roboquant
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Better support for advanced strategies
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:
- Make it easy to capture historic data (multi-dimensional)
- Add feature engineering capabilities
- Add bindings to common libraries, like XGBoost
First steps are now available in a new module called roboquant-ml Still at prototyping phase to get the API stable.
Added better feature engineering to the ml module. Right now using Smile for the ML algo's like gradient boosting decision trees.