mirror of
https://github.com/webclinic017/drift.git
synced 2026-07-27 18:57:55 +00:00
Mark Aron Szulyovszky
9d47ee942d
* feat(Project): use 5 minute data, running training in parallel, sped up cusum filter by 10x with numba * fix(WalkForward): inference mini-batch parallelization * fix(WalkForward): don't use the parallel version of any of the functions * feat(CI): download the data required * fix(Project): 5min_crypto folder added * fix(Evaluate): make sure we have numerical stability in returns * feat(Models): use SKLearn models directly to enable composability * feat(Inference): batched inference now working, added forecasting_horizon * fix(Inference): works again * fix(Inference) * chore(Models): remove unused Ensemble model * fix(Labeller): don't just forward shift returns, also take the sum of the data happened until then * Update test.yml
52 lines
1.6 KiB
Python
52 lines
1.6 KiB
Python
from .types import Path, FileName, DataSource, DataCollection
|
|
from utils.helpers import flatten
|
|
|
|
def transform_to_data_collection(path: str, file_names: list[str]) -> DataCollection:
|
|
return list(zip([path] * len(file_names), file_names))
|
|
|
|
__daily_etf = ["GLD", "IEF", "QQQ", "SPY", "TLT"]
|
|
|
|
__daily_crypto = ["ADA_USD", "BCH_USD", "BNB_USD", "BTC_USD", "DOT_USD", "ETC_USD", "ETH_USD", "FIL_USD", "LTC_USD", "SOL_USD", "THETA_USD", "TRX_USD", "UNI_USD", "XLM_USD", "XRP_USD", "XTZ_USD"]
|
|
|
|
__daily_crypto_lightweight = ["ADA_USD", "BCH_USD"]
|
|
|
|
__5min_crypto = ["BTC_USD", "DASH_USD", "ETC_USD", "ETH_USD", "LTC_USD", "TRX_USD", "XLM_USD", "XMR_USD"]
|
|
|
|
__daily_glassnode = ['rhodl_ratio',
|
|
# 'cvdd',
|
|
'nvt_ratio',
|
|
'nvt_signal',
|
|
'velocity',
|
|
'supply_adjusted_cdd',
|
|
'binary_cdd',
|
|
'supply_adjusted_dormancy',
|
|
'puell_multiple',
|
|
'asopr',
|
|
'reserve_risk',
|
|
'sopr',
|
|
'cdd',
|
|
'asol',
|
|
'msol',
|
|
'dormancy',
|
|
'liveliness',
|
|
'relative_unrealized_profit',
|
|
'relative_unrealized_loss',
|
|
'nupl',
|
|
'sth_nupl',
|
|
'lth_nupl',
|
|
'ssr',
|
|
'bvin',
|
|
# 'hash_rate'
|
|
]
|
|
|
|
|
|
data_collections = dict(
|
|
daily_only_btc = transform_to_data_collection("data/daily_crypto", ['BTC_USD']),
|
|
daily_crypto = transform_to_data_collection("data/daily_crypto", __daily_crypto),
|
|
daily_crypto_lightweight = transform_to_data_collection("data/daily_crypto", __daily_crypto_lightweight),
|
|
daily_etf = transform_to_data_collection("data/daily_etf", __daily_etf),
|
|
fivemin_crypto = transform_to_data_collection("data/5min_crypto", __5min_crypto),
|
|
daily_glassnode =transform_to_data_collection("data/daily_glassnode", __daily_glassnode),
|
|
)
|
|
|