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feat(Data): added feature extractors, and feature extractor presets, removed a bunch of custom arguments from load_data (#42)

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Mark Aron Szulyovszky
2021-12-19 12:14:59 +01:00
committed by GitHub
parent b8b7375c30
commit b456ec3cb7
5 changed files with 127 additions and 70 deletions
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feature_extractors/feature_extractor_presets.py
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from feature_extractors.feature_extractors import feature_lag, feature_mom, feature_ROC, feature_RSI, feature_STOD, feature_STOK, feature_vol, feature_day_of_month, feature_day_of_week, feature_month
lags = [('lag', feature_lag, [1,2,3,4,5,6,7,8,9])]
only_mom = [('mom', feature_mom, [30])]
date = [
('day_of_week', feature_day_of_week, [0]),
('day_of_month', feature_day_of_month, [0]),
('month', feature_month, [0])]
level1 = [
('mom', feature_mom, [10, 20, 30, 60, 90]),
('vol', feature_vol, [10, 20, 30, 60]),
]
level2 = level1 + [
('roc', feature_ROC, [10, 30]),
('rsi', feature_RSI, [10, 30, 100]),
('stod', feature_STOD, [10, 30, 200]),
('stok', feature_STOK, [10, 30, 200]),
]