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feat(Models): added a basic sktime model and missing USD crypto currency pairs (#7)

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This commit is contained in:
Mark Aron Szulyovszky
2021-11-17 22:28:34 +01:00
committed by GitHub
parent 3fec439c08
commit 6e192ebc8a
75 changed files with 16723 additions and 116 deletions
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load_data.py
+12 -4
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@@ -88,9 +88,13 @@ def create_target_cum_forward_returns(df: pd.DataFrame, source_column: str, peri
#%%
def create_target_pos_neg_classes(df: pd.DataFrame, source_column: str, period: int) -> pd.DataFrame:
df['target'] = df[source_column].diff(period).shift(-period)
if period > 0:
df['target'] = df[source_column].diff(period).shift(-period)
else:
df['target'] = df[source_column].diff(period)
df['target'] = df['target'].map(lambda x: 0 if x <= 0.0 else 1)
df = df.iloc[:-period]
if period > 0:
df = df.iloc[:-period]
return df
def create_target_four_classes(df: pd.DataFrame, source_column: str, period: int) -> pd.DataFrame:
@@ -105,7 +109,11 @@ def create_target_four_classes(df: pd.DataFrame, source_column: str, period: int
else:
return 3
df['target'] = df[source_column].diff(period).shift(-period)
if period > 0:
df['target'] = df[source_column].diff(period).shift(-period)
else:
df['target'] = df[source_column].diff(period)
df['target'] = df['target'].map(__get_class)
df = df.iloc[:-period]
if period > 0:
df = df.iloc[:-period]
return df