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Piment Noir Git Repositories - freqai-strategies.git/log
Jérôme Benoit [Sun, 16 Mar 2025 12:41:13 +0000 (13:41 +0100)] 
fix(qav3): fix trailing stop loss configuration, take 2
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sun, 16 Mar 2025 12:39:44 +0000 (13:39 +0100)]
fix(qav3): fix trailing stop loss configuration
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sun, 16 Mar 2025 12:19:08 +0000 (13:19 +0100)]
refactor(qav3): remove support from dynamic SL computation
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sun, 16 Mar 2025 11:52:51 +0000 (12:52 +0100)]
fix(qav3): fix wrong Trade object property access
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sun, 16 Mar 2025 11:45:56 +0000 (12:45 +0100)]
feat(qav3): add dynamic SL and TP logic
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sat, 15 Mar 2025 19:07:48 +0000 (20:07 +0100)]
refactor: do not cast Path to str
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sat, 15 Mar 2025 16:27:20 +0000 (17:27 +0100)]
refactor: refine a test
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sat, 15 Mar 2025 16:10:23 +0000 (17:10 +0100)]
fix: improve optuna error handling
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 14 Mar 2025 18:43:06 +0000 (19:43 +0100)]
refactor(qav3): typing
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 14 Mar 2025 18:27:34 +0000 (19:27 +0100)]
perf(qav3): fine tune label window optimisation
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 14 Mar 2025 18:21:20 +0000 (19:21 +0100)]
perf(qav3): use optimized mean computation
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 14 Mar 2025 15:09:07 +0000 (16:09 +0100)]
refactor(qav3): handle missing identifier properly
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 14 Mar 2025 14:24:44 +0000 (15:24 +0100)]
refactor(qav3): use iloc everywhere
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 14 Mar 2025 13:59:08 +0000 (14:59 +0100)]
perf(qav3): split evenly fit live predictions window
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 14 Mar 2025 13:06:03 +0000 (14:06 +0100)]
perf(qav3): fine tune the label window optimisation
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 14 Mar 2025 12:50:36 +0000 (13:50 +0100)]
perf(qav3): optimize label period splitting over fit live prediction
window
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 14 Mar 2025 11:33:06 +0000 (12:33 +0100)]
perf(qav3): fine tune label window optimization
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 14 Mar 2025 10:54:38 +0000 (11:54 +0100)]
perf(qav3): fine tune label window optimization
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 14 Mar 2025 10:04:38 +0000 (11:04 +0100)]
refactor(qav3): cleanup data smoothing code
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 13 Mar 2025 18:41:38 +0000 (19:41 +0100)]
refactor(qav3): cleanup label_period_candles handling
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 13 Mar 2025 18:22:48 +0000 (19:22 +0100)]
fix(qav3): fix cold start
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 13 Mar 2025 18:04:57 +0000 (19:04 +0100)]
refactor(qav3): typing
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 13 Mar 2025 17:02:00 +0000 (18:02 +0100)] 
feat(qav3): properly implement zero phase gaussian smoothing
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Thu, 13 Mar 2025 15:20:02 +0000 (16:20 +0100)]
fix(qav3): properly extract label_period_candles from dataframe
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Thu, 13 Mar 2025 11:19:45 +0000 (12:19 +0100)]
refactor(qav3): use builtin method to propagate label_period_candles
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 13 Mar 2025 10:45:22 +0000 (11:45 +0100)]
fix(qav3): remove buggy zero_phase_gaussian for now
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 13 Mar 2025 08:25:25 +0000 (09:25 +0100)]
feat(qav3): add sma extrema smoothing
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 12 Mar 2025 23:24:46 +0000 (00:24 +0100)]
feat(qav3): add more extrema smoothing methods
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 12 Mar 2025 15:23:35 +0000 (16:23 +0100)]
perf(qav3): fine tune label period optimization
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 12 Mar 2025 15:08:40 +0000 (16:08 +0100)]
refactor(qav3): cleanup label period optimization
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 12 Mar 2025 11:09:09 +0000 (12:09 +0100)]
fix(qav3): ensure previous optuna study is loaded when continuous = False
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 12 Mar 2025 09:23:41 +0000 (10:23 +0100)]
refactor(qav3): cleanup period objective function
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 12 Mar 2025 00:51:08 +0000 (01:51 +0100)]
fix(qav3): compute RMSE on a label period basis
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Tue, 11 Mar 2025 23:16:37 +0000 (00:16 +0100)]
fix(qav3): fix array like shape for rmse
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Tue, 11 Mar 2025 21:56:13 +0000 (22:56 +0100)]
fix(qav3): avoid overlapping label period windows optimization
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Tue, 11 Mar 2025 18:37:20 +0000 (19:37 +0100)]
refactor(qav3): import cleanups
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Tue, 11 Mar 2025 15:32:49 +0000 (16:32 +0100)]
refactor(qav3): rename top_percent_change -> top_change_percent
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Tue, 11 Mar 2025 14:52:50 +0000 (15:52 +0100)]
fix(qav3): ensure the label period is chosen over all possible windows
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Tue, 11 Mar 2025 10:50:11 +0000 (11:50 +0100)]
refactor(qav3): code formatting
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Tue, 11 Mar 2025 10:38:12 +0000 (11:38 +0100)]
refactor(qav3)!: refine features list
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Mon, 10 Mar 2025 17:33:01 +0000 (18:33 +0100)]
perf(qav3): use NATR ta-lib-python instead
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Mon, 10 Mar 2025 15:02:20 +0000 (16:02 +0100)]
refactor(qav3): rename function
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Mon, 10 Mar 2025 10:15:15 +0000 (11:15 +0100)]
fix(qav3): handle NaN in builtin cmf
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Mon, 10 Mar 2025 10:05:25 +0000 (11:05 +0100)]
refactor(qav3): cleanup commented out code
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Mon, 10 Mar 2025 10:01:50 +0000 (11:01 +0100)]
refactor(qav3): refine EWO implementation
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Mon, 10 Mar 2025 00:18:03 +0000 (01:18 +0100)]
fix(qav3): fix EWO available MA mode
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sun, 9 Mar 2025 23:50:41 +0000 (00:50 +0100)]
refactor(qav3): use builtin TA indicators when possible
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sun, 9 Mar 2025 11:42:23 +0000 (12:42 +0100)]
perf(qav3): refine top_percent_change() computation
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sun, 9 Mar 2025 10:38:41 +0000 (11:38 +0100)]
feat(qav3): add optuna hyperopt tunables
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sat, 8 Mar 2025 20:34:27 +0000 (21:34 +0100)]
docs(reforcexy): spell fix
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sat, 8 Mar 2025 20:29:36 +0000 (21:29 +0100)]
fix(reforcexy): revert incorrect observation stacking
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sat, 8 Mar 2025 17:43:43 +0000 (18:43 +0100)]
fix(reforcexy): properly stack observations
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 7 Mar 2025 22:24:42 +0000 (23:24 +0100)]
fix(qav3): ensure trades opened with an expired model are closed
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 7 Mar 2025 19:52:57 +0000 (20:52 +0100)]
fix(qav3): fix various features computation
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 7 Mar 2025 12:45:04 +0000 (13:45 +0100)]
refactor(qav3): refine type definition
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 7 Mar 2025 10:50:32 +0000 (11:50 +0100)]
refactor(qav3): cleanup extrema smoothing
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 7 Mar 2025 09:24:39 +0000 (10:24 +0100)]
feat(qav3): add zlewma extrema smoothing
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 6 Mar 2025 09:31:41 +0000 (10:31 +0100)]
refactor(qav3): code formatting
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 5 Mar 2025 18:31:40 +0000 (19:31 +0100)]
fix(qav3): fix minimal_roi definition
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 5 Mar 2025 18:04:57 +0000 (19:04 +0100)]
fix(qav3): define trade max duration as # of candles
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 5 Mar 2025 17:32:01 +0000 (18:32 +0100)]
fix(qav3): ensure trade exit condition handle prediction outliers
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 5 Mar 2025 14:33:55 +0000 (15:33 +0100)]
perf(qav3): fine tune labeling window optimization
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 5 Mar 2025 13:52:41 +0000 (14:52 +0100)]
perf(qav3): fine tune the extrema labelling window
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Tue, 4 Mar 2025 21:55:49 +0000 (22:55 +0100)]
refactor(qav3): code reformatting
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Tue, 4 Mar 2025 21:53:07 +0000 (22:53 +0100)]
perf(qav3): refine default quantile value
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Tue, 4 Mar 2025 10:04:52 +0000 (11:04 +0100)]
perf(reforcexy): reduce optuna search space
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Tue, 4 Mar 2025 08:27:54 +0000 (09:27 +0100)]
refactor(qav3): cleanup smoothing tunables handling
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Mon, 3 Mar 2025 21:13:48 +0000 (22:13 +0100)]
fix(reforcexy): parse properly policy_kwargs tunable section
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Mon, 3 Mar 2025 21:01:13 +0000 (22:01 +0100)]
refactor(reforcexy): cleanup hyperparams handling
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Mon, 3 Mar 2025 18:15:20 +0000 (19:15 +0100)]
fix(reforcexy): move attribute init to proper code path
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Mon, 3 Mar 2025 17:48:56 +0000 (18:48 +0100)]
refactor(reforcexy): move attributes init to constructor
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Mon, 3 Mar 2025 15:51:21 +0000 (16:51 +0100)]
fix(reforcexy): properly handle activation_fn and optimizer_class
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Mon, 3 Mar 2025 13:43:00 +0000 (14:43 +0100)]
fix(reforcexy): ensure policy_kwargs dict is initialized
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Mon, 3 Mar 2025 13:38:40 +0000 (14:38 +0100)]
fix(reforcexy): do not overwrite configuration policy_kwargs
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Sun, 2 Mar 2025 16:01:16 +0000 (17:01 +0100)]
fix(qav3): ensure always the latest computed optuna HPs are used
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sun, 2 Mar 2025 12:04:55 +0000 (13:04 +0100)]
refactor(qav3): simplify model identifier fetching
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sun, 2 Mar 2025 09:35:56 +0000 (10:35 +0100)]
fix(qav3): symetric quantile thresholds
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sat, 1 Mar 2025 14:22:21 +0000 (15:22 +0100)]
refactor(reforcexy): refine hyperopt enablement condition
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sat, 1 Mar 2025 11:54:16 +0000 (12:54 +0100)]
refactor(reforcexy): revert incorrect change
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Sat, 1 Mar 2025 10:50:59 +0000 (11:50 +0100)]
refactor: move strategy and freqaimodel to configuration file
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 28 Feb 2025 18:36:07 +0000 (19:36 +0100)]
fix(qav3): ensure period hyperopt compute RMSE properly
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 28 Feb 2025 17:54:17 +0000 (18:54 +0100)]
fix(qav3): flag strategy as supporting short
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 28 Feb 2025 17:34:00 +0000 (18:34 +0100)]
perf(qav3): ensure hyperopt choose the labelling period optimally
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 28 Feb 2025 13:49:31 +0000 (14:49 +0100)]
perf(qav3): fine tune long/short IQR signal for the gaussian window
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 28 Feb 2025 13:37:04 +0000 (14:37 +0100)]
perf(qav3): align IQR for long/short signal
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Fri, 28 Feb 2025 09:25:35 +0000 (10:25 +0100)]
refactor(qav3): refine typing
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 27 Feb 2025 22:32:19 +0000 (23:32 +0100)]
refactor(qav3)!: align feature namespace
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 27 Feb 2025 19:02:51 +0000 (20:02 +0100)]
refactor(qav3): refine configuration template
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 27 Feb 2025 18:47:19 +0000 (19:47 +0100)]
refactor(qav3): refine configuration template
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 27 Feb 2025 16:22:33 +0000 (17:22 +0100)]
refactor(reforcexy): code formatting
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Thu, 27 Feb 2025 14:58:33 +0000 (15:58 +0100)]
fix(refactorxy): ensure hyperopt params are merged with user defined
ones
Signed-off-by: Jérôme Benoit <jerome.benoit@sap.com>
Jérôme Benoit [Thu, 27 Feb 2025 09:52:58 +0000 (10:52 +0100)]
fix(reforcexy): fix peak pnl computation
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 27 Feb 2025 09:28:26 +0000 (10:28 +0100)]
perf(reforcexy): fine tune reward on opened positions
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Thu, 27 Feb 2025 08:36:11 +0000 (09:36 +0100)]
fix(qav3): use max_open_trades tunable to size opened positions
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 26 Feb 2025 19:57:40 +0000 (20:57 +0100)]
refactor(qav3)!: sensible name for prediction thresholds smoothing
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 26 Feb 2025 19:21:18 +0000 (20:21 +0100)]
refactor(qav3): cleanup confirm_trade_entry()
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 26 Feb 2025 16:47:10 +0000 (17:47 +0100)]
perf(qav3): improve order_types
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 26 Feb 2025 14:25:17 +0000 (15:25 +0100)]
perf(reforcexy): asymetric reward for opened trades at loss
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 26 Feb 2025 12:17:50 +0000 (13:17 +0100)]
perf(reforcexy): improve reward for opened positions
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
Jérôme Benoit [Wed, 26 Feb 2025 10:35:50 +0000 (11:35 +0100)]
refactor(qav3): fine tune default values
Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
repositories / freqai-strategies.git / log
