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Simon Moisy 2025-05-30 20:06:28 +08:00
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362
.gitignore vendored
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# ---> Python # ---> Python
/data/*.db /data/*.db
/credentials/*.json /credentials/*.json
*.csv *.csv
*.png *.png
# Byte-compiled / optimized / DLL files # Byte-compiled / optimized / DLL files
__pycache__/ __pycache__/
*.py[cod] *.py[cod]
*$py.class *$py.class
/data/*.npy /data/*.npy
# C extensions # C extensions
*.so *.so
# Distribution / packaging # Distribution / packaging
.Python .Python
build/ build/
develop-eggs/ develop-eggs/
dist/ dist/
downloads/ downloads/
eggs/ eggs/
.eggs/ .eggs/
lib/ lib/
lib64/ lib64/
parts/ parts/
sdist/ sdist/
var/ var/
wheels/ wheels/
share/python-wheels/ share/python-wheels/
*.egg-info/ *.egg-info/
.installed.cfg .installed.cfg
*.egg *.egg
MANIFEST MANIFEST
# PyInstaller # PyInstaller
# Usually these files are written by a python script from a template # Usually these files are written by a python script from a template
# before PyInstaller builds the exe, so as to inject date/other infos into it. # before PyInstaller builds the exe, so as to inject date/other infos into it.
*.manifest *.manifest
*.spec *.spec
# Installer logs # Installer logs
pip-log.txt pip-log.txt
pip-delete-this-directory.txt pip-delete-this-directory.txt
# Unit test / coverage reports # Unit test / coverage reports
htmlcov/ htmlcov/
.tox/ .tox/
.nox/ .nox/
.coverage .coverage
.coverage.* .coverage.*
.cache .cache
nosetests.xml nosetests.xml
coverage.xml coverage.xml
*.cover *.cover
*.py,cover *.py,cover
.hypothesis/ .hypothesis/
.pytest_cache/ .pytest_cache/
cover/ cover/
# Translations # Translations
*.mo *.mo
*.pot *.pot
# Django stuff: # Django stuff:
*.log *.log
local_settings.py local_settings.py
db.sqlite3 db.sqlite3
db.sqlite3-journal db.sqlite3-journal
# Flask stuff: # Flask stuff:
instance/ instance/
.webassets-cache .webassets-cache
# Scrapy stuff: # Scrapy stuff:
.scrapy .scrapy
# Sphinx documentation # Sphinx documentation
docs/_build/ docs/_build/
# PyBuilder # PyBuilder
.pybuilder/ .pybuilder/
target/ target/
# Jupyter Notebook # Jupyter Notebook
.ipynb_checkpoints .ipynb_checkpoints
# IPython # IPython
profile_default/ profile_default/
ipython_config.py ipython_config.py
# pyenv # pyenv
# For a library or package, you might want to ignore these files since the code is # For a library or package, you might want to ignore these files since the code is
# intended to run in multiple environments; otherwise, check them in: # intended to run in multiple environments; otherwise, check them in:
# .python-version # .python-version
# pipenv # pipenv
# According to pypa/pipenv#598, it is recommended to include Pipfile.lock in version control. # According to pypa/pipenv#598, it is recommended to include Pipfile.lock in version control.
# However, in case of collaboration, if having platform-specific dependencies or dependencies # However, in case of collaboration, if having platform-specific dependencies or dependencies
# having no cross-platform support, pipenv may install dependencies that don't work, or not # having no cross-platform support, pipenv may install dependencies that don't work, or not
# install all needed dependencies. # install all needed dependencies.
#Pipfile.lock #Pipfile.lock
# UV # UV
# Similar to Pipfile.lock, it is generally recommended to include uv.lock in version control. # Similar to Pipfile.lock, it is generally recommended to include uv.lock in version control.
# This is especially recommended for binary packages to ensure reproducibility, and is more # This is especially recommended for binary packages to ensure reproducibility, and is more
# commonly ignored for libraries. # commonly ignored for libraries.
#uv.lock #uv.lock
# poetry # poetry
# Similar to Pipfile.lock, it is generally recommended to include poetry.lock in version control. # Similar to Pipfile.lock, it is generally recommended to include poetry.lock in version control.
# This is especially recommended for binary packages to ensure reproducibility, and is more # This is especially recommended for binary packages to ensure reproducibility, and is more
# commonly ignored for libraries. # commonly ignored for libraries.
# https://python-poetry.org/docs/basic-usage/#commit-your-poetrylock-file-to-version-control # https://python-poetry.org/docs/basic-usage/#commit-your-poetrylock-file-to-version-control
#poetry.lock #poetry.lock
# pdm # pdm
# Similar to Pipfile.lock, it is generally recommended to include pdm.lock in version control. # Similar to Pipfile.lock, it is generally recommended to include pdm.lock in version control.
#pdm.lock #pdm.lock
# pdm stores project-wide configurations in .pdm.toml, but it is recommended to not include it # pdm stores project-wide configurations in .pdm.toml, but it is recommended to not include it
# in version control. # in version control.
# https://pdm.fming.dev/latest/usage/project/#working-with-version-control # https://pdm.fming.dev/latest/usage/project/#working-with-version-control
.pdm.toml .pdm.toml
.pdm-python .pdm-python
.pdm-build/ .pdm-build/
# PEP 582; used by e.g. github.com/David-OConnor/pyflow and github.com/pdm-project/pdm # PEP 582; used by e.g. github.com/David-OConnor/pyflow and github.com/pdm-project/pdm
__pypackages__/ __pypackages__/
# Celery stuff # Celery stuff
celerybeat-schedule celerybeat-schedule
celerybeat.pid celerybeat.pid
# SageMath parsed files # SageMath parsed files
*.sage.py *.sage.py
# Environments # Environments
.env .env
.venv .venv
env/ env/
venv/ venv/
ENV/ ENV/
env.bak/ env.bak/
venv.bak/ venv.bak/
# Spyder project settings # Spyder project settings
.spyderproject .spyderproject
.spyproject .spyproject
# Rope project settings # Rope project settings
.ropeproject .ropeproject
# mkdocs documentation # mkdocs documentation
/site /site
# mypy # mypy
.mypy_cache/ .mypy_cache/
.dmypy.json .dmypy.json
dmypy.json dmypy.json
# Pyre type checker # Pyre type checker
.pyre/ .pyre/
# pytype static type analyzer # pytype static type analyzer
.pytype/ .pytype/
# Cython debug symbols # Cython debug symbols
cython_debug/ cython_debug/
# PyCharm # PyCharm
# JetBrains specific template is maintained in a separate JetBrains.gitignore that can # JetBrains specific template is maintained in a separate JetBrains.gitignore that can
# be found at https://github.com/github/gitignore/blob/main/Global/JetBrains.gitignore # be found at https://github.com/github/gitignore/blob/main/Global/JetBrains.gitignore
# and can be added to the global gitignore or merged into this file. For a more nuclear # and can be added to the global gitignore or merged into this file. For a more nuclear
# option (not recommended) you can uncomment the following to ignore the entire idea folder. # option (not recommended) you can uncomment the following to ignore the entire idea folder.
#.idea/ #.idea/
An introduction to trading cycles.pdf An introduction to trading cycles.pdf
An introduction to trading cycles.txt An introduction to trading cycles.txt
README.md README.md
.vscode/launch.json .vscode/launch.json
data/btcusd_1-day_data.csv data/btcusd_1-day_data.csv
data/btcusd_1-min_data.csv data/btcusd_1-min_data.csv

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xgboost/custom_xgboost.py
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import xgboost as xgb import xgboost as xgb
import numpy as np import numpy as np
class CustomXGBoostGPU: class CustomXGBoostGPU:
def __init__(self, X_train, X_test, y_train, y_test): def __init__(self, X_train, X_test, y_train, y_test):
self.X_train = X_train.astype(np.float32) self.X_train = X_train.astype(np.float32)
self.X_test = X_test.astype(np.float32) self.X_test = X_test.astype(np.float32)
self.y_train = y_train.astype(np.float32) self.y_train = y_train.astype(np.float32)
self.y_test = y_test.astype(np.float32) self.y_test = y_test.astype(np.float32)
self.model = None self.model = None
self.params = None # Will be set during training self.params = None # Will be set during training
def train(self, **xgb_params): def train(self, **xgb_params):
params = { params = {
'tree_method': 'hist', 'tree_method': 'hist',
'device': 'cuda', 'device': 'cuda',
'objective': 'reg:squarederror', 'objective': 'reg:squarederror',
'eval_metric': 'rmse', 'eval_metric': 'rmse',
'verbosity': 1, 'verbosity': 1,
} }
params.update(xgb_params) params.update(xgb_params)
self.params = params # Store params for later access self.params = params # Store params for later access
dtrain = xgb.DMatrix(self.X_train, label=self.y_train) dtrain = xgb.DMatrix(self.X_train, label=self.y_train)
dtest = xgb.DMatrix(self.X_test, label=self.y_test) dtest = xgb.DMatrix(self.X_test, label=self.y_test)
evals = [(dtrain, 'train'), (dtest, 'eval')] evals = [(dtrain, 'train'), (dtest, 'eval')]
self.model = xgb.train(params, dtrain, num_boost_round=100, evals=evals, early_stopping_rounds=10) self.model = xgb.train(params, dtrain, num_boost_round=100, evals=evals, early_stopping_rounds=10)
return self.model return self.model
def predict(self, X): def predict(self, X):
if self.model is None: if self.model is None:
raise ValueError('Model not trained yet.') raise ValueError('Model not trained yet.')
dmatrix = xgb.DMatrix(X.astype(np.float32)) dmatrix = xgb.DMatrix(X.astype(np.float32))
return self.model.predict(dmatrix) return self.model.predict(dmatrix)
def save_model(self, file_path): def save_model(self, file_path):
"""Save the trained XGBoost model to the specified file path.""" """Save the trained XGBoost model to the specified file path."""
if self.model is None: if self.model is None:
raise ValueError('Model not trained yet.') raise ValueError('Model not trained yet.')
self.model.save_model(file_path) self.model.save_model(file_path)

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xgboost/main.py
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