Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Better support for advanced strategies #46

Open
jbaron opened this issue Jan 27, 2023 · 2 comments
Open

Better support for advanced strategies #46

jbaron opened this issue Jan 27, 2023 · 2 comments
Labels
enhancement New feature or request
Milestone

Comments

@jbaron
Copy link
Collaborator

jbaron commented Jan 27, 2023

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 jbaron added the enhancement New feature or request label Jan 27, 2023
@jbaron jbaron added this to the Version 2.0 milestone Apr 21, 2023
@jbaron
Copy link
Collaborator Author

jbaron commented Nov 1, 2023

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

@jbaron
Copy link
Collaborator Author

jbaron commented Nov 15, 2023

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

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
enhancement New feature or request
Projects
None yet
Development

No branches or pull requests

1 participant