mirror of
https://github.com/webclinic017/drift.git
synced 2026-08-08 00:27:50 +00:00
Mark Aron Szulyovszky
56 lines
1.8 KiB
Python
56 lines
1.8 KiB
Python
from .types import FeatureExtractorConfig
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from .feature_extractors import (
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feature_lag,
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feature_mom,
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feature_ROC,
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feature_RSI,
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feature_STOD,
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feature_STOK,
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feature_expanding_zscore,
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feature_vol,
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feature_day_of_month,
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feature_day_of_week,
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feature_month,
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feature_debug_future_lookahead,
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)
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from .fractional_differentiation import (
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feature_fractional_differentiation,
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feature_fractional_differentiation_log,
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)
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__presets = dict(
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debug_future_lookahead=[("debug_future", feature_debug_future_lookahead, [1])],
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single_mom=[("mom", feature_mom, [30])],
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single_vol=[("vol", feature_vol, [30])],
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mom=[("mom", feature_mom, [10, 20, 30, 60, 90])],
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vol=[("vol", feature_vol, [10, 20, 30, 60])],
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lags_up_to_5=[("lag", feature_lag, [1, 2, 3, 4, 5])],
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lags_up_to_10=[("lag", feature_lag, [1, 2, 3, 4, 5, 6, 7, 8, 9, 10])],
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date_all=[
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("day_of_week", feature_day_of_week, [0]),
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("day_of_month", feature_day_of_month, [0]),
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("month", feature_month, [0]),
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],
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date_days=[
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("day_of_week", feature_day_of_week, [0]),
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("day_of_month", feature_day_of_month, [0]),
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],
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roc=[("roc", feature_ROC, [10, 30])],
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rsi=[("rsi", feature_ROC, [10, 30, 100])],
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stod=[("stod", feature_STOD, [10, 30, 200])],
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stok=[("stok", feature_STOK, [10, 30, 200])],
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fracdiff=[("fracdiff", feature_fractional_differentiation, [10, 30])],
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fracdiff_log=[("fracdiff_log", feature_fractional_differentiation_log, [10, 30])],
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z_score=[("z_score", feature_expanding_zscore, [10])],
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)
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presets = __presets | dict(
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level_1=__presets["mom"] + __presets["vol"],
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level_2=__presets["mom"]
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+ __presets["vol"]
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+ __presets["roc"]
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+ __presets["rsi"]
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+ __presets["stod"]
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+ __presets["stok"],
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)
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