gavindiaz/drift
1
0
Fork 0
mirror of https://github.com/webclinic017/drift.git synced 2026-08-07 08:07:49 +00:00
Code Issues Packages Projects Releases Wiki Activity

feat(Data): added new derived features + asset pairs for crypto tickers (#6)

Browse Source
This commit is contained in:
Mark Aron Szulyovszky
2021-11-17 12:07:49 +01:00
committed by GitHub
parent b0b0d5bbba
commit 3fec439c08
72 changed files with 78660 additions and 12513 deletions
Download Patch File Download Diff File Expand all files Collapse all files
load_data.py
+19 -1
View File
@@ -2,11 +2,13 @@
import pandas as pd
import os
import numpy as np
from utils.technical_indicators import ROC, RSI, STOK, STOD
#%%
def load_files(path: str, add_features: bool, log_returns: bool, narrow_format: bool = False) -> pd.DataFrame:
dfs = [__load_df(os.path.join(path,f), f.split('.')[0], add_features, log_returns, narrow_format) for f in os.listdir(path) if os.path.isfile(os.path.join(path,f))]
files = [f for f in os.listdir(path) if os.path.isfile(os.path.join(path,f)) and not f.startswith('.')]
dfs = [__load_df(os.path.join(path,f), f.split('.')[0], add_features, log_returns, narrow_format) for f in files]
if narrow_format:
dfs = pd.concat(dfs, axis=0).fillna(0.)
else:
@@ -53,6 +55,22 @@ def __load_df(path: str, prefix: str, add_features: bool, log_returns: bool, nar
df['mom_60'] = df['close'].pct_change(60)
df['mom_90'] = df['close'].pct_change(90)
df['roc_10'] = ROC(df['close'], 10)
df['roc_30'] = ROC(df['close'], 30)
df['rsi_10'] = RSI(df['close'], 10)
df['rsi_30'] = RSI(df['close'], 30)
df['rsi_100'] = RSI(df['close'], 30)
df['stok_10'] = STOK(df['close'], df['low'], df['high'], 10)
df['stod_10'] = STOD(df['close'], df['low'], df['high'], 10)
df['stok_30'] = STOK(df['close'], df['low'], df['high'], 30)
df['stod_30'] = STOD(df['close'], df['low'], df['high'], 30)
df['stok_200'] = STOK(df['close'], df['low'], df['high'], 200)
df['stod_200'] = STOD(df['close'], df['low'], df['high'], 200)
df = df.replace([np.inf, -np.inf], 0.)
df = df.drop(columns=['open', 'high', 'low', 'close'])
if narrow_format: