.
├── Makefile
├── README.md
├── develop
│ ├── Makefile
│ ├── dockerfiles
│ │ ├── Dockerfile
│ │ └── requirements.txt
│ ├── src
│ │ ├── backtester
│ │ │ ├── __init__.py
│ │ │ ├── backtester_v1.py
│ │ │ ├── basic_backtester.py
│ │ │ └── utils.py
│ │ ├── common_utils_dev
│ │ │ ├── __init__.py
│ │ │ └── common_utils_dev.py
│ │ ├── dataset_builder
│ │ │ └── build_dataset.py
│ │ ├── rawdata_builder
│ │ │ ├── __init__.py
│ │ │ ├── build_rawdata.py
│ │ │ ├── candidate_assets.txt
│ │ │ └── download_kaggle_data.py
│ │ ├── reviewer
│ │ │ ├── __init__.py
│ │ │ ├── paramset.py
│ │ │ ├── reviewer_v1.py
│ │ │ └── utils.py
│ │ └── trainer
│ │ ├── datasets
│ │ │ └── dataset.py
│ │ ├── models
│ │ │ ├── __init__.py
│ │ │ ├── backbones
│ │ │ │ ├── __init__.py
│ │ │ │ └── backbone_v1.py
│ │ │ ├── basic_predictor.py
│ │ │ ├── criterions.py
│ │ │ ├── predictor_v1.py
│ │ │ └── utils.py
│ │ └── modules
│ │ ├── acts.py
│ │ └── block_1d
│ │ ├── __init__.py
│ │ ├── conv1d.py
│ │ ├── dense.py
│ │ ├── dense_block.py
│ │ ├── norms.py
│ │ ├── residual.py
│ │ ├── seblock.py
│ │ └── self_attention.py
│ └── storage
│ ├── dataset
│ └── experiments
└── services
├── Makefile
├── dockerfiles
│ ├── Dockerfile
│ └── requirements.txt
├── k8s
│ ├── admin
│ │ └── namespace.yml
│ ├── deployments
│ │ ├── data_collector.yml
│ │ ├── database.yml
│ │ └── trader.yml
│ ├── deployments-template
│ │ ├── data_collector-template.yml
│ │ ├── database-template.yml
│ │ └── trader-template.yml
│ └── service
│ └── service.yml
├── src
│ ├── common_utils_svc
│ │ ├── __init__.py
│ │ └── common_utils_svc.py
│ ├── config
│ │ └── __init__.py
│ ├── data_collector
│ │ └── data_collector.py
│ ├── database
│ │ ├── database.py
│ │ ├── models.py
│ │ └── usecase.py
│ ├── exchange
│ │ └── custom_client.py
│ ├── handler
│ │ ├── __init__.py
│ │ └── slack_handler.py
│ └── trader
│ ├── trader_v1.py
│ └── utils.py
└── storage
└── database
- Based on DenseNet.
- Add Squeeze and Excitation block before transition block
- Add Self-Attention block before transition block
- Use Activation function as SELU. selectable [Mish, tanhexp]
- Use Dropout block as Combine(AlphaDropout, SpatialDropout)
- Dropout not only for time-series, but also for channels.
Backtesting setting
Commisions: "entry": 0.04%, "exit": 0.02% or 0.04%, "spread": 0.04%
trade_winning_ratio 0.690894
trade_sharpe_ratio 2.100903
trade_avg_return 0.002093
max_drawdown -0.204948
total_return 1.217380
Follow below steps.
- You can give additional variable to execute command with tag
make <command> ARGS="--variable1 <value> --variable2 <value>" - All code run on same container by reuse. Once if execute run container, it run continuously, and reused by other command.
✨make dev_run GPU_TYPE="<NVIDIA or AMD>": Run container to develop
✨make dev_download_kaggle_data ARGS="--username <kaggle_username> --key <kaggle_key>": Download historical pricing data
- In here, I implemented kaggle data downloader, but never checked. I recommend to download files manually through website.
- Download from https://www.kaggle.com/jorijnsmit/binance-full-history, then store to <pwd>/develop/storage/dataset/rawdata/raw/spot/
- Download from https://www.kaggle.com/nicolaes/binance-futures, then store to <pwd>/develop/storage/dataset/rawdata/raw/future/
✨make dev_build_rawdata: Build cleaned rawdata
✨make dev_build_dataset: Build features and labels to train model
✨make dev_train: Train model
✨make dev_generate: Generate predictions in test-periods
✨make dev_review: Check Performance and find best parameters by backtesting in virtual-env to trading.
✨make dev_display_review: Display performance plots, it should be run after make dev_review is done.
additional
✨make dev_rm: You can delete the container
✨make dev_bash: You can enter the container
✨make svc_install: Install requirements(kubectl, minikube), currently mac and linux environment is acceptable.
✨make svc_run: Run to trade in real environment.
It ask the params to set. You can use default setting by just enter without any input.
- LEVERAGE: How much use leverage
- EXP_NAME: If you set variable of exp_name when model train, you should give.
- REPORT_PREFIX: If you set varialbe of prefix when model review, you should give.
- REPORT_BASE_CURRENCY: Currently only USDT is acceptable. just skip.
- REPORT_ID: `You should set this, which parameter set is best on model reviews`
- EXCHANGE_API_KEY: API_KEY of binance. You can set API_KEY of binance future test-net, when you want to check behavior in test-net.
- EXCHANGE_SECRET_KEY: SECRET_KEY of binance. You can set SECRET_KEY of binance future test-net, when you want to check behavior in test-net.
- TEST_MODE: Give True or False. Give False when test in test-net.
additional
✨make svc_rm: Delete only pods(containers)
✨make reapply: Update changes without delete.
✨make svc_delete: Delete minikube. Clean-up way. If once delete, it takes time to re-run.
✨make svc_pods: Check status of pods.
✨make svc_db_bash: Enter database container.
✨make svc_dc_bash: Enter datacollector container.
✨make svc_td_bash: Enter trader container.