rolling_theft: Rolling catch 22

In MislavSag/mlfinance: Machine learning in finance

Description

Function calculates catch 22 features on rolling window.

Usage

rolling_theft(
  prices_panel,
  row_index = 1:nrow(prices_panel),
  windows = c(200),
  workers = 8L,
  features_set = c("catch22", "feasts", "tsfeatures", "kats", "tsfresh", "tsfel")
)

Arguments

prices_panel	a data.table object with coluimns: symbol, datetime, open, hogh, low, close, volume
row_index	row index for which to calculate radf values.
windows	Length of window for calculating forecasts on rolling window.
workers	Number of workers for parallel processing
features_set	Look at teft package

Value

Data.table with new features

MislavSag/mlfinance documentation built on Sept. 14, 2021, 1:11 p.m.