def __init__(self, fwd_returns_window=1, task="regression"): # if task == "regression": self.labeler = RegressionLabler(window=fwd_returns_window) self.pct_change = tf.PctChange(window=1) self.ReturnsRollingStd = jf.ReturnsRollingStd(window=4) self.net_profit = CustomFeature()
def __init__(self): self.pct_change = tf.PctChange(window=1) # price-volume self.PriceVolume = talib.PriceVolume() # extra added self.KDJ = talib.KDJRelated(fastk_period=9, slowk_period=3, slowd_period=3) # journal self.ReturnsRollingStd4 = jf.ReturnsRollingStd(window=4) self.ReturnsRollingStd12 = jf.ReturnsRollingStd(window=12) self.BackwardSharpRatio4 = jf.BackwardSharpRatio(window=4) self.BackwardSharpRatio12 = jf.BackwardSharpRatio(window=12) # trading factor self.VolumeReturnsCorr4 = vp.VolumeReturnsCorr(window=4) self.VolumeReturnsCorr12 = vp.VolumeReturnsCorr(window=12) self.HighLowCorr4 = vp.HighLowCorr(window=4)
def __init__(self, fwd_returns_window=1, task="regression"): # if task == "regression": self.labeler = RegressionLabler(window=fwd_returns_window) self.pct_change = tf.PctChange(window=1) # self.ROCP = talib.ROCP(timeperiod=1) self.MACD = talib.MACDRelated(fastperiod=12, slowperiod=26, signalperiod=9) self.RSI6 = talib.DemeanedRSI(timeperiod=6) self.RSI12 = talib.DemeanedRSI(timeperiod=12) self.RSI24 = talib.DemeanedRSI(timeperiod=24) self.RSIROCP6 = talib.RSIROCP(timeperiod=6) self.RSIROCP12 = talib.RSIROCP(timeperiod=12) self.RSIROCP24 = talib.RSIROCP(timeperiod=24) self.VROCP = talib.VolumeROCP() #BOLL self.BOLL = talib.BBANDS(timeperiod=5, nbdevup=2, nbdevdn=2, matype=0) #MA self.MAROCP5 = talib.MAROCP(timeperiod=5) self.MAROCP10 = talib.MAROCP(timeperiod=10) self.MAROCP20 = talib.MAROCP(timeperiod=20) self.MAROCP30 = talib.MAROCP(timeperiod=30) self.MAROCP60 = talib.MAROCP(timeperiod=60) self.MAROCP90 = talib.MAROCP(timeperiod=90) self.MARelative5 = talib.MARelative(timeperiod=5) self.MARelative10 = talib.MARelative(timeperiod=10) self.MARelative20 = talib.MARelative(timeperiod=20) self.MARelative30 = talib.MARelative(timeperiod=30) self.MARelative60 = talib.MARelative(timeperiod=60) self.MARelative90 = talib.MARelative(timeperiod=90) #VMA self.VolumeRelative5 = talib.VolumeRelative(timeperiod=5) self.VolumeRelative10 = talib.VolumeRelative(timeperiod=10) self.VolumeRelative20 = talib.VolumeRelative(timeperiod=20) self.VolumeRelative30 = talib.VolumeRelative(timeperiod=30) self.VolumeRelative60 = talib.VolumeRelative(timeperiod=60) self.VolumeRelative90 = talib.VolumeRelative(timeperiod=90) # price-volume self.PriceVolume = talib.PriceVolume() # extra added self.KDJ = talib.KDJRelated(fastk_period=9, slowk_period=3, slowd_period=3) # journal self.ReturnsRollingStd4 = jf.ReturnsRollingStd(window=4) self.ReturnsRollingStd12 = jf.ReturnsRollingStd(window=12) self.ReturnsRollingStd22 = jf.ReturnsRollingStd(window=22) self.BackwardSharpRatio4 = jf.BackwardSharpRatio(window=4) self.BackwardSharpRatio12 = jf.BackwardSharpRatio(window=12) self.BackwardSharpRatio22 = jf.BackwardSharpRatio(window=22) self.BackwardSharpRatio36 = jf.BackwardSharpRatio(window=36) # trading factor self.VolumeReturnsCorr4 = vp.VolumeReturnsCorr(window=4) self.VolumeReturnsCorr12 = vp.VolumeReturnsCorr(window=12) self.VolumeReturnsCorr22 = vp.VolumeReturnsCorr(window=22) self.HighLowCorr4 = vp.HighLowCorr(window=4) self.HighLowCorr12 = vp.HighLowCorr(window=12) self.HighLowCorr22 = vp.HighLowCorr(window=22) self.VolumeVwapDeviation4 = vp.VolumeVwapDeviation(window=4) self.VolumeVwapDeviation12 = vp.VolumeVwapDeviation(window=12) self.VolumeVwapDeviation22 = vp.VolumeVwapDeviation(window=22) self.OpenJump = vp.OpenJump() self.AbnormalVolume4 = vp.AbnormalVolume(window=4) self.AbnormalVolume12 = vp.AbnormalVolume(window=12) self.AbnormalVolume22 = vp.AbnormalVolume(window=22) self.VolumeRangeDeviation4 = vp.VolumeRangeDeviation(window=4) self.VolumeRangeDeviation12 = vp.VolumeRangeDeviation(window=12) self.VolumeRangeDeviation22 = vp.VolumeRangeDeviation(window=22)