper-parameters Alexandr Savinov 2022-04-15 11:46:19 +02:00
cb60795e79 improvements and parameterization Alexandr Savinov 2022-04-13 16:34:38 +02:00
4b6fee9a9d latest changes Alexandr Savinov 2022-04-10 19:38:53 +02:00
451d529562 many minor changes Alexandr Savinov 2022-04-02 11:50:07 +02:00
9cd0f748c3 refactor training signal models Alexandr Savinov 2022-03-27 19:22:02 +02:00
206725554d signal generation and notification Alexandr Savinov 2022-03-27 18:58:41 +02:00
6b047d5d1f refactor rolling predictions Alexandr Savinov 2022-03-26 19:25:37 +01:00
515333967b fix problems with label generation Alexandr Savinov 2022-03-26 16:45:23 +01:00
13d73e82a7 fix problems in the service Alexandr Savinov 2022-03-26 12:43:02 +01:00
ce44a74b1e refactor label generation and signals Alexandr Savinov 2022-03-25 22:49:33 +01:00
91ef6652a0 refactor feature generation Alexandr Savinov 2022-03-25 22:48:23 +01:00
75f0b8323f implement main signal aggregation function and cleaning the code from old functions and drafts Alexandr Savinov 2022-03-20 20:53:41 +01:00
7fb686fb75 restructure code for signal generation Alexandr Savinov 2022-03-20 17:11:00 +01:00
8f0313860d Split generate features and generate labels Alexandr Savinov 2022-03-20 13:58:58 +01:00
af0d253a0c add functions for generating top-bot labels Alexandr Savinov 2022-03-20 11:04:43 +01:00
f1a28fe077 initial commit Alexandr Savinov 2022-03-20 10:09:33 +01:00
7c587a3430 add an option for storing predictions in a separate file v0.2.0 Alexandr Savinov 2022-03-19 10:51:29 +01:00
1f0fae753b read config parameter from file Alexandr Savinov 2022-03-16 19:43:43 +01:00
8c6ae6538f load parameters from the main configuration Alexandr Savinov 2022-03-16 19:34:02 +01:00