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fix(FeatureExtractor): use a rolling z-score instead of StandardScaler with unavoidable lookahead bias (#146)

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* fix(FeatureExtractor): use a rolling z-score instead of StandardScaler with unavoidable lookahead bias

* chore(Archive): removed archived models

* fix(FeatureExtractors): syntax

* fix(FeatureExtractors): mistake with expanding window
This commit is contained in:
Mark Aron Szulyovszky
2022-01-10 14:24:51 +01:00
committed by GitHub
parent 73cfc67336
commit 18768c3925
9 changed files with 9 additions and 384 deletions
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feature_extractors/feature_extractor_presets.py
+2 -2
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@@ -1,4 +1,4 @@
from feature_extractors.feature_extractors import feature_lag, feature_mom, feature_ROC, feature_RSI, feature_STOD, feature_STOK, feature_standard_scaling, feature_vol, feature_day_of_month, feature_day_of_week, feature_month, feature_debug_future_lookahead
from feature_extractors.feature_extractors import feature_lag, feature_mom, feature_ROC, feature_RSI, feature_STOD, feature_STOK, feature_expanding_zscore, feature_vol, feature_day_of_month, feature_day_of_week, feature_month, feature_debug_future_lookahead
from utils.types import FeatureExtractorConfig
from utils.helpers import flatten
from feature_extractors.fractional_differentiation import feature_fractional_differentiation, feature_fractional_differentiation_log
@@ -25,7 +25,7 @@ __presets = dict(
stok = [('stok', feature_STOK, [10, 30, 200])],
fracdiff = [('fracdiff', feature_fractional_differentiation, [10, 30])],
fracdiff_log = [('fracdiff_log', feature_fractional_differentiation_log, [10, 30])],
standard_scaling = [('standard_scaling', feature_standard_scaling, [0])],
z_score = [('z_score', feature_expanding_zscore, [10])],
)
presets = __presets | dict(