Godspeed to you. My work on Time Series Modeling with tsfresh yielded results that , while interesting enough for Engineering applications, would not have made any trader happy.

If you are targeting higher timeframes then uncleaned order book data will not be sufficient to achieve good results.

A specific feature to aggregate data into higher order dataframes can help, but I have not seen anyone attempt this yet.



Dawid G.

My heart beats for web3 entrepreneurship and building technology for a fairer and more accessible world. Big on Science, Psychology and Sovereignty.