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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Machine Learning Based Strategy Optimization #63

Open slavakurilyak opened 6 years ago

slavakurilyak commented 6 years ago

Goal

As a machine learning developer, I want to use genetic algorithms and bayesian optimization, so that I can determine the best parameters for any indicator.

Inspiration

For cryptocurrency strategies, each indicator has several parameters. Figuring out each parameter will be done using optimization. (Barber, 2012; Mitilineos et al., 2017)

Consider

Consider using hyperopt library to explore the space of XGBoost parameters (Dataiku, 2016)

bukosabino commented 6 years ago

I have implemented one first approach with hyperopt library

https://github.com/produvia/cryptocurrency-trading-platform/commit/60c5ab0f7592dd3bc9dcae144814ba6108c628a2