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Normalise distances before Weibull

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th0rntwig 2022-09-17 18:12:54 +02:00
parent 92a32ab31b
commit f5219ba5e6
1 changed files with 4 additions and 0 deletions
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freqtrade/freqai/data_kitchen.py
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@ -780,6 +780,9 @@ class FreqaiDataKitchen:
into previous timepoints. into previous timepoints.
""" """
def normalise(dataframe: DataFrame) -> DataFrame:
return (dataframe - dataframe.min()) / (dataframe.max() - dataframe.min())
no_prev_pts = self.freqai_config["feature_parameters"]["inlier_metric_window"] no_prev_pts = self.freqai_config["feature_parameters"]["inlier_metric_window"]
if set_ == 'train': if set_ == 'train':
@ -824,6 +827,7 @@ class FreqaiDataKitchen:
inliers = pd.DataFrame(index=distances.index) inliers = pd.DataFrame(index=distances.index)
for key in distances.keys(): for key in distances.keys():
current_distances = distances[key].dropna() current_distances = distances[key].dropna()
current_distances = normalise(current_distances)
fit_params = stats.weibull_min.fit(current_distances) fit_params = stats.weibull_min.fit(current_distances)
quantiles = stats.weibull_min.cdf(current_distances, *fit_params) quantiles = stats.weibull_min.cdf(current_distances, *fit_params)