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https://github.com/webclinic017/drift.git
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Mark Aron Szulyovszky
22 lines
725 B
Python
22 lines
725 B
Python
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
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lags = [('lag', feature_lag, [1,2,3,4,5,6,7,8,9])]
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only_mom = [('mom', feature_mom, [30])]
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date = [
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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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level1 = [
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('mom', feature_mom, [10, 20, 30, 60, 90]),
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('vol', feature_vol, [10, 20, 30, 60]),
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]
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level2 = level1 + [
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('roc', feature_ROC, [10, 30]),
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('rsi', feature_RSI, [10, 30, 100]),
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('stod', feature_STOD, [10, 30, 200]),
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('stok', feature_STOK, [10, 30, 200]),
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] |