Rewrite as a probabilistic model with walk-forward evaluation.
Replace the 2024 model (model.py, ~2000 lines) with the btcmodel package, the baseline for future work: - Forecasts are quantiles of log price at each horizon, scored with CRPS in a walk-forward backtest (origins every 30 days from 2014, horizons 1 month to 4 years). Skill is relative to a zero-drift random walk, with circular block-bootstrap intervals and a count of independent windows. - Development data stops at 2024-11-26, the last day the 2024 model saw. Later outcomes are a holdout, scored only by `backtest --holdout`. - Models: random_walk, drift_rw, and cycle (the 2024 model's cycle-position drift, now kernel-smoothed and recency-weighted). On development data nothing beats the random walk with confidence; cycle loses at every horizon. - Prices: the Investing.com archive moves to data/ (cut at 2024-11-26; its last row was intraday) and is extended with Coinbase daily closes by `update`. Also: Nix flake dev shell (Python 3.13, pandas 3), ruff in place of black, pytest suite, and a rewritten README. NOTES.md is removed as inaccurate, and poetry is dropped.
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{
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description = "Bitcoin price model";
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inputs.nixpkgs.url = "github:NixOS/nixpkgs/nixpkgs-unstable";
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outputs =
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{ self, nixpkgs }:
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let
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systems = [
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"aarch64-darwin"
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"x86_64-darwin"
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"aarch64-linux"
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"x86_64-linux"
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];
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forAllSystems = f: nixpkgs.lib.genAttrs systems (system: f nixpkgs.legacyPackages.${system});
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in
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{
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devShells = forAllSystems (pkgs: {
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default = pkgs.mkShell {
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packages = [
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(pkgs.python313.withPackages (ps: [
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ps.numpy
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ps.pandas
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ps.scipy
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ps.matplotlib
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ps.pytest
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]))
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pkgs.ruff
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pkgs.just
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];
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};
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});
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formatter = forAllSystems (pkgs: pkgs.nixfmt);
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};
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}
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