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feat(Data): added script to download data from binance (#224)

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* feat(Data): added script to download data from binance

* feat(Data): saving unified parquet file/loading

* fix(Config): tweak the cusum filter's threshold

* fix(Dependencies): added binance_historical_data
This commit is contained in:
Mark Aron Szulyovszky
2022-02-20 12:30:53 +01:00
committed by GitHub
parent 7a443d93e4
commit c9f8ed1304
11 changed files with 85 additions and 101 deletions
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feature_extractors/feature_extractors.py
+3 -4
View File
@@ -1,7 +1,6 @@
import pandas as pd
import numpy as np
from feature_extractors.utils import get_close_low_high
from feature_extractors.utils import apply_log_if_necessary_series
def feature_debug_future_lookahead(df: pd.DataFrame, period: int) -> pd.Series:
@@ -51,7 +50,7 @@ def feature_STOK(df: pd.DataFrame, period: int) -> pd.Series:
(close - low.rolling(period).min())
/ (high.rolling(period).max() - low.rolling(period).min())
) * 100
return apply_log_if_necessary_series(STOK, "stok")
return STOK
def feature_STOD(df: pd.DataFrame, period: int) -> pd.Series:
@@ -76,7 +75,7 @@ def feature_RSI(df: pd.DataFrame, period: int) -> pd.Series:
u.ewm(com=period - 1, adjust=False).mean()
/ d.ewm(com=period - 1, adjust=False).mean()
)
return apply_log_if_necessary_series(100 - 100 / (1 + rs), "rsi")
return 100 - 100 / (1 + rs)
def feature_ROC(df: pd.DataFrame, period: int) -> pd.Series:
@@ -84,4 +83,4 @@ def feature_ROC(df: pd.DataFrame, period: int) -> pd.Series:
M = returns.diff(period - 1)
N = returns.shift(period - 1)
roc = pd.Series(((M / N) * 100), name="ROC_" + str(period))
return apply_log_if_necessary_series(roc, "roc")
return roc