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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/fractional_differentiation.py
-6
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@@ -1,7 +1,6 @@
from fracdiff.sklearn import FracdiffStat
import pandas as pd
import numpy as np
from feature_extractors.utils import apply_log_if_necessary_series
def feature_fractional_differentiation(df: pd.DataFrame, period: int) -> pd.Series:
@@ -9,8 +8,3 @@ def feature_fractional_differentiation(df: pd.DataFrame, period: int) -> pd.Seri
input_series = df["close"].to_numpy().reshape(-1, 1)
result = frac_diff.fit_transform(input_series)
return pd.Series(result.squeeze(), index=df.index)
def feature_fractional_differentiation_log(df: pd.DataFrame, period: int) -> pd.Series:
series = feature_fractional_differentiation(df, period, is_log_return)
return apply_log_if_necessary_series(series, "fracdiff")