Compare ML Models

[slavakurilyak]

Goal

As a data scientist, I want to compare the machine learning models against each other, so that I can better determine successful strategies.

Inspiration

Running $ strat -ml xgboost -d quandl -c 'TOTBC' -c 'MKTCP' -c 'TRFEE' -c 'TRFUS' -c 'NETDF' -c 'NTRAN' -c 'NTRAT' -c 'NTREP' -c 'NADDU' -c 'NTRBL' -c 'TOUTV' -c 'ETRAV' -c 'ETRVU' -c 'TRVOU' -c 'TVTVR' -c 'MKPRU' -c 'CPTRV' -c 'CPTRA' -c 'HRATE' -c 'MIREV' -c 'ATRCT' -c 'BCDDC' -c 'BCDDE' -c 'BCDDW' -c 'BCDDM' -c 'BCDDY' -c 'BLCHS' -c 'AVBLS' -c 'MWTRV' -c 'MWNUS' -c 'MWNTD' -c 'MIOPM' -c 'DIFF' produces similar results to $ strat -ml xgboost.

# config.json
{
   "EXCHANGE": "bitfinex",
   "ASSET": "btc_usd",
   "DATA_FREQ": "daily",
   "HISTORY_FREQ": "1d",
   "CAPITAL_BASE": 5000,
   "BASE_CURRENCY": "usd",
   "START": "2018-05-07",
   "END": "2018-06-07",
   "BARS": 365,
   "ORDER_SIZE": 0.5,
   "SLIPPAGE_ALLOWED": 0.05
}