React Native

React Native

1603765176

How to Improve Build Times when using Webpack with The DLL Plugin

This tutorial shows you how to improve build times when working with Webpack as a dependency for build tools using the DLL plugin.

As a JavaScript developer, you’ve probably had ample opportunity to come across Webpack, whether it be while bundling frontend assets with React or transpiling some TypeScript Node.js code.

Most of the time you never have to interact with Webpack directly. Rather, you interact with Webpack indirectly as a dependency for build tools. But if you develop these build tools, or manage your own Webpack configuration, this tutorial will help you improve build times.

We’ll be using the DLL plugin, which Webpack promises “to drastically improve load times” in its documentation.

How does it work?

The DLL plugin creates two things:

  • A manifest.json file
  • A bundle of modules that are not frequently changed

Without the DLL plugin enabled, Webpack compiles all the files in your code base regardless of whether it’s been modified. This has the effect of making compilation times longer than necessary.

But there is a way to tell Webpack not to bother recompiling libraries that hardly change: for example, libraries in your node_modules folder.

This is where the DLL plugin comes in. It bundles code you specify as rarely changing (e.g., vendor libraries), and never compiles them again, drastically improving build times.

The DLL plugin does this by creating a manifest.json file. This file is used to map import requests to the bundled module. When an import request is made to a module from other bundles, Webpack checks if there is an entry in the manifest.json file to that module. If so, it skips building that module.

Overview

The DLL plugin should be used for bundles of code that hardly get changed, like your vendor bundles. As such, you’ll need a separate Webpack configuration file.

For this tutorial, we’ll use two Webpack configurations. These will be named webpack.config.js and webpack.vendor.config.js.

webpack.config.js will be your primary configuration for non-vendor code; i.e., code that is modified often.

webpack.vendor.config.js will be used for your unchanging bundles, like libraries in node_modules.

To use the DLL Plugin, two plugins must be installed in the appropriate Webpack config:

DllReferencePlugin → webpack.config.js

DllPlugin → webpack.vendor.config.js

We’ll be using Webpack version 4.x, as 5.x is still in beta. However, they both share similar configurations.

Configure the DLL plugin (webpack.vendor.config.js)

The DLL plugin has the following compulsory options:

name:

This is the name of the DLL function. It can be called anything. We will call this vendor_lib.

path:

this is the path of the outputed manifest json file. It must be an absolute path. We will store this in a folder called “build” in the root directory. The file will be called vendor-manifest.json.

To specify the path, we shall use path.join like so:

path.join(__dirname, 'build', 'vendor-manifest.json')

In the webpack.vendor.config.js file, make sure output.library is the same as the DLL plugin name option.

Include as many entry points as you want. In this example, I’ve included some really heavy-weight libraries. Your output folder doesn’t matter while using this plugin.

So here’s how webpack.vendor.config.js looks now:

var webpack = require('webpack')
const path = require('path');
module.exports = {
    mode: 'development',
    entry: {
        vendor: ['lodash', 'react', 'angular', 'bootstrap', 'd3', 'jquery', 'highcharts', 'vue']
    },
    output: {
        filename: 'vendor.bundle.js',
        path: path.join(__dirname, 'build'),
        library: 'vendor_lib'
    },
    plugins: [
        new webpack.DllPlugin({
            name: 'vendor_lib',
            path: path.join(__dirname, 'build', 'vendor-manifest.json')
        })
    ]
}

Configure the DllReferencePlugin (webpack.config.js)

#webpack #javascript #web-development #programming #developer

What is GEEK

Buddha Community

How to Improve Build Times when using Webpack with The DLL Plugin
Chloe  Butler

Chloe Butler

1667425440

Pdf2gerb: Perl Script Converts PDF Files to Gerber format

pdf2gerb

Perl script converts PDF files to Gerber format

Pdf2Gerb generates Gerber 274X photoplotting and Excellon drill files from PDFs of a PCB. Up to three PDFs are used: the top copper layer, the bottom copper layer (for 2-sided PCBs), and an optional silk screen layer. The PDFs can be created directly from any PDF drawing software, or a PDF print driver can be used to capture the Print output if the drawing software does not directly support output to PDF.

The general workflow is as follows:

  1. Design the PCB using your favorite CAD or drawing software.
  2. Print the top and bottom copper and top silk screen layers to a PDF file.
  3. Run Pdf2Gerb on the PDFs to create Gerber and Excellon files.
  4. Use a Gerber viewer to double-check the output against the original PCB design.
  5. Make adjustments as needed.
  6. Submit the files to a PCB manufacturer.

Please note that Pdf2Gerb does NOT perform DRC (Design Rule Checks), as these will vary according to individual PCB manufacturer conventions and capabilities. Also note that Pdf2Gerb is not perfect, so the output files must always be checked before submitting them. As of version 1.6, Pdf2Gerb supports most PCB elements, such as round and square pads, round holes, traces, SMD pads, ground planes, no-fill areas, and panelization. However, because it interprets the graphical output of a Print function, there are limitations in what it can recognize (or there may be bugs).

See docs/Pdf2Gerb.pdf for install/setup, config, usage, and other info.


pdf2gerb_cfg.pm

#Pdf2Gerb config settings:
#Put this file in same folder/directory as pdf2gerb.pl itself (global settings),
#or copy to another folder/directory with PDFs if you want PCB-specific settings.
#There is only one user of this file, so we don't need a custom package or namespace.
#NOTE: all constants defined in here will be added to main namespace.
#package pdf2gerb_cfg;

use strict; #trap undef vars (easier debug)
use warnings; #other useful info (easier debug)


##############################################################################################
#configurable settings:
#change values here instead of in main pfg2gerb.pl file

use constant WANT_COLORS => ($^O !~ m/Win/); #ANSI colors no worky on Windows? this must be set < first DebugPrint() call

#just a little warning; set realistic expectations:
#DebugPrint("${\(CYAN)}Pdf2Gerb.pl ${\(VERSION)}, $^O O/S\n${\(YELLOW)}${\(BOLD)}${\(ITALIC)}This is EXPERIMENTAL software.  \nGerber files MAY CONTAIN ERRORS.  Please CHECK them before fabrication!${\(RESET)}", 0); #if WANT_DEBUG

use constant METRIC => FALSE; #set to TRUE for metric units (only affect final numbers in output files, not internal arithmetic)
use constant APERTURE_LIMIT => 0; #34; #max #apertures to use; generate warnings if too many apertures are used (0 to not check)
use constant DRILL_FMT => '2.4'; #'2.3'; #'2.4' is the default for PCB fab; change to '2.3' for CNC

use constant WANT_DEBUG => 0; #10; #level of debug wanted; higher == more, lower == less, 0 == none
use constant GERBER_DEBUG => 0; #level of debug to include in Gerber file; DON'T USE FOR FABRICATION
use constant WANT_STREAMS => FALSE; #TRUE; #save decompressed streams to files (for debug)
use constant WANT_ALLINPUT => FALSE; #TRUE; #save entire input stream (for debug ONLY)

#DebugPrint(sprintf("${\(CYAN)}DEBUG: stdout %d, gerber %d, want streams? %d, all input? %d, O/S: $^O, Perl: $]${\(RESET)}\n", WANT_DEBUG, GERBER_DEBUG, WANT_STREAMS, WANT_ALLINPUT), 1);
#DebugPrint(sprintf("max int = %d, min int = %d\n", MAXINT, MININT), 1); 

#define standard trace and pad sizes to reduce scaling or PDF rendering errors:
#This avoids weird aperture settings and replaces them with more standardized values.
#(I'm not sure how photoplotters handle strange sizes).
#Fewer choices here gives more accurate mapping in the final Gerber files.
#units are in inches
use constant TOOL_SIZES => #add more as desired
(
#round or square pads (> 0) and drills (< 0):
    .010, -.001,  #tiny pads for SMD; dummy drill size (too small for practical use, but needed so StandardTool will use this entry)
    .031, -.014,  #used for vias
    .041, -.020,  #smallest non-filled plated hole
    .051, -.025,
    .056, -.029,  #useful for IC pins
    .070, -.033,
    .075, -.040,  #heavier leads
#    .090, -.043,  #NOTE: 600 dpi is not high enough resolution to reliably distinguish between .043" and .046", so choose 1 of the 2 here
    .100, -.046,
    .115, -.052,
    .130, -.061,
    .140, -.067,
    .150, -.079,
    .175, -.088,
    .190, -.093,
    .200, -.100,
    .220, -.110,
    .160, -.125,  #useful for mounting holes
#some additional pad sizes without holes (repeat a previous hole size if you just want the pad size):
    .090, -.040,  #want a .090 pad option, but use dummy hole size
    .065, -.040, #.065 x .065 rect pad
    .035, -.040, #.035 x .065 rect pad
#traces:
    .001,  #too thin for real traces; use only for board outlines
    .006,  #minimum real trace width; mainly used for text
    .008,  #mainly used for mid-sized text, not traces
    .010,  #minimum recommended trace width for low-current signals
    .012,
    .015,  #moderate low-voltage current
    .020,  #heavier trace for power, ground (even if a lighter one is adequate)
    .025,
    .030,  #heavy-current traces; be careful with these ones!
    .040,
    .050,
    .060,
    .080,
    .100,
    .120,
);
#Areas larger than the values below will be filled with parallel lines:
#This cuts down on the number of aperture sizes used.
#Set to 0 to always use an aperture or drill, regardless of size.
use constant { MAX_APERTURE => max((TOOL_SIZES)) + .004, MAX_DRILL => -min((TOOL_SIZES)) + .004 }; #max aperture and drill sizes (plus a little tolerance)
#DebugPrint(sprintf("using %d standard tool sizes: %s, max aper %.3f, max drill %.3f\n", scalar((TOOL_SIZES)), join(", ", (TOOL_SIZES)), MAX_APERTURE, MAX_DRILL), 1);

#NOTE: Compare the PDF to the original CAD file to check the accuracy of the PDF rendering and parsing!
#for example, the CAD software I used generated the following circles for holes:
#CAD hole size:   parsed PDF diameter:      error:
#  .014                .016                +.002
#  .020                .02267              +.00267
#  .025                .026                +.001
#  .029                .03167              +.00267
#  .033                .036                +.003
#  .040                .04267              +.00267
#This was usually ~ .002" - .003" too big compared to the hole as displayed in the CAD software.
#To compensate for PDF rendering errors (either during CAD Print function or PDF parsing logic), adjust the values below as needed.
#units are pixels; for example, a value of 2.4 at 600 dpi = .0004 inch, 2 at 600 dpi = .0033"
use constant
{
    HOLE_ADJUST => -0.004 * 600, #-2.6, #holes seemed to be slightly oversized (by .002" - .004"), so shrink them a little
    RNDPAD_ADJUST => -0.003 * 600, #-2, #-2.4, #round pads seemed to be slightly oversized, so shrink them a little
    SQRPAD_ADJUST => +0.001 * 600, #+.5, #square pads are sometimes too small by .00067, so bump them up a little
    RECTPAD_ADJUST => 0, #(pixels) rectangular pads seem to be okay? (not tested much)
    TRACE_ADJUST => 0, #(pixels) traces seemed to be okay?
    REDUCE_TOLERANCE => .001, #(inches) allow this much variation when reducing circles and rects
};

#Also, my CAD's Print function or the PDF print driver I used was a little off for circles, so define some additional adjustment values here:
#Values are added to X/Y coordinates; units are pixels; for example, a value of 1 at 600 dpi would be ~= .002 inch
use constant
{
    CIRCLE_ADJUST_MINX => 0,
    CIRCLE_ADJUST_MINY => -0.001 * 600, #-1, #circles were a little too high, so nudge them a little lower
    CIRCLE_ADJUST_MAXX => +0.001 * 600, #+1, #circles were a little too far to the left, so nudge them a little to the right
    CIRCLE_ADJUST_MAXY => 0,
    SUBST_CIRCLE_CLIPRECT => FALSE, #generate circle and substitute for clip rects (to compensate for the way some CAD software draws circles)
    WANT_CLIPRECT => TRUE, #FALSE, #AI doesn't need clip rect at all? should be on normally?
    RECT_COMPLETION => FALSE, #TRUE, #fill in 4th side of rect when 3 sides found
};

#allow .012 clearance around pads for solder mask:
#This value effectively adjusts pad sizes in the TOOL_SIZES list above (only for solder mask layers).
use constant SOLDER_MARGIN => +.012; #units are inches

#line join/cap styles:
use constant
{
    CAP_NONE => 0, #butt (none); line is exact length
    CAP_ROUND => 1, #round cap/join; line overhangs by a semi-circle at either end
    CAP_SQUARE => 2, #square cap/join; line overhangs by a half square on either end
    CAP_OVERRIDE => FALSE, #cap style overrides drawing logic
};
    
#number of elements in each shape type:
use constant
{
    RECT_SHAPELEN => 6, #x0, y0, x1, y1, count, "rect" (start, end corners)
    LINE_SHAPELEN => 6, #x0, y0, x1, y1, count, "line" (line seg)
    CURVE_SHAPELEN => 10, #xstart, ystart, x0, y0, x1, y1, xend, yend, count, "curve" (bezier 2 points)
    CIRCLE_SHAPELEN => 5, #x, y, 5, count, "circle" (center + radius)
};
#const my %SHAPELEN =
#Readonly my %SHAPELEN =>
our %SHAPELEN =
(
    rect => RECT_SHAPELEN,
    line => LINE_SHAPELEN,
    curve => CURVE_SHAPELEN,
    circle => CIRCLE_SHAPELEN,
);

#panelization:
#This will repeat the entire body the number of times indicated along the X or Y axes (files grow accordingly).
#Display elements that overhang PCB boundary can be squashed or left as-is (typically text or other silk screen markings).
#Set "overhangs" TRUE to allow overhangs, FALSE to truncate them.
#xpad and ypad allow margins to be added around outer edge of panelized PCB.
use constant PANELIZE => {'x' => 1, 'y' => 1, 'xpad' => 0, 'ypad' => 0, 'overhangs' => TRUE}; #number of times to repeat in X and Y directions

# Set this to 1 if you need TurboCAD support.
#$turboCAD = FALSE; #is this still needed as an option?

#CIRCAD pad generation uses an appropriate aperture, then moves it (stroke) "a little" - we use this to find pads and distinguish them from PCB holes. 
use constant PAD_STROKE => 0.3; #0.0005 * 600; #units are pixels
#convert very short traces to pads or holes:
use constant TRACE_MINLEN => .001; #units are inches
#use constant ALWAYS_XY => TRUE; #FALSE; #force XY even if X or Y doesn't change; NOTE: needs to be TRUE for all pads to show in FlatCAM and ViewPlot
use constant REMOVE_POLARITY => FALSE; #TRUE; #set to remove subtractive (negative) polarity; NOTE: must be FALSE for ground planes

#PDF uses "points", each point = 1/72 inch
#combined with a PDF scale factor of .12, this gives 600 dpi resolution (1/72 * .12 = 600 dpi)
use constant INCHES_PER_POINT => 1/72; #0.0138888889; #multiply point-size by this to get inches

# The precision used when computing a bezier curve. Higher numbers are more precise but slower (and generate larger files).
#$bezierPrecision = 100;
use constant BEZIER_PRECISION => 36; #100; #use const; reduced for faster rendering (mainly used for silk screen and thermal pads)

# Ground planes and silk screen or larger copper rectangles or circles are filled line-by-line using this resolution.
use constant FILL_WIDTH => .01; #fill at most 0.01 inch at a time

# The max number of characters to read into memory
use constant MAX_BYTES => 10 * M; #bumped up to 10 MB, use const

use constant DUP_DRILL1 => TRUE; #FALSE; #kludge: ViewPlot doesn't load drill files that are too small so duplicate first tool

my $runtime = time(); #Time::HiRes::gettimeofday(); #measure my execution time

print STDERR "Loaded config settings from '${\(__FILE__)}'.\n";
1; #last value must be truthful to indicate successful load


#############################################################################################
#junk/experiment:

#use Package::Constants;
#use Exporter qw(import); #https://perldoc.perl.org/Exporter.html

#my $caller = "pdf2gerb::";

#sub cfg
#{
#    my $proto = shift;
#    my $class = ref($proto) || $proto;
#    my $settings =
#    {
#        $WANT_DEBUG => 990, #10; #level of debug wanted; higher == more, lower == less, 0 == none
#    };
#    bless($settings, $class);
#    return $settings;
#}

#use constant HELLO => "hi there2"; #"main::HELLO" => "hi there";
#use constant GOODBYE => 14; #"main::GOODBYE" => 12;

#print STDERR "read cfg file\n";

#our @EXPORT_OK = Package::Constants->list(__PACKAGE__); #https://www.perlmonks.org/?node_id=1072691; NOTE: "_OK" skips short/common names

#print STDERR scalar(@EXPORT_OK) . " consts exported:\n";
#foreach(@EXPORT_OK) { print STDERR "$_\n"; }
#my $val = main::thing("xyz");
#print STDERR "caller gave me $val\n";
#foreach my $arg (@ARGV) { print STDERR "arg $arg\n"; }

Download Details:

Author: swannman
Source Code: https://github.com/swannman/pdf2gerb

License: GPL-3.0 license

#perl 

Why Use WordPress? What Can You Do With WordPress?

Can you use WordPress for anything other than blogging? To your surprise, yes. WordPress is more than just a blogging tool, and it has helped thousands of websites and web applications to thrive. The use of WordPress powers around 40% of online projects, and today in our blog, we would visit some amazing uses of WordPress other than blogging.
What Is The Use Of WordPress?

WordPress is the most popular website platform in the world. It is the first choice of businesses that want to set a feature-rich and dynamic Content Management System. So, if you ask what WordPress is used for, the answer is – everything. It is a super-flexible, feature-rich and secure platform that offers everything to build unique websites and applications. Let’s start knowing them:

1. Multiple Websites Under A Single Installation
WordPress Multisite allows you to develop multiple sites from a single WordPress installation. You can download WordPress and start building websites you want to launch under a single server. Literally speaking, you can handle hundreds of sites from one single dashboard, which now needs applause.
It is a highly efficient platform that allows you to easily run several websites under the same login credentials. One of the best things about WordPress is the themes it has to offer. You can simply download them and plugin for various sites and save space on sites without losing their speed.

2. WordPress Social Network
WordPress can be used for high-end projects such as Social Media Network. If you don’t have the money and patience to hire a coder and invest months in building a feature-rich social media site, go for WordPress. It is one of the most amazing uses of WordPress. Its stunning CMS is unbeatable. And you can build sites as good as Facebook or Reddit etc. It can just make the process a lot easier.
To set up a social media network, you would have to download a WordPress Plugin called BuddyPress. It would allow you to connect a community page with ease and would provide all the necessary features of a community or social media. It has direct messaging, activity stream, user groups, extended profiles, and so much more. You just have to download and configure it.
If BuddyPress doesn’t meet all your needs, don’t give up on your dreams. You can try out WP Symposium or PeepSo. There are also several themes you can use to build a social network.

3. Create A Forum For Your Brand’s Community
Communities are very important for your business. They help you stay in constant connection with your users and consumers. And allow you to turn them into a loyal customer base. Meanwhile, there are many good technologies that can be used for building a community page – the good old WordPress is still the best.
It is the best community development technology. If you want to build your online community, you need to consider all the amazing features you get with WordPress. Plugins such as BB Press is an open-source, template-driven PHP/ MySQL forum software. It is very simple and doesn’t hamper the experience of the website.
Other tools such as wpFoRo and Asgaros Forum are equally good for creating a community blog. They are lightweight tools that are easy to manage and integrate with your WordPress site easily. However, there is only one tiny problem; you need to have some technical knowledge to build a WordPress Community blog page.

4. Shortcodes
Since we gave you a problem in the previous section, we would also give you a perfect solution for it. You might not know to code, but you have shortcodes. Shortcodes help you execute functions without having to code. It is an easy way to build an amazing website, add new features, customize plugins easily. They are short lines of code, and rather than memorizing multiple lines; you can have zero technical knowledge and start building a feature-rich website or application.
There are also plugins like Shortcoder, Shortcodes Ultimate, and the Basics available on WordPress that can be used, and you would not even have to remember the shortcodes.

5. Build Online Stores
If you still think about why to use WordPress, use it to build an online store. You can start selling your goods online and start selling. It is an affordable technology that helps you build a feature-rich eCommerce store with WordPress.
WooCommerce is an extension of WordPress and is one of the most used eCommerce solutions. WooCommerce holds a 28% share of the global market and is one of the best ways to set up an online store. It allows you to build user-friendly and professional online stores and has thousands of free and paid extensions. Moreover as an open-source platform, and you don’t have to pay for the license.
Apart from WooCommerce, there are Easy Digital Downloads, iThemes Exchange, Shopify eCommerce plugin, and so much more available.

6. Security Features
WordPress takes security very seriously. It offers tons of external solutions that help you in safeguarding your WordPress site. While there is no way to ensure 100% security, it provides regular updates with security patches and provides several plugins to help with backups, two-factor authorization, and more.
By choosing hosting providers like WP Engine, you can improve the security of the website. It helps in threat detection, manage patching and updates, and internal security audits for the customers, and so much more.

Read More

#use of wordpress #use wordpress for business website #use wordpress for website #what is use of wordpress #why use wordpress #why use wordpress to build a website

React Native

React Native

1603765176

How to Improve Build Times when using Webpack with The DLL Plugin

This tutorial shows you how to improve build times when working with Webpack as a dependency for build tools using the DLL plugin.

As a JavaScript developer, you’ve probably had ample opportunity to come across Webpack, whether it be while bundling frontend assets with React or transpiling some TypeScript Node.js code.

Most of the time you never have to interact with Webpack directly. Rather, you interact with Webpack indirectly as a dependency for build tools. But if you develop these build tools, or manage your own Webpack configuration, this tutorial will help you improve build times.

We’ll be using the DLL plugin, which Webpack promises “to drastically improve load times” in its documentation.

How does it work?

The DLL plugin creates two things:

  • A manifest.json file
  • A bundle of modules that are not frequently changed

Without the DLL plugin enabled, Webpack compiles all the files in your code base regardless of whether it’s been modified. This has the effect of making compilation times longer than necessary.

But there is a way to tell Webpack not to bother recompiling libraries that hardly change: for example, libraries in your node_modules folder.

This is where the DLL plugin comes in. It bundles code you specify as rarely changing (e.g., vendor libraries), and never compiles them again, drastically improving build times.

The DLL plugin does this by creating a manifest.json file. This file is used to map import requests to the bundled module. When an import request is made to a module from other bundles, Webpack checks if there is an entry in the manifest.json file to that module. If so, it skips building that module.

Overview

The DLL plugin should be used for bundles of code that hardly get changed, like your vendor bundles. As such, you’ll need a separate Webpack configuration file.

For this tutorial, we’ll use two Webpack configurations. These will be named webpack.config.js and webpack.vendor.config.js.

webpack.config.js will be your primary configuration for non-vendor code; i.e., code that is modified often.

webpack.vendor.config.js will be used for your unchanging bundles, like libraries in node_modules.

To use the DLL Plugin, two plugins must be installed in the appropriate Webpack config:

DllReferencePlugin → webpack.config.js

DllPlugin → webpack.vendor.config.js

We’ll be using Webpack version 4.x, as 5.x is still in beta. However, they both share similar configurations.

Configure the DLL plugin (webpack.vendor.config.js)

The DLL plugin has the following compulsory options:

name:

This is the name of the DLL function. It can be called anything. We will call this vendor_lib.

path:

this is the path of the outputed manifest json file. It must be an absolute path. We will store this in a folder called “build” in the root directory. The file will be called vendor-manifest.json.

To specify the path, we shall use path.join like so:

path.join(__dirname, 'build', 'vendor-manifest.json')

In the webpack.vendor.config.js file, make sure output.library is the same as the DLL plugin name option.

Include as many entry points as you want. In this example, I’ve included some really heavy-weight libraries. Your output folder doesn’t matter while using this plugin.

So here’s how webpack.vendor.config.js looks now:

var webpack = require('webpack')
const path = require('path');
module.exports = {
    mode: 'development',
    entry: {
        vendor: ['lodash', 'react', 'angular', 'bootstrap', 'd3', 'jquery', 'highcharts', 'vue']
    },
    output: {
        filename: 'vendor.bundle.js',
        path: path.join(__dirname, 'build'),
        library: 'vendor_lib'
    },
    plugins: [
        new webpack.DllPlugin({
            name: 'vendor_lib',
            path: path.join(__dirname, 'build', 'vendor-manifest.json')
        })
    ]
}

Configure the DllReferencePlugin (webpack.config.js)

#webpack #javascript #web-development #programming #developer

Daron  Moore

Daron Moore

1641276000

DeltaPy⁠⁠ — Tabular Data Augmentation & Feature Engineering

DeltaPy⁠⁠ — Tabular Data Augmentation & Feature Engineering


Finance Quant Machine Learning

Introduction

Tabular augmentation is a new experimental space that makes use of novel and traditional data generation and synthesisation techniques to improve model prediction success. It is in essence a process of modular feature engineering and observation engineering while emphasising the order of augmentation to achieve the best predicted outcome from a given information set. DeltaPy was created with finance applications in mind, but it can be broadly applied to any data-rich environment.

To take full advantage of tabular augmentation for time-series you would perform the techniques in the following order: (1) transforming, (2) interacting, (3) mapping, (4) extracting, and (5) synthesising. What follows is a practical example of how the above methodology can be used. The purpose here is to establish a framework for table augmentation and to point and guide the user to existing packages.

For most the Colab Notebook format might be preferred. I have enabled comments if you want to ask question or address any issues you uncover. For anything pressing use the issues tab. Also have a look at the SSRN report for a more succinct insights.

Data augmentation can be defined as any method that could increase the size or improve the quality of a dataset by generating new features or instances without the collection of additional data-points. Data augmentation is of particular importance in image classification tasks where additional data can be created by cropping, padding, or flipping existing images.

Tabular cross-sectional and time-series prediction tasks can also benefit from augmentation. Here we divide tabular augmentation into columnular and row-wise methods. Row-wise methods are further divided into extraction and data synthesisation techniques, whereas columnular methods are divided into transformation, interaction, and mapping methods.

See the Skeleton Example, for a combination of multiple methods that lead to a halfing of the mean squared error.

Installation & Citation


pip install deltapy
@software{deltapy,
  title = {{DeltaPy}: Tabular Data Augmentation},
  author = {Snow, Derek},
  url = {https://github.com/firmai/deltapy/},
  version = {0.1.0},
  date = {2020-04-11},
}
 Snow, Derek, DeltaPy: A Framework for Tabular Data Augmentation in Python (April 22, 2020). Available at SSRN: https://ssrn.com/abstract=3582219

Function Glossary


Transformation

df_out = transform.robust_scaler(df.copy(), drop=["Close_1"]); df_out.head()
df_out = transform.standard_scaler(df.copy(), drop=["Close"]); df_out.head()           
df_out = transform.fast_fracdiff(df.copy(), ["Close","Open"],0.5); df_out.head()
df_out = transform.windsorization(df.copy(),"Close",para,strategy='both'); df_out.head()
df_out = transform.operations(df.copy(),["Close"]); df_out.head()
df_out = transform.triple_exponential_smoothing(df.copy(),["Close"], 12, .2,.2,.2,0); 
df_out = transform.naive_dec(df.copy(), ["Close","Open"]); df_out.head()
df_out = transform.bkb(df.copy(), ["Close"]); df_out.head()
df_out = transform.butter_lowpass_filter(df.copy(),["Close"],4); df_out.head()
df_out = transform.instantaneous_phases(df.copy(), ["Close"]); df_out.head()
df_out = transform.kalman_feat(df.copy(), ["Close"]); df_out.head()
df_out = transform.perd_feat(df.copy(),["Close"]); df_out.head()
df_out = transform.fft_feat(df.copy(), ["Close"]); df_out.head()
df_out = transform.harmonicradar_cw(df.copy(), ["Close"],0.3,0.2); df_out.head()
df_out = transform.saw(df.copy(),["Close","Open"]); df_out.head()
df_out = transform.modify(df.copy(),["Close"]); df_out.head()
df_out = transform.multiple_rolling(df, columns=["Close"]); df_out.head()
df_out = transform.multiple_lags(df, start=1, end=3, columns=["Close"]); df_out.head()
df_out  = transform.prophet_feat(df.copy().reset_index(),["Close","Open"],"Date", "D"); df_out.head()

Interaction

df_out = interact.lowess(df.copy(), ["Open","Volume"], df["Close"], f=0.25, iter=3); df_out.head()
df_out = interact.autoregression(df.copy()); df_out.head()
df_out = interact.muldiv(df.copy(), ["Close","Open"]); df_out.head()
df_out = interact.decision_tree_disc(df.copy(), ["Close"]); df_out.head()
df_out = interact.quantile_normalize(df.copy(), drop=["Close"]); df_out.head()
df_out = interact.tech(df.copy()); df_out.head()
df_out = interact.genetic_feat(df.copy()); df_out.head()

Mapping

df_out = mapper.pca_feature(df.copy(),variance_or_components=0.80,drop_cols=["Close_1"]); df_out.head()
df_out = mapper.cross_lag(df.copy()); df_out.head()
df_out = mapper.a_chi(df.copy()); df_out.head()
df_out = mapper.encoder_dataset(df.copy(), ["Close_1"], 15); df_out.head()
df_out = mapper.lle_feat(df.copy(),["Close_1"],4); df_out.head()
df_out = mapper.feature_agg(df.copy(),["Close_1"],4 ); df_out.head()
df_out = mapper.neigh_feat(df.copy(),["Close_1"],4 ); df_out.head()

Extraction

extract.abs_energy(df["Close"])
extract.cid_ce(df["Close"], True)
extract.mean_abs_change(df["Close"])
extract.mean_second_derivative_central(df["Close"])
extract.variance_larger_than_standard_deviation(df["Close"])
extract.var_index(df["Close"].values,var_index_param)
extract.symmetry_looking(df["Close"])
extract.has_duplicate_max(df["Close"])
extract.partial_autocorrelation(df["Close"])
extract.augmented_dickey_fuller(df["Close"])
extract.gskew(df["Close"])
extract.stetson_mean(df["Close"])
extract.length(df["Close"])
extract.count_above_mean(df["Close"])
extract.longest_strike_below_mean(df["Close"])
extract.wozniak(df["Close"])
extract.last_location_of_maximum(df["Close"])
extract.fft_coefficient(df["Close"])
extract.ar_coefficient(df["Close"])
extract.index_mass_quantile(df["Close"])
extract.number_cwt_peaks(df["Close"])
extract.spkt_welch_density(df["Close"])
extract.linear_trend_timewise(df["Close"])
extract.c3(df["Close"])
extract.binned_entropy(df["Close"])
extract.svd_entropy(df["Close"].values)
extract.hjorth_complexity(df["Close"])
extract.max_langevin_fixed_point(df["Close"])
extract.percent_amplitude(df["Close"])
extract.cad_prob(df["Close"])
extract.zero_crossing_derivative(df["Close"])
extract.detrended_fluctuation_analysis(df["Close"])
extract.fisher_information(df["Close"])
extract.higuchi_fractal_dimension(df["Close"])
extract.petrosian_fractal_dimension(df["Close"])
extract.hurst_exponent(df["Close"])
extract.largest_lyauponov_exponent(df["Close"])
extract.whelch_method(df["Close"])
extract.find_freq(df["Close"])
extract.flux_perc(df["Close"])
extract.range_cum_s(df["Close"])
extract.structure_func(df["Close"])
extract.kurtosis(df["Close"])
extract.stetson_k(df["Close"])

Test sets should ideally not be preprocessed with the training data, as in such a way one could be peaking ahead in the training data. The preprocessing parameters should be identified on the test set and then applied on the test set, i.e., the test set should not have an impact on the transformation applied. As an example, you would learn the parameters of PCA decomposition on the training set and then apply the parameters to both the train and the test set.

The benefit of pipelines become clear when one wants to apply multiple augmentation methods. It makes it easy to learn the parameters and then apply them widely. For the most part, this notebook does not concern itself with 'peaking ahead' or pipelines, for some functions, one might have to restructure to code and make use of open source packages to create your preferred solution.

Documentation by Example

Notebook Dependencies

pip install deltapy
pip install pykalman
pip install tsaug
pip install ta
pip install tsaug
pip install pandasvault
pip install gplearn
pip install ta
pip install seasonal
pip install pandasvault

Data and Package Load

import pandas as pd
import numpy as np
from deltapy import transform, interact, mapper, extract 
import warnings
warnings.filterwarnings('ignore')

def data_copy():
  df = pd.read_csv("https://github.com/firmai/random-assets-two/raw/master/numpy/tsla.csv")
  df["Close_1"] = df["Close"].shift(-1)
  df = df.dropna()
  df["Date"] = pd.to_datetime(df["Date"])
  df = df.set_index("Date")
  return df
df = data_copy(); df.head()

Some of these categories are fluid and some techniques could fit into multiple buckets. This is an attempt to find an exhaustive number of techniques, but not an exhaustive list of implementations of the techniques. For example, there are thousands of ways to smooth a time-series, but we have only includes 1-2 techniques of interest under each category.

(1) Transformation:


  1. Scaling/Normalisation
  2. Standardisation
  3. Differencing
  4. Capping
  5. Operations
  6. Smoothing
  7. Decomposing
  8. Filtering
  9. Spectral Analysis
  10. Waveforms
  11. Modifications
  12. Rolling
  13. Lagging
  14. Forecast Model

(2) Interaction:


  1. Regressions
  2. Operators
  3. Discretising
  4. Normalising
  5. Distance
  6. Speciality
  7. Genetic

(3) Mapping:


  1. Eigen Decomposition
  2. Cross Decomposition
  3. Kernel Approximation
  4. Autoencoder
  5. Manifold Learning
  6. Clustering
  7. Neighbouring

(4) Extraction:


  1. Energy
  2. Distance
  3. Differencing
  4. Derivative
  5. Volatility
  6. Shape
  7. Occurrence
  8. Autocorrelation
  9. Stochasticity
  10. Averages
  11. Size
  12. Count
  13. Streaks
  14. Location
  15. Model Coefficients
  16. Quantile
  17. Peaks
  18. Density
  19. Linearity
  20. Non-linearity
  21. Entropy
  22. Fixed Points
  23. Amplitude
  24. Probability
  25. Crossings
  26. Fluctuation
  27. Information
  28. Fractals
  29. Exponent
  30. Spectral Analysis
  31. Percentile
  32. Range
  33. Structural
  34. Distribution

 

(1) Transformation

Here transformation is any method that includes only one feature as an input to produce a new feature/s. Transformations can be applied to cross-section and time-series data. Some transformations are exclusive to time-series data (smoothing, filtering), but a handful of functions apply to both.

Where the time series methods has a centred mean, or are forward-looking, there is a need to recalculate the outputed time series on a running basis to ensure that information of the future does not leak into the model. The last value of this recalculated series or an extracted feature from this series can then be used as a running value that is only backward looking, satisfying the no 'peaking' ahead rule.

There are some packaged in Python that dynamically create time series and extracts their features, but none that incoropates the dynamic creation of a time series in combination with a wide application of prespecified list of extractions. Because this technique is expensive, we have a preference for models that only take historical data into account.

In this section we will include a list of all types of transformations, those that only use present information (operations), those that incorporate all values (interpolation methods), those that only include past values (smoothing functions), and those that incorporate a subset window of lagging and leading values (select filters). Only those that use historical values or are turned into prediction methods can be used out of the box. The entire time series can be used in the model development process for historical value methods, and only the forecasted values can be used for prediction models.

Curve fitting can involve either interpolation, where an exact fit to the data is required, or smoothing, in which a "smooth" function is constructed that approximately fits the data. When using an interpolation method, you are taking future information into account e.g, cubic spline. You can use interpolation methods to forecast into the future (extrapolation), and then use those forecasts in a training set. Or you could recalculate the interpolation for each time step and then extract features out of that series (extraction method). Interpolation and other forward-looking methods can be used if they are turned into prediction problems, then the forecasted values can be trained and tested on, and the fitted data can be diregarded. In the list presented below the first five methods can be used for cross-section and time series data, after that the time-series only methods follow.

(1) Scaling/Normalisation

There are a multitude of scaling methods available. Scaling generally gets applied to the entire dataset and is especially necessary for certain algorithms. K-means make use of euclidean distance hence the need for scaling. For PCA because we are trying to identify the feature with maximus variance we also need scaling. Similarly, we need scaled features for gradient descent. Any algorithm that is not based on a distance measure is not affected by feature scaling. Some of the methods include range scalers like minimum-maximum scaler, maximum absolute scaler or even standardisation methods like the standard scaler can be used for scaling. The example used here is robust scaler. Normalisation is a good technique when you don't know the distribution of the data. Scaling looks into the future, so parameters have to be training on a training set and applied to a test set.

(i) Robust Scaler

Scaling according to the interquartile range, making it robust to outliers.

def robust_scaler(df, drop=None,quantile_range=(25, 75) ):
    if drop:
      keep = df[drop]
      df = df.drop(drop, axis=1)
    center = np.median(df, axis=0)
    quantiles = np.percentile(df, quantile_range, axis=0)
    scale = quantiles[1] - quantiles[0]
    df = (df - center) / scale
    if drop:
      df = pd.concat((keep,df),axis=1)
    return df

df_out = transform.robust_scaler(df.copy(), drop=["Close_1"]); df_out.head()

(2) Standardisation

When using a standardisation method, it is often more effective when the attribute itself if Gaussian. It is also useful to apply the technique when the model you want to use makes assumptions of Gaussian distributions like linear regression, logistic regression, and linear discriminant analysis. For most applications, standardisation is recommended.

(i) Standard Scaler

Standardize features by removing the mean and scaling to unit variance

def standard_scaler(df,drop ):
    if drop:
      keep = df[drop]
      df = df.drop(drop, axis=1)
    mean = np.mean(df, axis=0)
    scale = np.std(df, axis=0)
    df = (df - mean) / scale  
    if drop:
      df = pd.concat((keep,df),axis=1)
    return df


df_out = transform.standard_scaler(df.copy(), drop=["Close"]); df_out.head()           

(3) Differencing

Computing the differences between consecutive observation, normally used to obtain a stationary time series.

(i) Fractional Differencing

Fractional differencing, allows us to achieve stationarity while maintaining the maximum amount of memory compared to integer differencing.

import pylab as pl

def fast_fracdiff(x, cols, d):
    for col in cols:
      T = len(x[col])
      np2 = int(2 ** np.ceil(np.log2(2 * T - 1)))
      k = np.arange(1, T)
      b = (1,) + tuple(np.cumprod((k - d - 1) / k))
      z = (0,) * (np2 - T)
      z1 = b + z
      z2 = tuple(x[col]) + z
      dx = pl.ifft(pl.fft(z1) * pl.fft(z2))
      x[col+"_frac"] = np.real(dx[0:T])
    return x 
  
df_out = transform.fast_fracdiff(df.copy(), ["Close","Open"],0.5); df_out.head()

(4) Capping

Any method that provides sets a floor and a cap to a feature's value. Capping can affect the distribution of data, so it should not be exagerated. One can cap values by using the average, by using the max and min values, or by an arbitrary extreme value.

(i) Winzorisation

The transformation of features by limiting extreme values in the statistical data to reduce the effect of possibly spurious outliers by replacing it with a certain percentile value.

def outlier_detect(data,col,threshold=1,method="IQR"):
  
    if method == "IQR":
      IQR = data[col].quantile(0.75) - data[col].quantile(0.25)
      Lower_fence = data[col].quantile(0.25) - (IQR * threshold)
      Upper_fence = data[col].quantile(0.75) + (IQR * threshold)
    if method == "STD":
      Upper_fence = data[col].mean() + threshold * data[col].std()
      Lower_fence = data[col].mean() - threshold * data[col].std()   
    if method == "OWN":
      Upper_fence = data[col].mean() + threshold * data[col].std()
      Lower_fence = data[col].mean() - threshold * data[col].std() 
    if method =="MAD":
      median = data[col].median()
      median_absolute_deviation = np.median([np.abs(y - median) for y in data[col]])
      modified_z_scores = pd.Series([0.6745 * (y - median) / median_absolute_deviation for y in data[col]])
      outlier_index = np.abs(modified_z_scores) > threshold
      print('Num of outlier detected:',outlier_index.value_counts()[1])
      print('Proportion of outlier detected',outlier_index.value_counts()[1]/len(outlier_index))
      return outlier_index, (median_absolute_deviation, median_absolute_deviation)

    para = (Upper_fence, Lower_fence)
    tmp = pd.concat([data[col]>Upper_fence,data[col]<Lower_fence],axis=1)
    outlier_index = tmp.any(axis=1)
    print('Num of outlier detected:',outlier_index.value_counts()[1])
    print('Proportion of outlier detected',outlier_index.value_counts()[1]/len(outlier_index))
    
    return outlier_index, para

def windsorization(data,col,para,strategy='both'):
    """
    top-coding & bottom coding (capping the maximum of a distribution at an arbitrarily set value,vice versa)
    """

    data_copy = data.copy(deep=True)  
    if strategy == 'both':
        data_copy.loc[data_copy[col]>para[0],col] = para[0]
        data_copy.loc[data_copy[col]<para[1],col] = para[1]
    elif strategy == 'top':
        data_copy.loc[data_copy[col]>para[0],col] = para[0]
    elif strategy == 'bottom':
        data_copy.loc[data_copy[col]<para[1],col] = para[1]  
    return data_copy

_, para = transform.outlier_detect(df, "Close")
df_out = transform.windsorization(df.copy(),"Close",para,strategy='both'); df_out.head()

(5) Operations

Operations here are treated like traditional transformations. It is the replacement of a variable by a function of that variable. In a stronger sense, a transformation is a replacement that changes the shape of a distribution or relationship.

(i) Power, Log, Recipricol, Square Root

def operations(df,features):
  df_new = df[features]
  df_new = df_new - df_new.min()

  sqr_name = [str(fa)+"_POWER_2" for fa in df_new.columns]
  log_p_name = [str(fa)+"_LOG_p_one_abs" for fa in df_new.columns]
  rec_p_name = [str(fa)+"_RECIP_p_one" for fa in df_new.columns]
  sqrt_name = [str(fa)+"_SQRT_p_one" for fa in df_new.columns]

  df_sqr = pd.DataFrame(np.power(df_new.values, 2),columns=sqr_name, index=df.index)
  df_log = pd.DataFrame(np.log(df_new.add(1).abs().values),columns=log_p_name, index=df.index)
  df_rec = pd.DataFrame(np.reciprocal(df_new.add(1).values),columns=rec_p_name, index=df.index)
  df_sqrt = pd.DataFrame(np.sqrt(df_new.abs().add(1).values),columns=sqrt_name, index=df.index)

  dfs = [df, df_sqr, df_log, df_rec, df_sqrt]

  df=  pd.concat(dfs, axis=1)

  return df

df_out = transform.operations(df.copy(),["Close"]); df_out.head()

(6) Smoothing

Here we maintain that any method that has a component of historical averaging is a smoothing method such as a simple moving average and single, double and tripple exponential smoothing methods. These forms of non-causal filters are also popular in signal processing and are called filters, where exponential smoothing is called an IIR filter and a moving average a FIR filter with equal weighting factors.

(i) Tripple Exponential Smoothing (Holt-Winters Exponential Smoothing)

The Holt-Winters seasonal method comprises the forecast equation and three smoothing equations — one for the level $ℓt$, one for the trend &bt&, and one for the seasonal component $st$. This particular version is performed by looking at the last 12 periods. For that reason, the first 12 records should be disregarded because they can't make use of the required window size for a fair calculation. The calculation is such that values are still provided for those periods based on whatever data might be available.

def initial_trend(series, slen):
    sum = 0.0
    for i in range(slen):
        sum += float(series[i+slen] - series[i]) / slen
    return sum / slen

def initial_seasonal_components(series, slen):
    seasonals = {}
    season_averages = []
    n_seasons = int(len(series)/slen)
    # compute season averages
    for j in range(n_seasons):
        season_averages.append(sum(series[slen*j:slen*j+slen])/float(slen))
    # compute initial values
    for i in range(slen):
        sum_of_vals_over_avg = 0.0
        for j in range(n_seasons):
            sum_of_vals_over_avg += series[slen*j+i]-season_averages[j]
        seasonals[i] = sum_of_vals_over_avg/n_seasons
    return seasonals

def triple_exponential_smoothing(df,cols, slen, alpha, beta, gamma, n_preds):
    for col in cols:
      result = []
      seasonals = initial_seasonal_components(df[col], slen)
      for i in range(len(df[col])+n_preds):
          if i == 0: # initial values
              smooth = df[col][0]
              trend = initial_trend(df[col], slen)
              result.append(df[col][0])
              continue
          if i >= len(df[col]): # we are forecasting
              m = i - len(df[col]) + 1
              result.append((smooth + m*trend) + seasonals[i%slen])
          else:
              val = df[col][i]
              last_smooth, smooth = smooth, alpha*(val-seasonals[i%slen]) + (1-alpha)*(smooth+trend)
              trend = beta * (smooth-last_smooth) + (1-beta)*trend
              seasonals[i%slen] = gamma*(val-smooth) + (1-gamma)*seasonals[i%slen]
              result.append(smooth+trend+seasonals[i%slen])
      df[col+"_TES"] = result
    #print(seasonals)
    return df

df_out= transform.triple_exponential_smoothing(df.copy(),["Close"], 12, .2,.2,.2,0); df_out.head()

(7) Decomposing

Decomposition procedures are used in time series to describe the trend and seasonal factors in a time series. More extensive decompositions might also include long-run cycles, holiday effects, day of week effects and so on. Here, we’ll only consider trend and seasonal decompositions. A naive decomposition makes use of moving averages, other decomposition methods are available that make use of LOESS.

(i) Naive Decomposition

The base trend takes historical information into account and established moving averages; it does not have to be linear. To estimate the seasonal component for each season, simply average the detrended values for that season. If the seasonal variation looks constant, we should use the additive model. If the magnitude is increasing as a function of time, we will use multiplicative. Here because it is predictive in nature we are using a one sided moving average, as opposed to a two-sided centred average.

import statsmodels.api as sm

def naive_dec(df, columns, freq=2):
  for col in columns:
    decomposition = sm.tsa.seasonal_decompose(df[col], model='additive', freq = freq, two_sided=False)
    df[col+"_NDDT" ] = decomposition.trend
    df[col+"_NDDT"] = decomposition.seasonal
    df[col+"_NDDT"] = decomposition.resid
  return df

df_out = transform.naive_dec(df.copy(), ["Close","Open"]); df_out.head()

(8) Filtering

It is often useful to either low-pass filter (smooth) time series in order to reveal low-frequency features and trends, or to high-pass filter (detrend) time series in order to isolate high frequency transients (e.g. storms). Low pass filters use historical values, high-pass filters detrends with low-pass filters, so also indirectly uses historical values.

There are a few filters available, closely associated with decompositions and smoothing functions. The Hodrick-Prescott filter separates a time-series $yt$ into a trend $τt$ and a cyclical component $ζt$. The Christiano-Fitzgerald filter is a generalization of Baxter-King filter and can be seen as weighted moving average.

(i) Baxter-King Bandpass

The Baxter-King filter is intended to explicitly deal with the periodicity of the business cycle. By applying their band-pass filter to a series, they produce a new series that does not contain fluctuations at higher or lower than those of the business cycle. The parameters are arbitrarily chosen. This method uses a centred moving average that has to be changed to a lagged moving average before it can be used as an input feature. The maximum period of oscillation should be used as the point to truncate the dataset, as that part of the time series does not incorporate all the required datapoints.

import statsmodels.api as sm

def bkb(df, cols):
  for col in cols:
    df[col+"_BPF"] = sm.tsa.filters.bkfilter(df[[col]].values, 2, 10, len(df)-1)
  return df

df_out = transform.bkb(df.copy(), ["Close"]); df_out.head()

(ii) Butter Lowpass (IIR Filter Design)

The Butterworth filter is a type of signal processing filter designed to have a frequency response as flat as possible in the passban. Like other filtersm the first few values have to be disregarded for accurate downstream prediction. Instead of disregarding these values on a per case basis, they can be diregarded in one chunk once the database of transformed features have been developed.

from scipy import signal, integrate
def butter_lowpass(cutoff, fs=20, order=5):
    nyq = 0.5 * fs
    normal_cutoff = cutoff / nyq
    b, a = signal.butter(order, normal_cutoff, btype='low', analog=False)
    return b, a
    
def butter_lowpass_filter(df,cols, cutoff, fs=20, order=5):
    b, a = butter_lowpass(cutoff, fs, order=order)
    for col in cols:
      df[col+"_BUTTER"] = signal.lfilter(b, a, df[col])
    return df

df_out = transform.butter_lowpass_filter(df.copy(),["Close"],4); df_out.head()

(iii) Hilbert Transform Angle

The Hilbert transform is a time-domain to time-domain transformation which shifts the phase of a signal by 90 degrees. It is also a centred measure and would be difficult to use in a time series prediction setting, unless it is recalculated on a per step basis or transformed to be based on historical values only.

from scipy import signal
import numpy as np

def instantaneous_phases(df,cols):
    for col in cols:
      df[col+"_HILLB"] = np.unwrap(np.angle(signal.hilbert(df[col], axis=0)), axis=0)
    return df

df_out = transform.instantaneous_phases(df.copy(), ["Close"]); df_out.head()

(iiiv) Unscented Kalman Filter

The Kalman filter is better suited for estimating things that change over time. The most tangible example is tracking moving objects. A Kalman filter will be very close to the actual trajectory because it says the most recent measurement is more important than the older ones. The Unscented Kalman Filter (UKF) is a model based-techniques that recursively estimates the states (and with some modifications also parameters) of a nonlinear, dynamic, discrete-time system. The UKF is based on the typical prediction-correction style methods. The Kalman Smoother incorporates future values, the Filter doesn't and can be used for online prediction. The normal Kalman filter is a forward filter in the sense that it makes forecast of the current state using only current and past observations, whereas the smoother is based on computing a suitable linear combination of two filters, which are ran in forward and backward directions.

from pykalman import UnscentedKalmanFilter

def kalman_feat(df, cols):
  for col in cols:
    ukf = UnscentedKalmanFilter(lambda x, w: x + np.sin(w), lambda x, v: x + v, observation_covariance=0.1)
    (filtered_state_means, filtered_state_covariances) = ukf.filter(df[col])
    (smoothed_state_means, smoothed_state_covariances) = ukf.smooth(df[col])
    df[col+"_UKFSMOOTH"] = smoothed_state_means.flatten()
    df[col+"_UKFFILTER"] = filtered_state_means.flatten()
  return df 

df_out = transform.kalman_feat(df.copy(), ["Close"]); df_out.head()

(9) Spectral Analysis

There are a range of functions for spectral analysis. You can use periodograms and the welch method to estimate the power spectral density. You can also use the welch method to estimate the cross power spectral density. Other techniques include spectograms, Lomb-Scargle periodograms and, short time fourier transform.

(i) Periodogram

This returns an array of sample frequencies and the power spectrum of x, or the power spectral density of x.

from scipy import signal
def perd_feat(df, cols):
  for col in cols:
    sig = signal.periodogram(df[col],fs=1, return_onesided=False)
    df[col+"_FREQ"] = sig[0]
    df[col+"_POWER"] = sig[1]
  return df

df_out = transform.perd_feat(df.copy(),["Close"]); df_out.head()

(ii) Fast Fourier Transform

The FFT, or fast fourier transform is an algorithm that essentially uses convolution techniques to efficiently find the magnitude and location of the tones that make up the signal of interest. We can often play with the FFT spectrum, by adding and removing successive tones (which is akin to selectively filtering particular tones that make up the signal), in order to obtain a smoothed version of the underlying signal. This takes the entire signal into account, and as a result has to be recalculated on a running basis to avoid peaking into the future.

def fft_feat(df, cols):
  for col in cols:
    fft_df = np.fft.fft(np.asarray(df[col].tolist()))
    fft_df = pd.DataFrame({'fft':fft_df})
    df[col+'_FFTABS'] = fft_df['fft'].apply(lambda x: np.abs(x)).values
    df[col+'_FFTANGLE'] = fft_df['fft'].apply(lambda x: np.angle(x)).values
  return df 

df_out = transform.fft_feat(df.copy(), ["Close"]); df_out.head()

(10) Waveforms

The waveform of a signal is the shape of its graph as a function of time.

(i) Continuous Wave Radar

from scipy import signal
def harmonicradar_cw(df, cols, fs,fc):
    for col in cols:
      ttxt = f'CW: {fc} Hz'
      #%% input
      t = df[col]
      tx = np.sin(2*np.pi*fc*t)
      _,Pxx = signal.welch(tx,fs)
      #%% diode
      d = (signal.square(2*np.pi*fc*t))
      d[d<0] = 0.
      #%% output of diode
      rx = tx * d
      df[col+"_HARRAD"] = rx.values
    return df

df_out = transform.harmonicradar_cw(df.copy(), ["Close"],0.3,0.2); df_out.head()

(ii) Saw Tooth

Return a periodic sawtooth or triangle waveform.

def saw(df, cols):
  for col in cols:
    df[col+" SAW"] = signal.sawtooth(df[col])
  return df

df_out = transform.saw(df.copy(),["Close","Open"]); df_out.head()

(9) Modifications

A range of modification usually applied ot images, these values would have to be recalculate for each time-series.

(i) Various Techniques

from tsaug import *
def modify(df, cols):
  for col in cols:
    series = df[col].values
    df[col+"_magnify"], _ = magnify(series, series)
    df[col+"_affine"], _ = affine(series, series)
    df[col+"_crop"], _ = crop(series, series)
    df[col+"_cross_sum"], _ = cross_sum(series, series)
    df[col+"_resample"], _ = resample(series, series)
    df[col+"_trend"], _ = trend(series, series)

    df[col+"_random_affine"], _ = random_time_warp(series, series)
    df[col+"_random_crop"], _ = random_crop(series, series)
    df[col+"_random_cross_sum"], _ = random_cross_sum(series, series)
    df[col+"_random_sidetrack"], _ = random_sidetrack(series, series)
    df[col+"_random_time_warp"], _ = random_time_warp(series, series)
    df[col+"_random_magnify"], _ = random_magnify(series, series)
    df[col+"_random_jitter"], _ = random_jitter(series, series)
    df[col+"_random_trend"], _ = random_trend(series, series)
  return df

df_out = transform.modify(df.copy(),["Close"]); df_out.head()

(11) Rolling

Features that are calculated on a rolling basis over fixed window size.

(i) Mean, Standard Deviation

def multiple_rolling(df, windows = [1,2], functions=["mean","std"], columns=None):
  windows = [1+a for a in windows]
  if not columns:
    columns = df.columns.to_list()
  rolling_dfs = (df[columns].rolling(i)                                    # 1. Create window
                  .agg(functions)                                # 1. Aggregate
                  .rename({col: '{0}_{1:d}'.format(col, i)
                                for col in columns}, axis=1)  # 2. Rename columns
                for i in windows)                                # For each window
  df_out = pd.concat((df, *rolling_dfs), axis=1)
  da = df_out.iloc[:,len(df.columns):]
  da = [col[0] + "_" + col[1] for col in  da.columns.to_list()]
  df_out.columns = df.columns.to_list() + da 

  return  df_out                      # 3. Concatenate dataframes

df_out = transform.multiple_rolling(df, columns=["Close"]); df_out.head()

(12) Lagging

Lagged values from existing features.

(i) Single Steps

def multiple_lags(df, start=1, end=3,columns=None):
  if not columns:
    columns = df.columns.to_list()
  lags = range(start, end+1)  # Just two lags for demonstration.

  df = df.assign(**{
      '{}_t_{}'.format(col, t): df[col].shift(t)
      for t in lags
      for col in columns
  })
  return df

df_out = transform.multiple_lags(df, start=1, end=3, columns=["Close"]); df_out.head()

(13) Forecast Model

There are a range of time series model that can be implemented like AR, MA, ARMA, ARIMA, SARIMA, SARIMAX, VAR, VARMA, VARMAX, SES, and HWES. The models can be divided into autoregressive models and smoothing models. In an autoregression model, we forecast the variable of interest using a linear combination of past values of the variable. Each method might requre specific tuning and parameters to suit your prediction task. You need to drop a certain amount of historical data that you use during the fitting stage. Models that take seasonality into account need more training data.

(i) Prophet

Prophet is a procedure for forecasting time series data based on an additive model where non-linear trends are fit with yearly, weekly, and daily seasonality. You can apply additive models to your training data but also interactive models like deep learning models. The problem is that because these models have learned from future observations, there would this be a need to recalculate the time series on a running basis, or to only include the predicted as opposed to fitted values in future training and test sets. In this example, I train on 150 data points to illustrate how the remaining or so 100 datapoints can be used in a new prediction problem. You can plot with df["PROPHET"].plot() to see the effect.

You can apply additive models to your training data but also interactive models like deep learning models. The problem is that these models have learned from future observations, there would this be a need to recalculate the time series on a running basis, or to only include the predicted as opposed to fitted values in future training and test sets.

from fbprophet import Prophet

def prophet_feat(df, cols,date, freq,train_size=150):
  def prophet_dataframe(df): 
    df.columns = ['ds','y']
    return df

  def original_dataframe(df, freq, name):
    prophet_pred = pd.DataFrame({"Date" : df['ds'], name : df["yhat"]})
    prophet_pred = prophet_pred.set_index("Date")
    #prophet_pred.index.freq = pd.tseries.frequencies.to_offset(freq)
    return prophet_pred[name].values

  for col in cols:
    model = Prophet(daily_seasonality=True)
    fb = model.fit(prophet_dataframe(df[[date, col]].head(train_size)))
    forecast_len = len(df) - train_size
    future = model.make_future_dataframe(periods=forecast_len,freq=freq)
    future_pred = model.predict(future)
    df[col+"_PROPHET"] = list(original_dataframe(future_pred,freq,col))
  return df

df_out  = transform.prophet_feat(df.copy().reset_index(),["Close","Open"],"Date", "D"); df_out.head()

 

(2) Interaction

Interactions are defined as methods that require more than one feature to create an additional feature. Here we include normalising and discretising techniques that are non-feature specific. Almost all of these method can be applied to cross-section method. The only methods that are time specific is the technical features in the speciality section and the autoregression model.

(1) Regression

Regression analysis is a set of statistical processes for estimating the relationships between a dependent variable (often called the 'outcome variable') and one or more independent variables.

(i) Lowess Smoother

The lowess smoother is a robust locally weighted regression. The function fits a nonparametric regression curve to a scatterplot.

from math import ceil
import numpy as np
from scipy import linalg
import math

def lowess(df, cols, y, f=2. / 3., iter=3):
    for col in cols:
      n = len(df[col])
      r = int(ceil(f * n))
      h = [np.sort(np.abs(df[col] - df[col][i]))[r] for i in range(n)]
      w = np.clip(np.abs((df[col][:, None] - df[col][None, :]) / h), 0.0, 1.0)
      w = (1 - w ** 3) ** 3
      yest = np.zeros(n)
      delta = np.ones(n)
      for iteration in range(iter):
          for i in range(n):
              weights = delta * w[:, i]
              b = np.array([np.sum(weights * y), np.sum(weights * y * df[col])])
              A = np.array([[np.sum(weights), np.sum(weights * df[col])],
                            [np.sum(weights * df[col]), np.sum(weights * df[col] * df[col])]])
              beta = linalg.solve(A, b)
              yest[i] = beta[0] + beta[1] * df[col][i]

          residuals = y - yest
          s = np.median(np.abs(residuals))
          delta = np.clip(residuals / (6.0 * s), -1, 1)
          delta = (1 - delta ** 2) ** 2
      df[col+"_LOWESS"] = yest

    return df

df_out = interact.lowess(df.copy(), ["Open","Volume"], df["Close"], f=0.25, iter=3); df_out.head()

Autoregression

Autoregression is a time series model that uses observations from previous time steps as input to a regression equation to predict the value at the next time step

from statsmodels.tsa.ar_model import AR
from timeit import default_timer as timer
def autoregression(df, drop=None, settings={"autoreg_lag":4}):

    autoreg_lag = settings["autoreg_lag"]
    if drop:
      keep = df[drop]
      df = df.drop([drop],axis=1).values

    n_channels = df.shape[0]
    t = timer()
    channels_regg = np.zeros((n_channels, autoreg_lag + 1))
    for i in range(0, n_channels):
        fitted_model = AR(df.values[i, :]).fit(autoreg_lag)
        # TODO: This is not the same as Matlab's for some reasons!
        # kk = ARMAResults(fitted_model)
        # autore_vals, dummy1, dummy2 = arburg(x[i, :], autoreg_lag) # This looks like Matlab's but slow
        channels_regg[i, 0: len(fitted_model.params)] = np.real(fitted_model.params)

    for i in range(channels_regg.shape[1]):
      df["LAG_"+str(i+1)] = channels_regg[:,i]
    
    if drop:
      df = pd.concat((keep,df),axis=1)

    t = timer() - t
    return df

df_out = interact.autoregression(df.copy()); df_out.head()

(2) Operator

Looking at interaction between different features. Here the methods employed are multiplication and division.

(i) Multiplication and Division

def muldiv(df, feature_list):
  for feat in feature_list:
    for feat_two in feature_list:
      if feat==feat_two:
        continue
      else:
       df[feat+"/"+feat_two] = df[feat]/(df[feat_two]-df[feat_two].min()) #zero division guard
       df[feat+"_X_"+feat_two] = df[feat]*(df[feat_two])

  return df

df_out = interact.muldiv(df.copy(), ["Close","Open"]); df_out.head()

(3) Discretising

In statistics and machine learning, discretization refers to the process of converting or partitioning continuous attributes, features or variables to discretized or nominal attributes

(i) Decision Tree Discretiser

The first method that will be applies here is a supersived discretiser. Discretisation with Decision Trees consists of using a decision tree to identify the optimal splitting points that would determine the bins or contiguous intervals.

from sklearn.tree import DecisionTreeRegressor

def decision_tree_disc(df, cols, depth=4 ):
  for col in cols:
    df[col +"_m1"] = df[col].shift(1)
    df = df.iloc[1:,:]
    tree_model = DecisionTreeRegressor(max_depth=depth,random_state=0)
    tree_model.fit(df[col +"_m1"].to_frame(), df[col])
    df[col+"_Disc"] = tree_model.predict(df[col +"_m1"].to_frame())
  return df

df_out = interact.decision_tree_disc(df.copy(), ["Close"]); df_out.head()

(4) Normalising

Normalising normally pertains to the scaling of data. There are many method available, interacting normalising methods makes use of all the feature's attributes to do the scaling.

(i) Quantile Normalisation

In statistics, quantile normalization is a technique for making two distributions identical in statistical properties.

import numpy as np
import pandas as pd

def quantile_normalize(df, drop):

    if drop:
      keep = df[drop]
      df = df.drop(drop,axis=1)

    #compute rank
    dic = {}
    for col in df:
      dic.update({col : sorted(df[col])})
    sorted_df = pd.DataFrame(dic)
    rank = sorted_df.mean(axis = 1).tolist()
    #sort
    for col in df:
        t = np.searchsorted(np.sort(df[col]), df[col])
        df[col] = [rank[i] for i in t]
    
    if drop:
      df = pd.concat((keep,df),axis=1)
    return df

df_out = interact.quantile_normalize(df.copy(), drop=["Close"]); df_out.head()

(5) Distance

There are multiple types of distance functions like Euclidean, Mahalanobis, and Minkowski distance. Here we are using a contrived example in a location based haversine distance.

(i) Haversine Distance

The Haversine (or great circle) distance is the angular distance between two points on the surface of a sphere.

from math import sin, cos, sqrt, atan2, radians
def haversine_distance(row, lon="Open", lat="Close"):
    c_lat,c_long = radians(52.5200), radians(13.4050)
    R = 6373.0
    long = radians(row['Open'])
    lat = radians(row['Close'])
    
    dlon = long - c_long
    dlat = lat - c_lat
    a = sin(dlat / 2)**2 + cos(lat) * cos(c_lat) * sin(dlon / 2)**2
    c = 2 * atan2(sqrt(a), sqrt(1 - a))
    
    return R * c

df_out['distance_central'] = df.apply(interact.haversine_distance,axis=1); df_out.head()

(6) Speciality

(i) Technical Features

Technical indicators are heuristic or mathematical calculations based on the price, volume, or open interest of a security or contract used by traders who follow technical analysis. By analyzing historical data, technical analysts use indicators to predict future price movements.

import ta

def tech(df):
  return ta.add_all_ta_features(df, open="Open", high="High", low="Low", close="Close", volume="Volume")
  
df_out = interact.tech(df.copy()); df_out.head()

(7) Genetic

Genetic programming has shown promise in constructing feature by osing original features to form high-level ones that can help algorithms achieve better performance.

(i) Symbolic Transformer

A symbolic transformer is a supervised transformer that begins by building a population of naive random formulas to represent a relationship.

df.head()
from gplearn.genetic import SymbolicTransformer

def genetic_feat(df, num_gen=20, num_comp=10):
  function_set = ['add', 'sub', 'mul', 'div',
                  'sqrt', 'log', 'abs', 'neg', 'inv','tan']

  gp = SymbolicTransformer(generations=num_gen, population_size=200,
                          hall_of_fame=100, n_components=num_comp,
                          function_set=function_set,
                          parsimony_coefficient=0.0005,
                          max_samples=0.9, verbose=1,
                          random_state=0, n_jobs=6)

  gen_feats = gp.fit_transform(df.drop("Close_1", axis=1), df["Close_1"]); df.iloc[:,:8]
  gen_feats = pd.DataFrame(gen_feats, columns=["gen_"+str(a) for a in range(gen_feats.shape[1])])
  gen_feats.index = df.index
  return pd.concat((df,gen_feats),axis=1)

df_out = interact.genetic_feat(df.copy()); df_out.head()

 

(3) Mapping

Methods that help with the summarisation of features by remapping them to achieve some aim like the maximisation of variability or class separability. These methods tend to be unsupervised, but can also take an supervised form.

(1) Eigen Decomposition

Eigendecomposition or sometimes spectral decomposition is the factorization of a matrix into a canonical form, whereby the matrix is represented in terms of its eigenvalues and eigenvectors. Some examples are LDA and PCA.

(i) Principal Component Analysis

Principal component analysis (PCA) is a statistical procedure that uses an orthogonal transformation to convert a set of observations of possibly correlated variables into a set of values of linearly uncorrelated variables called principal components.

def pca_feature(df, memory_issues=False,mem_iss_component=False,variance_or_components=0.80,n_components=5 ,drop_cols=None, non_linear=True):
    
  if non_linear:
    pca = KernelPCA(n_components = n_components, kernel='rbf', fit_inverse_transform=True, random_state = 33, remove_zero_eig= True)
  else:
    if memory_issues:
      if not mem_iss_component:
        raise ValueError("If you have memory issues, you have to preselect mem_iss_component")
      pca = IncrementalPCA(mem_iss_component)
    else:
      if variance_or_components>1:
        pca = PCA(n_components=variance_or_components) 
      else: # automated selection based on variance
        pca = PCA(n_components=variance_or_components,svd_solver="full") 
  if drop_cols:
    X_pca = pca.fit_transform(df.drop(drop_cols,axis=1))
    return pd.concat((df[drop_cols],pd.DataFrame(X_pca, columns=["PCA_"+str(i+1) for i in range(X_pca.shape[1])],index=df.index)),axis=1)

  else:
    X_pca = pca.fit_transform(df)
    return pd.DataFrame(X_pca, columns=["PCA_"+str(i+1) for i in range(X_pca.shape[1])],index=df.index)


  return df

df_out = mapper.pca_feature(df.copy(), variance_or_components=0.9, n_components=8,non_linear=False)

(2) Cross Decomposition

These families of algorithms are useful to find linear relations between two multivariate datasets.

(1) Canonical Correlation Analysis

Canonical-correlation analysis (CCA) is a way of inferring information from cross-covariance matrices.

from sklearn.cross_decomposition import CCA

def cross_lag(df, drop=None, lags=1, components=4 ):

  if drop:
    keep = df[drop]
    df = df.drop([drop],axis=1)

  df_2 = df.shift(lags)
  df = df.iloc[lags:,:]
  df_2 = df_2.dropna().reset_index(drop=True)

  cca = CCA(n_components=components)
  cca.fit(df_2, df)

  X_c, df_2 = cca.transform(df_2, df)
  df_2 = pd.DataFrame(df_2, index=df.index)
  df_2 = df.add_prefix('crd_')

  if drop:
    df = pd.concat([keep,df,df_2],axis=1)
  else:
    df = pd.concat([df,df_2],axis=1)
  return df

df_out = mapper.cross_lag(df.copy()); df_out.head()

(3) Kernel Approximation

Functions that approximate the feature mappings that correspond to certain kernels, as they are used for example in support vector machines.

(i) Additive Chi2 Kernel

Computes the additive chi-squared kernel between observations in X and Y The chi-squared kernel is computed between each pair of rows in X and Y. X and Y have to be non-negative.

from sklearn.kernel_approximation import AdditiveChi2Sampler

def a_chi(df, drop=None, lags=1, sample_steps=2 ):

  if drop:
    keep = df[drop]
    df = df.drop([drop],axis=1)

  df_2 = df.shift(lags)
  df = df.iloc[lags:,:]
  df_2 = df_2.dropna().reset_index(drop=True)

  chi2sampler = AdditiveChi2Sampler(sample_steps=sample_steps)

  df_2 = chi2sampler.fit_transform(df_2, df["Close"])

  df_2 = pd.DataFrame(df_2, index=df.index)
  df_2 = df.add_prefix('achi_')

  if drop:
    df = pd.concat([keep,df,df_2],axis=1)
  else:
    df = pd.concat([df,df_2],axis=1)
  return df

df_out = mapper.a_chi(df.copy()); df_out.head()

(4) Autoencoder

An autoencoder is a type of artificial neural network used to learn efficient data codings in an unsupervised manner. The aim of an autoencoder is to learn a representation (encoding) for a set of data, typically for dimensionality reduction, by training the network to ignore noise.

(i) Feed Forward

The simplest form of an autoencoder is a feedforward, non-recurrent neural network similar to single layer perceptrons that participate in multilayer perceptrons

from sklearn.preprocessing import minmax_scale
import tensorflow as tf
import numpy as np

def encoder_dataset(df, drop=None, dimesions=20):

  if drop:
    train_scaled = minmax_scale(df.drop(drop,axis=1).values, axis = 0)
  else:
    train_scaled = minmax_scale(df.values, axis = 0)

  # define the number of encoding dimensions
  encoding_dim = dimesions
  # define the number of features
  ncol = train_scaled.shape[1]
  input_dim = tf.keras.Input(shape = (ncol, ))

  # Encoder Layers
  encoded1 = tf.keras.layers.Dense(3000, activation = 'relu')(input_dim)
  encoded2 = tf.keras.layers.Dense(2750, activation = 'relu')(encoded1)
  encoded3 = tf.keras.layers.Dense(2500, activation = 'relu')(encoded2)
  encoded4 = tf.keras.layers.Dense(750, activation = 'relu')(encoded3)
  encoded5 = tf.keras.layers.Dense(500, activation = 'relu')(encoded4)
  encoded6 = tf.keras.layers.Dense(250, activation = 'relu')(encoded5)
  encoded7 = tf.keras.layers.Dense(encoding_dim, activation = 'relu')(encoded6)

  encoder = tf.keras.Model(inputs = input_dim, outputs = encoded7)
  encoded_input = tf.keras.Input(shape = (encoding_dim, ))

  encoded_train = pd.DataFrame(encoder.predict(train_scaled),index=df.index)
  encoded_train = encoded_train.add_prefix('encoded_')
  if drop:
    encoded_train = pd.concat((df[drop],encoded_train),axis=1)

  return encoded_train

df_out = mapper.encoder_dataset(df.copy(), ["Close_1"], 15); df_out.head()
df_out.head()

(5) Manifold Learning

Manifold Learning can be thought of as an attempt to generalize linear frameworks like PCA to be sensitive to non-linear structure in data.

(i) Local Linear Embedding

Locally Linear Embedding is a method of non-linear dimensionality reduction. It tries to reduce these n-Dimensions while trying to preserve the geometric features of the original non-linear feature structure.

from sklearn.manifold import LocallyLinearEmbedding

def lle_feat(df, drop=None, components=4):

  if drop:
    keep = df[drop]
    df = df.drop(drop, axis=1)

  embedding = LocallyLinearEmbedding(n_components=components)
  em = embedding.fit_transform(df)
  df = pd.DataFrame(em,index=df.index)
  df = df.add_prefix('lle_')
  if drop:
    df = pd.concat((keep,df),axis=1)
  return df

df_out = mapper.lle_feat(df.copy(),["Close_1"],4); df_out.head()

(6) Clustering

Most clustering techniques start with a bottom up approach: each observation starts in its own cluster, and clusters are successively merged together with some measure. Although these clustering techniques are typically used for observations, it can also be used for feature dimensionality reduction; especially hierarchical clustering techniques.

(i) Feature Agglomeration

Feature agglomerative uses clustering to group together features that look very similar, thus decreasing the number of features.

import numpy as np
from sklearn import datasets, cluster

def feature_agg(df, drop=None, components=4):

  if drop:
    keep = df[drop]
    df = df.drop(drop, axis=1)

  components = min(df.shape[1]-1,components)
  agglo = cluster.FeatureAgglomeration(n_clusters=components)
  agglo.fit(df)
  df = pd.DataFrame(agglo.transform(df),index=df.index)
  df = df.add_prefix('feagg_')

  if drop:
    return pd.concat((keep,df),axis=1)
  else:
    return df


df_out = mapper.feature_agg(df.copy(),["Close_1"],4 ); df_out.head()

(7) Neigbouring

Neighbouring points can be calculated using distance metrics like Hamming, Manhattan, Minkowski distance. The principle behind nearest neighbor methods is to find a predefined number of training samples closest in distance to the new point, and predict the label from these.

(i) Nearest Neighbours

Unsupervised learner for implementing neighbor searches.

from sklearn.neighbors import NearestNeighbors

def neigh_feat(df, drop, neighbors=6):
  
  if drop:
    keep = df[drop]
    df = df.drop(drop, axis=1)

  components = min(df.shape[0]-1,neighbors)
  neigh = NearestNeighbors(n_neighbors=neighbors)
  neigh.fit(df)
  neigh = neigh.kneighbors()[0]
  df = pd.DataFrame(neigh, index=df.index)
  df = df.add_prefix('neigh_')

  if drop:
    return pd.concat((keep,df),axis=1)
  else:
    return df

  return df

df_out = mapper.neigh_feat(df.copy(),["Close_1"],4 ); df_out.head()

 

(4) Extraction

When working with extraction, you have decide the size of the time series history to take into account when calculating a collection of walk-forward feature values. To facilitate our extraction, we use an excellent package called TSfresh, and also some of their default features. For completeness, we also include 12 or so custom features to be added to the extraction pipeline.

The time series methods in the transformation section and the interaction section are similar to the methods we will uncover in the extraction section, however, for transformation and interaction methods the output is an entire new time series, whereas extraction methods takes as input multiple constructed time series and extracts a singular value from each time series to reconstruct an entirely new time series.

Some methods naturally fit better in one format over another, e.g., lags are too expensive for extraction; time series decomposition only has to be performed once, because it has a low level of 'leakage' so is better suited to transformation; and forecast methods attempt to predict multiple future training samples, so won't work with extraction that only delivers one value per time series. Furthermore all non time-series (cross-sectional) transformation and extraction techniques can not make use of extraction as it is solely a time-series method.

Lastly, when we want to double apply specific functions we can apply it as a transformation/interaction then all the extraction methods can be applied to this feature as well. For example, if we calculate a smoothing function (transformation) then all other extraction functions (median, entropy, linearity etc.) can now be applied to that smoothing function, including the application of the smoothing function itself, e.g., a double smooth, double lag, double filter etc. So separating these methods out give us great flexibility.

Decorator

def set_property(key, value):
    """
    This method returns a decorator that sets the property key of the function to value
    """
    def decorate_func(func):
        setattr(func, key, value)
        if func.__doc__ and key == "fctype":
            func.__doc__ = func.__doc__ + "\n\n    *This function is of type: " + value + "*\n"
        return func
    return decorate_func

(1) Energy

You can calculate the linear, non-linear and absolute energy of a time series. In signal processing, the energy $E_S$ of a continuous-time signal $x(t)$ is defined as the area under the squared magnitude of the considered signal. Mathematically, $E_{s}=\langle x(t), x(t)\rangle=\int_{-\infty}^{\infty}|x(t)|^{2} d t$

(i) Absolute Energy

Returns the absolute energy of the time series which is the sum over the squared values

#-> In Package
def abs_energy(x):

    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    return np.dot(x, x)

extract.abs_energy(df["Close"])

(2) Distance

Here we widely define distance measures as those that take a difference between attributes or series of datapoints.

(i) Complexity-Invariant Distance

This function calculator is an estimate for a time series complexity.

#-> In Package
def cid_ce(x, normalize):

    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    if normalize:
        s = np.std(x)
        if s!=0:
            x = (x - np.mean(x))/s
        else:
            return 0.0

    x = np.diff(x)
    return np.sqrt(np.dot(x, x))

extract.cid_ce(df["Close"], True)

(3) Differencing

Many alternatives to differencing exists, one can for example take the difference of every other value, take the squared difference, take the fractional difference, or like our example, take the mean absolute difference.

(i) Mean Absolute Change

Returns the mean over the absolute differences between subsequent time series values.

#-> In Package
def mean_abs_change(x):
    return np.mean(np.abs(np.diff(x)))

extract.mean_abs_change(df["Close"])

(4) Derivative

Features where the emphasis is on the rate of change.

(i) Mean Central Second Derivative

Returns the mean value of a central approximation of the second derivative

#-> In Package
def _roll(a, shift):
    if not isinstance(a, np.ndarray):
        a = np.asarray(a)
    idx = shift % len(a)
    return np.concatenate([a[-idx:], a[:-idx]])

def mean_second_derivative_central(x):

    diff = (_roll(x, 1) - 2 * np.array(x) + _roll(x, -1)) / 2.0
    return np.mean(diff[1:-1])

extract.mean_second_derivative_central(df["Close"])

(5) Volatility

Volatility is a statistical measure of the dispersion of a time-series.

(i) Variance Larger than Standard Deviation

#-> In Package
def variance_larger_than_standard_deviation(x):

    y = np.var(x)
    return y > np.sqrt(y)

extract.variance_larger_than_standard_deviation(df["Close"])

(ii) Variability Index

Variability Index is a way to measure how smooth or 'variable' a time series is.

var_index_param = {"Volume":df["Volume"].values, "Open": df["Open"].values}

@set_property("fctype", "combiner")
@set_property("custom", True)
def var_index(time,param=var_index_param):
    final = []
    keys = []
    for key, magnitude in param.items():
      w = 1.0 / np.power(np.subtract(time[1:], time[:-1]), 2)
      w_mean = np.mean(w)

      N = len(time)
      sigma2 = np.var(magnitude)

      S1 = sum(w * (magnitude[1:] - magnitude[:-1]) ** 2)
      S2 = sum(w)

      eta_e = (w_mean * np.power(time[N - 1] -
                time[0], 2) * S1 / (sigma2 * S2 * N ** 2))
      final.append(eta_e)
      keys.append(key)
    return {"Interact__{}".format(k): eta_e for eta_e, k in zip(final,keys) }

extract.var_index(df["Close"].values,var_index_param)

(6) Shape

Features that emphasises a particular shape not ordinarily considered as a distribution statistic. Extends to derivations of the original time series too For example a feature looking at the sinusoidal shape of an autocorrelation plot.

(i) Symmetrical

Boolean variable denoting if the distribution of x looks symmetric.

#-> In Package
def symmetry_looking(x, param=[{"r": 0.2}]):

    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    mean_median_difference = np.abs(np.mean(x) - np.median(x))
    max_min_difference = np.max(x) - np.min(x)
    return [("r_{}".format(r["r"]), mean_median_difference < (r["r"] * max_min_difference))
            for r in param]
            
extract.symmetry_looking(df["Close"])

(7) Occurrence

Looking at the occurrence, and reoccurence of defined values.

(i) Has Duplicate Max

#-> In Package
def has_duplicate_max(x):
    """
    Checks if the maximum value of x is observed more than once

    :param x: the time series to calculate the feature of
    :type x: numpy.ndarray
    :return: the value of this feature
    :return type: bool
    """
    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    return np.sum(x == np.max(x)) >= 2

extract.has_duplicate_max(df["Close"])

(8) Autocorrelation

Autocorrelation, also known as serial correlation, is the correlation of a signal with a delayed copy of itself as a function of delay.

(i) Partial Autocorrelation

Partial autocorrelation is a summary of the relationship between an observation in a time series with observations at prior time steps with the relationships of intervening observations removed.

#-> In Package
from statsmodels.tsa.stattools import acf, adfuller, pacf

def partial_autocorrelation(x, param=[{"lag": 1}]):

    # Check the difference between demanded lags by param and possible lags to calculate (depends on len(x))
    max_demanded_lag = max([lag["lag"] for lag in param])
    n = len(x)

    # Check if list is too short to make calculations
    if n <= 1:
        pacf_coeffs = [np.nan] * (max_demanded_lag + 1)
    else:
        if (n <= max_demanded_lag):
            max_lag = n - 1
        else:
            max_lag = max_demanded_lag
        pacf_coeffs = list(pacf(x, method="ld", nlags=max_lag))
        pacf_coeffs = pacf_coeffs + [np.nan] * max(0, (max_demanded_lag - max_lag))

    return [("lag_{}".format(lag["lag"]), pacf_coeffs[lag["lag"]]) for lag in param]

extract.partial_autocorrelation(df["Close"])

(9) Stochasticity

Stochastic refers to a randomly determined process. Any features trying to capture stochasticity by degree or type are included under this branch.

(i) Augmented Dickey Fuller

The Augmented Dickey-Fuller test is a hypothesis test which checks whether a unit root is present in a time series sample.

#-> In Package
def augmented_dickey_fuller(x, param=[{"attr": "teststat"}]):

    res = None
    try:
        res = adfuller(x)
    except LinAlgError:
        res = np.NaN, np.NaN, np.NaN
    except ValueError: # occurs if sample size is too small
        res = np.NaN, np.NaN, np.NaN
    except MissingDataError: # is thrown for e.g. inf or nan in the data
        res = np.NaN, np.NaN, np.NaN

    return [('attr_"{}"'.format(config["attr"]),
                  res[0] if config["attr"] == "teststat"
             else res[1] if config["attr"] == "pvalue"
             else res[2] if config["attr"] == "usedlag" else np.NaN)
            for config in param]

extract.augmented_dickey_fuller(df["Close"])

(10) Averages

(i) Median of Magnitudes Skew

@set_property("fctype", "simple")
@set_property("custom", True)
def gskew(x):
    interpolation="nearest"
    median_mag = np.median(x)
    F_3_value = np.percentile(x, 3, interpolation=interpolation)
    F_97_value = np.percentile(x, 97, interpolation=interpolation)

    skew = (np.median(x[x <= F_3_value]) +
            np.median(x[x >= F_97_value]) - 2 * median_mag)

    return skew

extract.gskew(df["Close"])

(ii) Stetson Mean

An iteratively weighted mean used in the Stetson variability index

stestson_param = {"weight":100., "alpha":2., "beta":2., "tol":1.e-6, "nmax":20}

@set_property("fctype", "combiner")
@set_property("custom", True)
def stetson_mean(x, param=stestson_param):
    
    weight= stestson_param["weight"]
    alpha= stestson_param["alpha"]
    beta = stestson_param["beta"]
    tol= stestson_param["tol"]
    nmax= stestson_param["nmax"]
    
    
    mu = np.median(x)
    for i in range(nmax):
        resid = x - mu
        resid_err = np.abs(resid) * np.sqrt(weight)
        weight1 = weight / (1. + (resid_err / alpha)**beta)
        weight1 /= weight1.mean()
        diff = np.mean(x * weight1) - mu
        mu += diff
        if (np.abs(diff) < tol*np.abs(mu) or np.abs(diff) < tol):
            break

    return mu

extract.stetson_mean(df["Close"])

(11) Size

(i) Lenght

#-> In Package
def length(x):
    return len(x)
    
extract.length(df["Close"])

(12) Count

(i) Count Above Mean

Returns the number of values in x that are higher than the mean of x

#-> In Package
def count_above_mean(x):
    m = np.mean(x)
    return np.where(x > m)[0].size

extract.count_above_mean(df["Close"])

(13) Streaks

(i) Longest Strike Below Mean

Returns the length of the longest consecutive subsequence in x that is smaller than the mean of x

#-> In Package
import itertools
def get_length_sequences_where(x):

    if len(x) == 0:
        return [0]
    else:
        res = [len(list(group)) for value, group in itertools.groupby(x) if value == 1]
        return res if len(res) > 0 else [0]

def longest_strike_below_mean(x):

    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    return np.max(get_length_sequences_where(x <= np.mean(x))) if x.size > 0 else 0

extract.longest_strike_below_mean(df["Close"])

(ii) Wozniak

This is an astronomical feature, we count the number of three consecutive data points that are brighter or fainter than $2σ$ and normalize the number by $N−2$

woz_param = [{"consecutiveStar": n} for n in [2, 4]]

@set_property("fctype", "combiner")
@set_property("custom", True)
def wozniak(magnitude, param=woz_param):

    iters = []
    for consecutiveStar in [stars["consecutiveStar"] for stars in param]:
      N = len(magnitude)
      if N < consecutiveStar:
          return 0
      sigma = np.std(magnitude)
      m = np.mean(magnitude)
      count = 0

      for i in range(N - consecutiveStar + 1):
          flag = 0
          for j in range(consecutiveStar):
              if(magnitude[i + j] > m + 2 * sigma or
                  magnitude[i + j] < m - 2 * sigma):
                  flag = 1
              else:
                  flag = 0
                  break
          if flag:
              count = count + 1
      iters.append(count * 1.0 / (N - consecutiveStar + 1))

    return [("consecutiveStar_{}".format(config["consecutiveStar"]), iters[en] )  for en, config in enumerate(param)]

extract.wozniak(df["Close"])

(14) Location

(i) Last location of Maximum

Returns the relative last location of the maximum value of x. last_location_of_minimum(x),

#-> In Package
def last_location_of_maximum(x):

    x = np.asarray(x)
    return 1.0 - np.argmax(x[::-1]) / len(x) if len(x) > 0 else np.NaN

extract.last_location_of_maximum(df["Close"])

(15) Model Coefficients

Any coefficient that are obtained from a model that might help in the prediction problem. For example here we might include coefficients of polynomial $h(x)$, which has been fitted to the deterministic dynamics of Langevin model.

(i) FFT Coefficient

Calculates the fourier coefficients of the one-dimensional discrete Fourier Transform for real input.

#-> In Package
def fft_coefficient(x, param = [{"coeff": 10, "attr": "real"}]):

    assert min([config["coeff"] for config in param]) >= 0, "Coefficients must be positive or zero."
    assert set([config["attr"] for config in param]) <= set(["imag", "real", "abs", "angle"]), \
        'Attribute must be "real", "imag", "angle" or "abs"'

    fft = np.fft.rfft(x)

    def complex_agg(x, agg):
        if agg == "real":
            return x.real
        elif agg == "imag":
            return x.imag
        elif agg == "abs":
            return np.abs(x)
        elif agg == "angle":
            return np.angle(x, deg=True)

    res = [complex_agg(fft[config["coeff"]], config["attr"]) if config["coeff"] < len(fft)
           else np.NaN for config in param]
    index = [('coeff_{}__attr_"{}"'.format(config["coeff"], config["attr"]),res[0]) for config in param]
    return index

extract.fft_coefficient(df["Close"])

(ii) AR Coefficient

This feature calculator fits the unconditional maximum likelihood of an autoregressive AR(k) process.

#-> In Package
from statsmodels.tsa.ar_model import AR

def ar_coefficient(x, param=[{"coeff": 5, "k": 5}]):

    calculated_ar_params = {}

    x_as_list = list(x)
    calculated_AR = AR(x_as_list)

    res = {}

    for parameter_combination in param:
        k = parameter_combination["k"]
        p = parameter_combination["coeff"]

        column_name = "k_{}__coeff_{}".format(k, p)

        if k not in calculated_ar_params:
            try:
                calculated_ar_params[k] = calculated_AR.fit(maxlag=k, solver="mle").params
            except (LinAlgError, ValueError):
                calculated_ar_params[k] = [np.NaN]*k

        mod = calculated_ar_params[k]

        if p <= k:
            try:
                res[column_name] = mod[p]
            except IndexError:
                res[column_name] = 0
        else:
            res[column_name] = np.NaN

    return [(key, value) for key, value in res.items()]

extract.ar_coefficient(df["Close"])

(16) Quantiles

This includes finding normal quantile values in the series, but also quantile derived measures like change quantiles and index max quantiles.

(i) Index Mass Quantile

The relative index $i$ where $q%$ of the mass of the time series $x$ lie left of $i$ .

#-> In Package
def index_mass_quantile(x, param=[{"q": 0.3}]):

    x = np.asarray(x)
    abs_x = np.abs(x)
    s = sum(abs_x)

    if s == 0:
        # all values in x are zero or it has length 0
        return [("q_{}".format(config["q"]), np.NaN) for config in param]
    else:
        # at least one value is not zero
        mass_centralized = np.cumsum(abs_x) / s
        return [("q_{}".format(config["q"]), (np.argmax(mass_centralized >= config["q"])+1)/len(x)) for config in param]

extract.index_mass_quantile(df["Close"])

(17) Peaks

(i) Number of CWT Peaks

This feature calculator searches for different peaks in x.

from scipy.signal import cwt, find_peaks_cwt, ricker, welch

cwt_param = [ka for ka in [2,6,9]]

@set_property("fctype", "combiner")
@set_property("custom", True)
def number_cwt_peaks(x, param=cwt_param):

    return [("CWTPeak_{}".format(n), len(find_peaks_cwt(vector=x, widths=np.array(list(range(1, n + 1))), wavelet=ricker))) for n in param]

extract.number_cwt_peaks(df["Close"])

(18) Density

The density, and more specifically the power spectral density of the signal describes the power present in the signal as a function of frequency, per unit frequency.

(i) Cross Power Spectral Density

This feature calculator estimates the cross power spectral density of the time series $x$ at different frequencies.

#-> In Package
def spkt_welch_density(x, param=[{"coeff": 5}]):
    freq, pxx = welch(x, nperseg=min(len(x), 256))
    coeff = [config["coeff"] for config in param]
    indices = ["coeff_{}".format(i) for i in coeff]

    if len(pxx) <= np.max(coeff):  # There are fewer data points in the time series than requested coefficients

        # filter coefficients that are not contained in pxx
        reduced_coeff = [coefficient for coefficient in coeff if len(pxx) > coefficient]
        not_calculated_coefficients = [coefficient for coefficient in coeff
                                       if coefficient not in reduced_coeff]

        # Fill up the rest of the requested coefficients with np.NaNs
        return zip(indices, list(pxx[reduced_coeff]) + [np.NaN] * len(not_calculated_coefficients))
    else:
        return pxx[coeff].ravel()[0]

extract.spkt_welch_density(df["Close"])

(19) Linearity

Any measure of linearity that might make use of something like the linear least-squares regression for the values of the time series. This can be against the time series minus one and many other alternatives.

(i) Linear Trend Time Wise

Calculate a linear least-squares regression for the values of the time series versus the sequence from 0 to length of the time series minus one.

from scipy.stats import linregress

#-> In Package
def linear_trend_timewise(x, param= [{"attr": "pvalue"}]):

    ix = x.index

    # Get differences between each timestamp and the first timestamp in seconds.
    # Then convert to hours and reshape for linear regression
    times_seconds = (ix - ix[0]).total_seconds()
    times_hours = np.asarray(times_seconds / float(3600))

    linReg = linregress(times_hours, x.values)

    return [("attr_\"{}\"".format(config["attr"]), getattr(linReg, config["attr"]))
            for config in param]

extract.linear_trend_timewise(df["Close"])

(20) Non-Linearity

(i) Schreiber Non-Linearity

#-> In Package
def c3(x, lag=3):
    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    n = x.size
    if 2 * lag >= n:
        return 0
    else:
        return np.mean((_roll(x, 2 * -lag) * _roll(x, -lag) * x)[0:(n - 2 * lag)])

extract.c3(df["Close"])

(21) Entropy

Any feature looking at the complexity of a time series. This is typically used in medical signal disciplines (EEG, EMG). There are multiple types of measures like spectral entropy, permutation entropy, sample entropy, approximate entropy, Lempel-Ziv complexity and other. This includes entropy measures and there derivations.

(i) Binned Entropy

Bins the values of x into max_bins equidistant bins.

#-> In Package
def binned_entropy(x, max_bins=10):
    if not isinstance(x, (np.ndarray, pd.Series)):
        x = np.asarray(x)
    hist, bin_edges = np.histogram(x, bins=max_bins)
    probs = hist / x.size
    return - np.sum(p * np.math.log(p) for p in probs if p != 0)

extract.binned_entropy(df["Close"])

(ii) SVD Entropy

SVD entropy is an indicator of the number of eigenvectors that are needed for an adequate explanation of the data set.

svd_param = [{"Tau": ta, "DE": de}
                      for ta in [4] 
                      for de in [3,6]]
                      
def _embed_seq(X,Tau,D):
  N =len(X)
  if D * Tau > N:
      print("Cannot build such a matrix, because D * Tau > N")
      exit()
  if Tau<1:
      print("Tau has to be at least 1")
      exit()
  Y= np.zeros((N - (D - 1) * Tau, D))

  for i in range(0, N - (D - 1) * Tau):
      for j in range(0, D):
          Y[i][j] = X[i + j * Tau]
  return Y                     

@set_property("fctype", "combiner")
@set_property("custom", True)
def svd_entropy(epochs, param=svd_param):
    axis=0
    
    final = []
    for par in param:

      def svd_entropy_1d(X, Tau, DE):
          Y = _embed_seq(X, Tau, DE)
          W = np.linalg.svd(Y, compute_uv=0)
          W /= sum(W)  # normalize singular values
          return -1 * np.sum(W * np.log(W))

      Tau = par["Tau"]
      DE = par["DE"]

      final.append(np.apply_along_axis(svd_entropy_1d, axis, epochs, Tau, DE).ravel()[0])


    return [("Tau_\"{}\"__De_{}\"".format(par["Tau"], par["DE"]), final[en]) for en, par in enumerate(param)]

extract.svd_entropy(df["Close"].values)

(iii) Hjort

The Complexity parameter represents the change in frequency. The parameter compares the signal's similarity to a pure sine wave, where the value converges to 1 if the signal is more similar.

def _hjorth_mobility(epochs):
    diff = np.diff(epochs, axis=0)
    sigma0 = np.std(epochs, axis=0)
    sigma1 = np.std(diff, axis=0)
    return np.divide(sigma1, sigma0)

@set_property("fctype", "simple")
@set_property("custom", True)
def hjorth_complexity(epochs):
    diff1 = np.diff(epochs, axis=0)
    diff2 = np.diff(diff1, axis=0)
    sigma1 = np.std(diff1, axis=0)
    sigma2 = np.std(diff2, axis=0)
    return np.divide(np.divide(sigma2, sigma1), _hjorth_mobility(epochs))

extract.hjorth_complexity(df["Close"])

(22) Fixed Points

Fixed points and equilibria as identified from fitted models.

(i) Langevin Fixed Points

Largest fixed point of dynamics $max\ {h(x)=0}$ estimated from polynomial $h(x)$ which has been fitted to the deterministic dynamics of Langevin model

#-> In Package
def _estimate_friedrich_coefficients(x, m, r):
    assert m > 0, "Order of polynomial need to be positive integer, found {}".format(m)
    df = pd.DataFrame({'signal': x[:-1], 'delta': np.diff(x)})
    try:
        df['quantiles'] = pd.qcut(df.signal, r)
    except ValueError:
        return [np.NaN] * (m + 1)

    quantiles = df.groupby('quantiles')

    result = pd.DataFrame({'x_mean': quantiles.signal.mean(), 'y_mean': quantiles.delta.mean()})
    result.dropna(inplace=True)

    try:
        return np.polyfit(result.x_mean, result.y_mean, deg=m)
    except (np.linalg.LinAlgError, ValueError):
        return [np.NaN] * (m + 1)


def max_langevin_fixed_point(x, r=3, m=30):
    coeff = _estimate_friedrich_coefficients(x, m, r)

    try:
        max_fixed_point = np.max(np.real(np.roots(coeff)))
    except (np.linalg.LinAlgError, ValueError):
        return np.nan

    return max_fixed_point

extract.max_langevin_fixed_point(df["Close"])

(23) Amplitude

Features derived from peaked values in either the positive or negative direction.

(i) Willison Amplitude

This feature is defined as the amount of times that the change in the signal amplitude exceeds a threshold.

will_param = [ka for ka in [0.2,3]]

@set_property("fctype", "combiner")
@set_property("custom", True)
def willison_amplitude(X, param=will_param):
  return [("Thresh_{}".format(n),np.sum(np.abs(np.diff(X)) >= n)) for n in param]

extract.willison_amplitude(df["Close"])

(ii) Percent Amplitude

Returns the largest distance from the median value, measured as a percentage of the median

perc_param = [{"base":ba, "exponent":exp} for ba in [3,5] for exp in [-0.1,-0.2]]

@set_property("fctype", "combiner")
@set_property("custom", True)
def percent_amplitude(x, param =perc_param):
    final = []
    for par in param:
      linear_scale_data = par["base"] ** (par["exponent"] * x)
      y_max = np.max(linear_scale_data)
      y_min = np.min(linear_scale_data)
      y_med = np.median(linear_scale_data)
      final.append(max(abs((y_max - y_med) / y_med), abs((y_med - y_min) / y_med)))

    return [("Base_{}__Exp{}".format(pa["base"],pa["exponent"]),fin) for fin, pa in zip(final,param)]

extract.percent_amplitude(df["Close"])

(24) Probability

(i) Cadence Probability

Given the observed distribution of time lags cads, compute the probability that the next observation occurs within time minutes of an arbitrary epoch.

#-> fixes required
import scipy.stats as stats

cad_param = [0.1,1000, -234]

@set_property("fctype", "combiner")
@set_property("custom", True)
def cad_prob(cads, param=cad_param):
    return [("time_{}".format(time), stats.percentileofscore(cads, float(time) / (24.0 * 60.0)) / 100.0) for time in param]
    
extract.cad_prob(df["Close"])

(25) Crossings

Calculates the crossing of the series with other defined values or series.

(i) Zero Crossing Derivative

The positioning of the edge point is located at the zero crossing of the first derivative of the filter.

zero_param = [0.01, 8]

@set_property("fctype", "combiner")
@set_property("custom", True)
def zero_crossing_derivative(epochs, param=zero_param):
    diff = np.diff(epochs)
    norm = diff-diff.mean()
    return [("e_{}".format(e), np.apply_along_axis(lambda epoch: np.sum(((epoch[:-5] <= e) & (epoch[5:] > e))), 0, norm).ravel()[0]) for e in param]

extract.zero_crossing_derivative(df["Close"])

(26) Fluctuations

These features are again from medical signal sciences, but under this category we would include values such as fluctuation based entropy measures, fluctuation of correlation dynamics, and co-fluctuations.

(i) Detrended Fluctuation Analysis (DFA)

DFA Calculate the Hurst exponent using DFA analysis.

from scipy.stats import kurtosis as _kurt
from scipy.stats import skew as _skew
import numpy as np

@set_property("fctype", "simple")
@set_property("custom", True)
def detrended_fluctuation_analysis(epochs):
    def dfa_1d(X, Ave=None, L=None):
        X = np.array(X)

        if Ave is None:
            Ave = np.mean(X)

        Y = np.cumsum(X)
        Y -= Ave

        if L is None:
            L = np.floor(len(X) * 1 / (
                    2 ** np.array(list(range(1, int(np.log2(len(X))) - 4))))
                            )
            
        F = np.zeros(len(L))  # F(n) of different given box length n

        for i in range(0, len(L)):
            n = int(L[i])  # for each box length L[i]
            if n == 0:
                print("time series is too short while the box length is too big")
                print("abort")
                exit()
            for j in range(0, len(X), n):  # for each box
                if j + n < len(X):
                    c = list(range(j, j + n))
                    # coordinates of time in the box
                    c = np.vstack([c, np.ones(n)]).T
                    # the value of data in the box
                    y = Y[j:j + n]
                    # add residue in this box
                    F[i] += np.linalg.lstsq(c, y, rcond=None)[1]
            F[i] /= ((len(X) / n) * n)
        F = np.sqrt(F)

        stacked = np.vstack([np.log(L), np.ones(len(L))])
        stacked_t = stacked.T
        Alpha = np.linalg.lstsq(stacked_t, np.log(F), rcond=None)

        return Alpha[0][0]

    return np.apply_along_axis(dfa_1d, 0, epochs).ravel()[0]

extract.detrended_fluctuation_analysis(df["Close"])

(27) Information

Closely related to entropy and complexity measures. Any measure that attempts to measure the amount of information from an observable variable is included here.

(i) Fisher Information

Fisher information is a statistical information concept distinct from, and earlier than, Shannon information in communication theory.

def _embed_seq(X, Tau, D):

    shape = (X.size - Tau * (D - 1), D)
    strides = (X.itemsize, Tau * X.itemsize)
    return np.lib.stride_tricks.as_strided(X, shape=shape, strides=strides)

fisher_param = [{"Tau":ta, "DE":de} for ta in [3,15] for de in [10,5]]

@set_property("fctype", "combiner")
@set_property("custom", True)
def fisher_information(epochs, param=fisher_param):
    def fisher_info_1d(a, tau, de):
        # taken from pyeeg improvements

        mat = _embed_seq(a, tau, de)
        W = np.linalg.svd(mat, compute_uv=False)
        W /= sum(W)  # normalize singular values
        FI_v = (W[1:] - W[:-1]) ** 2 / W[:-1]
        return np.sum(FI_v)

    return [("Tau_{}__DE_{}".format(par["Tau"], par["DE"]),np.apply_along_axis(fisher_info_1d, 0, epochs, par["Tau"], par["DE"]).ravel()[0]) for par in param]

extract.fisher_information(df["Close"])

(28) Fractals

In mathematics, more specifically in fractal geometry, a fractal dimension is a ratio providing a statistical index of complexity comparing how detail in a pattern (strictly speaking, a fractal pattern) changes with the scale at which it is measured.

(i) Highuchi Fractal

Compute a Higuchi Fractal Dimension of a time series

hig_para = [{"Kmax": 3},{"Kmax": 5}]

@set_property("fctype", "combiner")
@set_property("custom", True)
def higuchi_fractal_dimension(epochs, param=hig_para):
    def hfd_1d(X, Kmax):
        
        L = []
        x = []
        N = len(X)
        for k in range(1, Kmax):
            Lk = []
            for m in range(0, k):
                Lmk = 0
                for i in range(1, int(np.floor((N - m) / k))):
                    Lmk += abs(X[m + i * k] - X[m + i * k - k])
                Lmk = Lmk * (N - 1) / np.floor((N - m) / float(k)) / k
                Lk.append(Lmk)
            L.append(np.log(np.mean(Lk)))
            x.append([np.log(float(1) / k), 1])

        (p, r1, r2, s) = np.linalg.lstsq(x, L, rcond=None)
        return p[0]
    
    return [("Kmax_{}".format(config["Kmax"]), np.apply_along_axis(hfd_1d, 0, epochs, config["Kmax"]).ravel()[0] ) for  config in param]
    
extract.higuchi_fractal_dimension(df["Close"])

(ii) Petrosian Fractal

Compute a Petrosian Fractal Dimension of a time series.

@set_property("fctype", "simple")
@set_property("custom", True)
def petrosian_fractal_dimension(epochs):
    def pfd_1d(X, D=None):
        # taken from pyeeg
        """Compute Petrosian Fractal Dimension of a time series from either two
        cases below:
            1. X, the time series of type list (default)
            2. D, the first order differential sequence of X (if D is provided,
               recommended to speed up)
        In case 1, D is computed using Numpy's difference function.
        To speed up, it is recommended to compute D before calling this function
        because D may also be used by other functions whereas computing it here
        again will slow down.
        """
        if D is None:
            D = np.diff(X)
            D = D.tolist()
        N_delta = 0  # number of sign changes in derivative of the signal
        for i in range(1, len(D)):
            if D[i] * D[i - 1] < 0:
                N_delta += 1
        n = len(X)
        return np.log10(n) / (np.log10(n) + np.log10(n / n + 0.4 * N_delta))
    return np.apply_along_axis(pfd_1d, 0, epochs).ravel()[0]

extract.petrosian_fractal_dimension(df["Close"])

(29) Exponent

(i) Hurst Exponent

The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series, and the rate at which these decrease as the lag between pairs of values increases.

@set_property("fctype", "simple")
@set_property("custom", True)
def hurst_exponent(epochs):
    def hurst_1d(X):

        X = np.array(X)
        N = X.size
        T = np.arange(1, N + 1)
        Y = np.cumsum(X)
        Ave_T = Y / T

        S_T = np.zeros(N)
        R_T = np.zeros(N)
        for i in range(N):
            S_T[i] = np.std(X[:i + 1])
            X_T = Y - T * Ave_T[i]
            R_T[i] = np.ptp(X_T[:i + 1])

        for i in range(1, len(S_T)):
            if np.diff(S_T)[i - 1] != 0:
                break
        for j in range(1, len(R_T)):
            if np.diff(R_T)[j - 1] != 0:
                break
        k = max(i, j)
        assert k < 10, "rethink it!"

        R_S = R_T[k:] / S_T[k:]
        R_S = np.log(R_S)

        n = np.log(T)[k:]
        A = np.column_stack((n, np.ones(n.size)))
        [m, c] = np.linalg.lstsq(A, R_S, rcond=None)[0]
        H = m
        return H
    return np.apply_along_axis(hurst_1d, 0, epochs).ravel()[0]

extract.hurst_exponent(df["Close"])

(ii) Largest Lyauponov Exponent

In mathematics the Lyapunov exponent or Lyapunov characteristic exponent of a dynamical system is a quantity that characterizes the rate of separation of infinitesimally close trajectories.

def _embed_seq(X, Tau, D):
    shape = (X.size - Tau * (D - 1), D)
    strides = (X.itemsize, Tau * X.itemsize)
    return np.lib.stride_tricks.as_strided(X, shape=shape, strides=strides)

lyaup_param = [{"Tau":4, "n":3, "T":10, "fs":9},{"Tau":8, "n":7, "T":15, "fs":6}]

@set_property("fctype", "combiner")
@set_property("custom", True)
def largest_lyauponov_exponent(epochs, param=lyaup_param):
    def LLE_1d(x, tau, n, T, fs):

        Em = _embed_seq(x, tau, n)
        M = len(Em)
        A = np.tile(Em, (len(Em), 1, 1))
        B = np.transpose(A, [1, 0, 2])
        square_dists = (A - B) ** 2  # square_dists[i,j,k] = (Em[i][k]-Em[j][k])^2
        D = np.sqrt(square_dists[:, :, :].sum(axis=2))  # D[i,j] = ||Em[i]-Em[j]||_2

        # Exclude elements within T of the diagonal
        band = np.tri(D.shape[0], k=T) - np.tri(D.shape[0], k=-T - 1)
        band[band == 1] = np.inf
        neighbors = (D + band).argmin(axis=0)  # nearest neighbors more than T steps away

        # in_bounds[i,j] = (i+j <= M-1 and i+neighbors[j] <= M-1)
        inc = np.tile(np.arange(M), (M, 1))
        row_inds = (np.tile(np.arange(M), (M, 1)).T + inc)
        col_inds = (np.tile(neighbors, (M, 1)) + inc.T)
        in_bounds = np.logical_and(row_inds <= M - 1, col_inds <= M - 1)
        # Uncomment for old (miscounted) version
        # in_bounds = numpy.logical_and(row_inds < M - 1, col_inds < M - 1)
        row_inds[~in_bounds] = 0
        col_inds[~in_bounds] = 0

        # neighbor_dists[i,j] = ||Em[i+j]-Em[i+neighbors[j]]||_2
        neighbor_dists = np.ma.MaskedArray(D[row_inds, col_inds], ~in_bounds)
        J = (~neighbor_dists.mask).sum(axis=1)  # number of in-bounds indices by row
        # Set invalid (zero) values to 1; log(1) = 0 so sum is unchanged

        neighbor_dists[neighbor_dists == 0] = 1

        # !!! this fixes the divide by zero in log error !!!
        neighbor_dists.data[neighbor_dists.data == 0] = 1

        d_ij = np.sum(np.log(neighbor_dists.data), axis=1)
        mean_d = d_ij[J > 0] / J[J > 0]

        x = np.arange(len(mean_d))
        X = np.vstack((x, np.ones(len(mean_d)))).T
        [m, c] = np.linalg.lstsq(X, mean_d, rcond=None)[0]
        Lexp = fs * m
        return Lexp

    return [("Tau_{}__n_{}__T_{}__fs_{}".format(par["Tau"], par["n"], par["T"], par["fs"]), np.apply_along_axis(LLE_1d, 0, epochs, par["Tau"], par["n"], par["T"], par["fs"]).ravel()[0]) for par in param]
  
extract.largest_lyauponov_exponent(df["Close"])

(30) Spectral Analysis

Spectral analysis is analysis in terms of a spectrum of frequencies or related quantities such as energies, eigenvalues, etc.

(i) Whelch Method

The Whelch Method is an approach for spectral density estimation. It is used in physics, engineering, and applied mathematics for estimating the power of a signal at different frequencies.

from scipy import signal, integrate

whelch_param = [100,200]

@set_property("fctype", "combiner")
@set_property("custom", True)
def whelch_method(data, param=whelch_param):

  final = []
  for Fs in param:
    f, pxx = signal.welch(data, fs=Fs, nperseg=1024)
    d = {'psd': pxx, 'freqs': f}
    df = pd.DataFrame(data=d)
    dfs = df.sort_values(['psd'], ascending=False)
    rows = dfs.iloc[:10]
    final.append(rows['freqs'].mean())
  
  return [("Fs_{}".format(pa),fin) for pa, fin in zip(param,final)]

extract.whelch_method(df["Close"])
#-> Basically same as above
freq_param = [{"fs":50, "sel":15},{"fs":200, "sel":20}]

@set_property("fctype", "combiner")
@set_property("custom", True)
def find_freq(serie, param=freq_param):

    final = []
    for par in param:
      fft0 = np.fft.rfft(serie*np.hanning(len(serie)))
      freqs = np.fft.rfftfreq(len(serie), d=1.0/par["fs"])
      fftmod = np.array([np.sqrt(fft0[i].real**2 + fft0[i].imag**2) for i in range(0, len(fft0))])
      d = {'fft': fftmod, 'freq': freqs}
      df = pd.DataFrame(d)
      hop = df.sort_values(['fft'], ascending=False)
      rows = hop.iloc[:par["sel"]]
      final.append(rows['freq'].mean())

    return [("Fs_{}__sel{}".format(pa["fs"],pa["sel"]),fin) for pa, fin in zip(param,final)]

extract.find_freq(df["Close"])

(31) Percentile

(i) Flux Percentile

Flux (or radiant flux) is the total amount of energy that crosses a unit area per unit time. Flux is an astronomical value, measured in joules per square metre per second (joules/m2/s), or watts per square metre. Here we provide the ratio of flux percentiles.

#-> In Package

import math
def flux_perc(magnitude):
    sorted_data = np.sort(magnitude)
    lc_length = len(sorted_data)

    F_60_index = int(math.ceil(0.60 * lc_length))
    F_40_index = int(math.ceil(0.40 * lc_length))
    F_5_index = int(math.ceil(0.05 * lc_length))
    F_95_index = int(math.ceil(0.95 * lc_length))

    F_40_60 = sorted_data[F_60_index] - sorted_data[F_40_index]
    F_5_95 = sorted_data[F_95_index] - sorted_data[F_5_index]
    F_mid20 = F_40_60 / F_5_95

    return {"FluxPercentileRatioMid20": F_mid20}

extract.flux_perc(df["Close"])

(32) Range

(i) Range of Cummulative Sum

@set_property("fctype", "simple")
@set_property("custom", True)
def range_cum_s(magnitude):
    sigma = np.std(magnitude)
    N = len(magnitude)
    m = np.mean(magnitude)
    s = np.cumsum(magnitude - m) * 1.0 / (N * sigma)
    R = np.max(s) - np.min(s)
    return {"Rcs": R}

extract.range_cum_s(df["Close"])

(33) Structural

Structural features, potential placeholders for future research.

(i) Structure Function

The structure function of rotation measures (RMs) contains information on electron density and magnetic field fluctuations when used i astronomy. It becomes a custom feature when used with your own unique time series data.

from scipy.interpolate import interp1d

struct_param = {"Volume":df["Volume"].values, "Open": df["Open"].values}

@set_property("fctype", "combiner")
@set_property("custom", True)
def structure_func(time, param=struct_param):

      dict_final = {}
      for key, magnitude in param.items():
        dict_final[key] = []
        Nsf, Np = 100, 100
        sf1, sf2, sf3 = np.zeros(Nsf), np.zeros(Nsf), np.zeros(Nsf)
        f = interp1d(time, magnitude)

        time_int = np.linspace(np.min(time), np.max(time), Np)
        mag_int = f(time_int)

        for tau in np.arange(1, Nsf):
            sf1[tau - 1] = np.mean(
                np.power(np.abs(mag_int[0:Np - tau] - mag_int[tau:Np]), 1.0))
            sf2[tau - 1] = np.mean(
                np.abs(np.power(
                    np.abs(mag_int[0:Np - tau] - mag_int[tau:Np]), 2.0)))
            sf3[tau - 1] = np.mean(
                np.abs(np.power(
                    np.abs(mag_int[0:Np - tau] - mag_int[tau:Np]), 3.0)))
        sf1_log = np.log10(np.trim_zeros(sf1))
        sf2_log = np.log10(np.trim_zeros(sf2))
        sf3_log = np.log10(np.trim_zeros(sf3))

        if len(sf1_log) and len(sf2_log):
            m_21, b_21 = np.polyfit(sf1_log, sf2_log, 1)
        else:

            m_21 = np.nan

        if len(sf1_log) and len(sf3_log):
            m_31, b_31 = np.polyfit(sf1_log, sf3_log, 1)
        else:

            m_31 = np.nan

        if len(sf2_log) and len(sf3_log):
            m_32, b_32 = np.polyfit(sf2_log, sf3_log, 1)
        else:

            m_32 = np.nan
        dict_final[key].append(m_21)
        dict_final[key].append(m_31)
        dict_final[key].append(m_32)

      return [("StructureFunction_{}__m_{}".format(key, name), li)  for key, lis in dict_final.items() for name, li in zip([21,31,32], lis)]

struct_param = {"Volume":df["Volume"].values, "Open": df["Open"].values}

extract.structure_func(df["Close"],struct_param)

(34) Distribution

(i) Kurtosis

#-> In Package
def kurtosis(x):

    if not isinstance(x, pd.Series):
        x = pd.Series(x)
    return pd.Series.kurtosis(x)

extract.kurtosis(df["Close"])

(ii) Stetson Kurtosis

@set_property("fctype", "simple")
@set_property("custom", True)
def stetson_k(x):
    """A robust kurtosis statistic."""
    n = len(x)
    x0 = stetson_mean(x, 1./20**2)
    delta_x = np.sqrt(n / (n - 1.)) * (x - x0) / 20
    ta = 1. / 0.798 * np.mean(np.abs(delta_x)) / np.sqrt(np.mean(delta_x**2))
    return ta
  
extract.stetson_k(df["Close"])

(5) Synthesise

Time-Series synthesisation (TSS) happens before the feature extraction step and Cross Sectional Synthesisation (CSS) happens after the feature extraction step. Currently I will only include a CSS package, in the future, I would further work on developing out this section. This area still has a lot of performance and stability issues. In the future it might be a more viable candidate to improve prediction.

from lightgbm import LGBMRegressor
from sklearn.metrics import mean_squared_error

def model(df_final):
  model = LGBMRegressor()
  test =  df_final.head(int(len(df_final)*0.4))
  train = df_final[~df_final.isin(test)].dropna()
  model = model.fit(train.drop(["Close_1"],axis=1),train["Close_1"])
  preds = model.predict(test.drop(["Close_1"],axis=1))
  test =  df_final.head(int(len(df_final)*0.4))
  train = df_final[~df_final.isin(test)].dropna()
  model = model.fit(train.drop(["Close_1"],axis=1),train["Close_1"])
  val = mean_squared_error(test["Close_1"],preds); 
  return val
pip install ctgan
from ctgan import CTGANSynthesizer

#discrete_columns = [""]
ctgan = CTGANSynthesizer()
ctgan.fit(df,epochs=10) #15

Random Benchmark

np.random.seed(1)
df_in = df.copy()
df_in["Close_1"] = np.random.permutation(df_in["Close_1"].values)
model(df_in)

Generated Performance

df_gen = ctgan.sample(len(df_in)*100)
model(df_gen)

As expected a cross-sectional technique, does not work well on time-series data, in the future, other methods will be investigated.

 

(6) Skeleton Example

Here I will perform tabular agumenting methods on a small dataset single digit features and around 250 instances. This is not necessarily the best sized dataset to highlight the performance of tabular augmentation as some method like extraction would be overkill as it would lead to dimensionality problems. It is also good to know that there are close to infinite number of ways to perform these augmentation methods. In the future, automated augmentation methods can guide the experiment process.

The approach taken in this skeleton is to develop running models that are tested after each augmentation to highlight what methods might work well on this particular dataset. The metric we will use is mean squared error. In this implementation we do not have special hold-out sets.

The above framework of implementation will be consulted, but one still have to be strategic as to when you apply what function, and you have to make sure that you are processing your data with appropriate techniques (drop null values, fill null values) at the appropriate time.

Validation

Develop Model and Define Metric

from lightgbm import LGBMRegressor
from sklearn.metrics import mean_squared_error

def model(df_final):
  model = LGBMRegressor()
  test =  df_final.head(int(len(df_final)*0.4))
  train = df_final[~df_final.isin(test)].dropna()
  model = model.fit(train.drop(["Close_1"],axis=1),train["Close_1"])
  preds = model.predict(test.drop(["Close_1"],axis=1))
  test =  df_final.head(int(len(df_final)*0.4))
  train = df_final[~df_final.isin(test)].dropna()
  model = model.fit(train.drop(["Close_1"],axis=1),train["Close_1"])
  val = mean_squared_error(test["Close_1"],preds); 
  return val

Reload Data

df = data_copy()
model(df)
302.61676570345287

(1) (7) (i) Transformation - Decomposition - Naive

## If Inferred Seasonality is Too Large Default to Five
seasons = transform.infer_seasonality(df["Close"],index=0) 
df_out = transform.naive_dec(df.copy(), ["Close","Open"], freq=5)
model(df_out) #improvement
274.34477082783525

(1) (8) (i) Transformation - Filter - Baxter-King-Bandpass

df_out = transform.bkb(df_out, ["Close","Low"])
df_best = df_out.copy()
model(df_out) #improvement
267.1826850968307

(1) (3) (i) Transformation - Differentiation - Fractional

df_out = transform.fast_fracdiff(df_out, ["Close_BPF"],0.5)
model(df_out) #null
267.7083192402742

(1) (1) (i) Transformation - Scaling - Robust Scaler

df_out = df_out.dropna()
df_out = transform.robust_scaler(df_out, drop=["Close_1"])
model(df_out) #noisy
270.96980399571214

(2) (2) (i) Interactions - Operator - Multiplication/Division

df_out.head()
 Close_1HighLowOpenCloseVolumeAdj CloseClose_NDDTClose_NDDSClose_NDDROpen_NDDTOpen_NDDSOpen_NDDRClose_BPFLow_BPFClose_BPF_frac
Date                
2019-01-08338.5299991.0184130.9640481.0966001.001175-0.1626161.0011750.8322970.8349641.3354330.7587430.6915962.259884-2.534142-2.249135-3.593612
2019-01-09344.9700011.0120681.0233021.0114661.042689-0.5017981.0426890.908963-0.1650361.1113460.8357860.3333611.129783-3.081959-2.776302-2.523465
2019-01-10347.2600101.0355811.0275630.9969691.126762-0.3675761.1267621.0293472.1200260.8536970.9075880.0000000.533777-2.052768-2.543449-0.747382
2019-01-11334.3999941.0731531.1205061.0983131.156658-0.5865711.1566581.109144-5.1560510.5919901.002162-0.6666390.608516-0.694642-0.8316700.414063
2019-01-14344.4299930.9996271.0569911.1021350.988773-0.5417520.9887731.1076330.000000-0.6603501.056302-0.9154910.263025-0.645590-0.116166-0.118012
df_out = interact.muldiv(df_out, ["Close","Open_NDDS","Low_BPF"]) 
model(df_out) #noisy
285.6420643864313
df_r = df_out.copy()

(2) (6) (i) Interactions - Speciality - Technical

import ta
df = interact.tech(df)
df_out = pd.merge(df_out,  df.iloc[:,7:], left_index=True, right_index=True, how="left")

Clean Dataframe and Metric

"""Droping column where missing values are above a threshold"""
df_out = df_out.dropna(thresh = len(df_out)*0.95, axis = "columns") 
df_out = df_out.dropna()
df_out = df_out.replace([np.inf, -np.inf], np.nan).ffill().fillna(0)
close = df_out["Close"].copy()
df_d = df_out.copy()
model(df_out) #improve
592.52971755184

(3) (1) (i) Mapping - Eigen Decomposition - PCA

from sklearn.decomposition import PCA, IncrementalPCA, KernelPCA

df_out = transform.robust_scaler(df_out, drop=["Close_1"])
df_out = df_out.replace([np.inf, -np.inf], np.nan).ffill().fillna(0)
df_out = mapper.pca_feature(df_out, drop_cols=["Close_1"], variance_or_components=0.9, n_components=8,non_linear=False)
model(df_out) #noisy but not too bad given the 10 fold dimensionality reduction
687.158330455884

(4) Extracting

Here at first, I show the functions that have been added to the DeltaPy fork of tsfresh. You have to add your own personal adjustments based on the features you would like to construct. I am using self-developed features, but you can also use TSFresh's community functions.

The following files have been appropriately ammended (Get in contact for advice)

  1. https://github.com/firmai/tsfresh/blob/master/tsfresh/feature_extraction/settings.py
  2. https://github.com/firmai/tsfresh/blob/master/tsfresh/feature_extraction/feature_calculators.py
  3. https://github.com/firmai/tsfresh/blob/master/tsfresh/feature_extraction/extraction.py

(4) (10) (i) Extracting - Averages - GSkew

extract.gskew(df_out["PCA_1"])
-0.7903067336449059

(4) (21) (ii) Extracting - Entropy - SVD Entropy

svd_param = [{"Tau": ta, "DE": de}
                      for ta in [4] 
                      for de in [3,6]]

extract.svd_entropy(df_out["PCA_1"],svd_param)
[('Tau_"4"__De_3"', 0.7234823323374294),
 ('Tau_"4"__De_6"', 1.3014347840145244)]

(4) (13) (ii) Extracting - Streaks - Wozniak

woz_param = [{"consecutiveStar": n} for n in [2, 4]]

extract.wozniak(df_out["PCA_1"],woz_param)
[('consecutiveStar_2', 0.012658227848101266), ('consecutiveStar_4', 0.0)]

(4) (28) (i) Extracting - Fractal - Higuchi

hig_param = [{"Kmax": 3},{"Kmax": 5}]

extract.higuchi_fractal_dimension(df_out["PCA_1"],hig_param)
[('Kmax_3', 0.577913816027104), ('Kmax_5', 0.8176960510304725)]

(4) (5) (ii) Extracting - Volatility - Variability Index

var_index_param = {"Volume":df["Volume"].values, "Open": df["Open"].values}

extract.var_index(df["Close"].values,var_index_param)
{'Interact__Open': 0.00396022538846289,
 'Interact__Volume': 0.20550155114176533}

Time Series Extraction

pip install git+git://github.com/firmai/tsfresh.git
#Construct the preferred input dataframe.
from tsfresh.utilities.dataframe_functions import roll_time_series
df_out["ID"] = 0
periods = 30
df_out = df_out.reset_index()
df_ts = roll_time_series(df_out,"ID","Date",None,1,periods)
counts = df_ts['ID'].value_counts()
df_ts = df_ts[df_ts['ID'].isin(counts[counts > periods].index)]
#Perform extraction
from tsfresh.feature_extraction import extract_features, CustomFCParameters
settings_dict = CustomFCParameters()
settings_dict["var_index"] = {"PCA_1":None, "PCA_2": None}
df_feat = extract_features(df_ts.drop(["Close_1"],axis=1),default_fc_parameters=settings_dict,column_id="ID",column_sort="Date")
Feature Extraction: 100%|██████████| 5/5 [00:10<00:00,  2.14s/it]
# Cleaning operations
import pandasvault as pv
df_feat2 = df_feat.copy()
df_feat = df_feat.dropna(thresh = len(df_feat)*0.50, axis = "columns")
df_feat_cons = pv.constant_feature_detect(data=df_feat,threshold=0.9)
df_feat = df_feat.drop(df_feat_cons, axis=1)
df_feat = df_feat.ffill()
df_feat = pd.merge(df_feat,df[["Close_1"]],left_index=True,right_index=True,how="left")
print(df_feat.shape)
model(df_feat) #noisy
7  variables are found to be almost constant
(208, 48)
2064.7813982935995
from tsfresh import select_features
from tsfresh.utilities.dataframe_functions import impute

impute(df_feat)
df_feat_2 = select_features(df_feat.drop(["Close_1"],axis=1),df_feat["Close_1"],fdr_level=0.05)
df_feat_2["Close_1"] = df_feat["Close_1"]
model(df_feat_2) #improvement (b/ not an augmentation method)
1577.5273071299482

(3) (6) (i) Feature Agglomoration;   (1)(2)(i) Standard Scaler.

Like in this step, after (1), (2), (3), (4) and (5), you can often circle back to the initial steps to normalise the data and dimensionally reduce the data for the final model.

import numpy as np
from sklearn import datasets, cluster

def feature_agg(df, drop, components):
  components = min(df.shape[1]-1,components)
  agglo = cluster.FeatureAgglomeration(n_clusters=components,)
  df = df.drop(drop,axis=1)
  agglo.fit(df)
  df = pd.DataFrame(agglo.transform(df))
  df = df.add_prefix('fe_agg_')

  return df

df_final = transform.standard_scaler(df_feat_2, drop=["Close_1"])
df_final = mapper.feature_agg(df_final,["Close_1"],4)
df_final.index = df_feat.index
df_final["Close_1"] = df_feat["Close_1"]
model(df_final) #noisy
1949.89085894338

Final Model After Applying 13 Arbitrary Augmentation Techniques

model(df_final) #improvement
1949.89085894338

Original Model Before Augmentation

df_org = df.iloc[:,:7][df.index.isin(df_final.index)]
model(df_org)
389.783990984133

Best Model After Developing 8 Augmenting Features

df_best = df_best.replace([np.inf, -np.inf], np.nan).ffill().fillna(0)
model(df_best)
267.1826850968307

Commentary

There are countless ways in which the current model can be improved, this can take on an automated process where all techniques are tested against a hold out set, for example, we can perform the operation below, and even though it improves the score here, there is a need for more robust tests. The skeleton example above is not meant to highlight the performance of the package. It simply serves as an example of how one can go about applying augmentation methods.

Quite naturally this example suffers from dimensionality issues with array shapes reaching (208, 48), furthermore you would need a sample that is at least 50-100 times larger before machine learning methods start to make sense.

Nonetheless, in this example, Transformation, Interactions and Mappings (applied to extraction output) performed fairly well. Extraction augmentation was overkill, but created a reasonable model when dimensionally reduced. A better selection of one of the 50+ augmentation methods and the order of augmentation could further help improve the outcome if robustly tested against development sets.

[1] DeltaPy Development

Author: firmai
Source Code: https://github.com/firmai/deltapy

#engineering 

Tamale  Moses

Tamale Moses

1618698960

Playground Games and Turn 10 Studios respectively improved time on Visual Studio 2019

The C++ team at Visual Studio has delivered substantial build and link time improvements throughout Visual Studio 2019. This blog is Part 2 of a series of blogs showcasing real-world results of our efforts. See how the Gears 5 team benefited from iteration build time improvements in Part 1.

#c++ #performance #build throughput #build time #compile time #game development #games #gaming #iteration time #linker #video games