- Added a new markdown document outlining the plan to enhance the LightGBM model's AUC from 0.54 to 0.57+ through feature normalization, strong time weighting, and walk-forward validation.
- Implemented rolling z-score normalization for absolute value features in `src/dataset_builder.py` to improve model robustness against regime changes.
- Introduced a walk-forward validation function in `scripts/train_model.py` to accurately measure future prediction performance.
- Updated training log to include new model performance metrics and added ONNX model export functionality for compatibility.
- Adjusted model training parameters for better performance and included detailed validation results in the training log.
- Added a new design document outlining the integration of BTC/ETH candle data as additional features in the XRP ML filter, enhancing prediction accuracy.
- Introduced `MultiSymbolStream` for combined WebSocket data retrieval of XRP, BTC, and ETH.
- Expanded feature set from 13 to 21 by including 8 new BTC/ETH-related features.
- Updated various scripts and modules to support the new feature set and data handling.
- Enhanced training and deployment scripts to accommodate the new dataset structure.
This commit lays the groundwork for improved model performance by leveraging the correlation between BTC and ETH with XRP.
- Added comprehensive plans for training a LightGBM model on M4 Mac Mini and deploying it to an LXC container.
- Created scripts for model training, deployment, and a full pipeline execution.
- Enhanced model transfer with error handling and logging for better tracking.
- Introduced profiling for training time analysis and dataset generation optimization.
Made-with: Cursor
- Added MLFilter class to load and evaluate LightGBM model for trading signals.
- Introduced retraining mechanism to update the model daily based on new data.
- Created feature engineering and label building utilities for model training.
- Updated bot logic to incorporate ML filter for signal validation.
- Added scripts for data fetching and model training.
Made-with: Cursor
