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Backtester: Feature Calculation and Model Driving #85

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echavemann opened this issue Dec 1, 2024 · 0 comments
Open

Backtester: Feature Calculation and Model Driving #85

echavemann opened this issue Dec 1, 2024 · 0 comments

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@echavemann
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echavemann commented Dec 1, 2024

This builds on top of #84 , and will require 84 to be done to be completed.

We need to drive a FeatureGenerator, a subclass of BaseFeatureGenerator that the user will write (see #66), and then run this through the LASSO container as well. Note that we should probably add a backtester config at this point as well, which can take in parameters such as online retrain frequency and fee rate. After calculating the prediction, it should drive a BaseStrategy subclass with the prediction and have the list of actions ready for execution.

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