53 lines
6.0 KiB
Plaintext
53 lines
6.0 KiB
Plaintext
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óI¸g0 ã ó` — d dl Zd dlZddej dedej fd„Zdd „Zdd „Zdd „Zdd„Z dS )é Né ÚdfÚhorizonÚreturnc ó– — | d |¬¦ « | ¦ « | d< | dg¬¦ « S )zž
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Calculates future returns for a given horizon. By default, horizon=1
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means next-bar returns. The function appends a new column 'future_returns'.
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Úclose©ÚperiodsÚfuture_returns)Úsubset)Ú
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pct_changeÚshiftÚdropna)r r s ú;c:\Users\moham\OneDrive\ml_bot_trading\features\labeling.pyÚcalculate_future_returnsr sL € ð
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˜gœ;×1Ò1¸'Ð1ÑBÔB×HÒHÈ'ÈÑRÔR€BÐÑØ
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�9Š9Ð -Ð .ˆ9Ñ /Ô /Ð/ó é ç{®Gázt?c ó( — | ¦ « }|d |¬¦ « | ¦ « |d< d|d< d|j |d |k df< d|j |d | k df< | dgd¬ ¦ « |S )
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aq
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Creates classification labels for a multi-bar horizon.
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+1 if future return >= +threshold
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-1 if future return <= -threshold
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0 otherwise (could keep as neutral or drop).
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df must have a 'close' column.
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Returns a new DataFrame with:
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- 'future_return_h' (the h-bar future return)
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- 'multi_bar_label' (the classification label)
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r r Úfuture_return_hr Úmulti_bar_labelr éÿÿÿÿT©r Úinplace)Úcopyr
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r Úlocr )r r Ú thresholdÚdf_copys r Úcreate_labels_multi_barr
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s² € ð �gŠg‰iŒi€Gð ")¨Ô!1×!<Ò!<ÀWÐ!<Ñ!MÔ!M×!SÒ!SÐU\ÐT\Ñ!]Ô!]€GÐ Ñ ð "#€GÐ Ñ ØNO€G„K�Ð)Ô*¨iÒ7Ð9JÐJÑKØOQ€G„K�Ð)Ô*¨y¨jÒ8Ð:KÐKÑLð ‡N‚NÐ,Ð-°t€NÑ<Ô<Ð<ð
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€Nr é c ó — | ¦ « }|d j }t j t |¦ « t j ¦ « }t
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t |¦ « ¦ « D ]•}|| }|d|z z } |d|z
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z }
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t ||z t |¦ « ¦ « } t
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|dz | ¦ « D ](} || | k rd||< n|| |
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k rd||< nŒ)t j || ¦ « rd||< Œ–||d< |S )aô
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Double-barrier labeling:
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- For each index i, define:
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upper_barrier = close_i * (1 + up)
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lower_barrier = close_i * (1 - down)
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- Look ahead up to 'horizon' bars to see which barrier is touched first.
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- Label = +1 if upper barrier touched first,
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-1 if lower barrier touched first,
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0 if neither is touched within horizon.
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df must have a 'close' column.
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Returns a new DataFrame with a 'barrier_label' in {-1, 0, +1}.
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r r r r Ú
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barrier_label© r ÚvaluesÚnpÚfullÚlenÚnanÚrangeÚminÚisnan©
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r ÚupÚdownr r ÚclosesÚlabelsÚiÚ
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current_priceÚ
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upper_barrierÚ
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lower_barrierÚendÚfwd_is
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r Ú create_labels_double_barrierr7 , s € ð �gŠg‰iŒi€GØ
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�WÔ
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Ô
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$€Få
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ŒW•S˜‘[”[¥"¤&Ñ
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)Ô
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)€Få
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•3�v‘;”;Ñ
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ð ð ˆØ ˜qœ ˆ
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