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use continuous value for inlier_metric

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robcaulk
2022-08-30 20:41:37 +02:00
parent 0b8482360f
commit 7e8e29e42d
2 changed files with 6 additions and 12 deletions
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9
freqtrade/freqai/data_kitchen.py
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@@ -735,7 +735,6 @@ class FreqaiDataKitchen:
import scipy.stats as ss
no_prev_pts = self.freqai_config["feature_parameters"]["inlier_metric_window"]
weib_pct = self.freqai_config["feature_parameters"]["inlier_metric_weibull_cutoff"]
if set_ == 'train':
compute_df = copy.deepcopy(self.data_dictionary['train_features'])
@@ -780,12 +779,10 @@ class FreqaiDataKitchen:
for key in distances.keys():
current_distances = distances[key].dropna()
fit_params = ss.weibull_min.fit(current_distances)
cutoff = ss.weibull_min.ppf(weib_pct, *fit_params)
is_inlier = np.where(
current_distances <= cutoff, 1, 0
)
quantiles = ss.weibull_min.cdf(current_distances, *fit_params)
df_inlier = pd.DataFrame(
{key + '_IsInlier': is_inlier}, index=distances.index
{key: quantiles}, index=distances.index
)
inliers = pd.concat(
[inliers, df_inlier], axis=1