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Better support for advanced strategies

Open jbaron opened this issue 2 years ago • 2 comments

Add more building blocks to make it easier to add advanced strategies like those based on machine learning algo's. Right now requires writing too much plumbing code.

Some required features:

  1. Make it easy to capture historic data (multi-dimensional)
  2. Add feature engineering capabilities
  3. Add bindings to common libraries, like XGBoost

jbaron avatar Jan 27 '23 11:01 jbaron

First steps are now available in a new module called roboquant-ml Still at prototyping phase to get the API stable.

jbaron avatar Nov 01 '23 22:11 jbaron

Added better feature engineering to the ml module. Right now using Smile for the ML algo's like gradient boosting decision trees.

jbaron avatar Nov 15 '23 06:11 jbaron