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)