produvia / kryptos

Kryptos AI is a virtual investment assistant that manages your cryptocurrency portfolio

http://twitter.com/kryptos_ai

MIT License

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Statistical Indicators #22

Open slavakurilyak opened 6 years ago

slavakurilyak commented 6 years ago

Goal

As a developer, I want to implement nonlinear regression models, so that I can develop statistical indicators.

Consider

Consider using facebook's prophet library, which uses nonlinear regression models with "interpretable parameters that can be intuitively adjusted by analysts with domain knowledge about the time series." (Prophet's Paper, 2017).
Consider leveraging work of others, whom performed Bitcoin analysis using prophet: Bishoph, doubledare704, Joshuaek

slavakurilyak commented 6 years ago

@bukosabino We can build a statistical model to predict the trendline for daily and non-daily data using prophet (see above). Then, we can create an ensemble model (combining the prophet model with a machine learning model) or use the prophet model as a feature for the machine learning model.

bukosabino commented 6 years ago

I have a lot of problems to integrate fbprophet on the system: https://github.com/enigmampc/catalyst/issues/388

I'm not alone: https://github.com/enigmampc/catalyst/issues/269

They need update pandas version as soon as possible!