Closed trentmc closed 2 months ago
Seasonal decomposition of Binance BTC/USDT close price Feb 1, 2024 - Mar 8, 2024
Part 1 done here: https://github.com/oceanprotocol/pdr-backend/pull/1016
Results for data: merged_ohlcv_df_BTC-ETH_2024-02-01_to_2024-03-08.csv, using BTC/USDT c 5m.
Background / motivation
Parent epic: #1006 "Explore SARIMAX modeling"
Top-level goal: Help user answer which of which transform to use {0, B0, B1, B2}, to (a) achieve stationarity; and (b) see how well the signal can decompose into trend / seasonal / residual.
Specific transforms:
Sub-goals: We want it easy to see these:
Best ref: jahnvisikligar Master's thesis https://github.com/jahnvisikligar/Masters-Thesis/blob/main/Final_Thesis_code.ipynb
TODOs / DoD
Main prototype: with everything
For a given choice of differencing {0,B0,B1,B2}, show
Other Prototypes & Examples
Prototype: decomposition into trend / seasonality / residual
Prototype: For differencing=0,B0,B1,B2, show 5 decomposition plots
Prototype: For differencing=0,B0,B1,B2, show ACF & PACF
Example 0: neptune.ai "select model"
Ref: neptune.ai select-model post
Example 1a: Sikligar thesis, Differencing=0
Ref: Sikligar thesis & code
Example 1b: Sikligar thesis, Differencing=1
Ref: Sikligar thesis & code
Example 2: neptune.ai catfish sales
Ref: neptune.ai catfish, in this neptune.ai post/py code.