sam
cfc27a38de
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.
35 lines
656 B
Makefile
35 lines
656 B
Makefile
# List recipes
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default:
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@just --list
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# Fetch new daily prices from Coinbase
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update:
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python -m btcmodel update
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# Score models on development data (outcomes up to the dev cutoff)
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backtest *args:
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python -m btcmodel {{ args }} backtest
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# Score models on held-out outcomes; run sparingly, never while tuning
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holdout *args:
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python -m btcmodel {{ args }} backtest --holdout
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# Forecast from the latest price
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forecast *args:
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python -m btcmodel {{ args }} forecast
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test:
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pytest -q
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fmt:
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ruff format .
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ruff check --fix --select I .
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nix fmt flake.nix
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lint:
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ruff check .
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ruff format --check .
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clean:
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rm -rf output
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