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Comet

Comet is a quant algo fuzzer.

Minimal Example

Here is a minimal .cm script formulating a ratio between a raw time-series feature and its moving average:

Behavior Comparator(signal: DataFrame, eps: Float, reference: DataFrame) {
    weights="behavior_1_compare.pth", train=true, supervised_epochs=100
} -> DataFrame

Flow volume_spike {
    volume = data("volume")
    adv20 = data("adv20")
    Comparator(volume, 0.1, adv20)
}

Usage

Transformer pretraining

cargo run -- examples/behavior_1.cm