Time series feature extraction with tsfresh - “get rich or die..
summary
tsfresh is a Python library that extracts and selects time‑series features at scale it runs >60 extractors to produce >500 features per series then applies hypothesis tests and Benjamini-Hochberg FDR to drop irrelevant dims the pipeline is parallel and supports multiprocessing and cloud distributors for distributed extraction a rolling‑window demo uses extracted features with tree models to trade (toy example shows returns comparable to S&P but warns about overfitting) origin story: Blue Yonder research.
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