56 lines
5.5 KiB
Plaintext
56 lines
5.5 KiB
Plaintext
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óI¸g0 ã ór — d dl Zd dlZd
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dej dedej fd„Zd d„Zd d„Zd d„Zd
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d „Z y)é NÚdfÚhorizonÚreturnc óx — | d j |¬« j | « | d< | j 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 úJc:\Users\moham\OneDrive\AlphaFlow Trading Bot\features\labeling_schemes.pyÚcalculate_future_returnsr sC € ð
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˜g™;×1Ñ1¸'Ð1ÓB×HÑHÈ'ÈÓR€BÐÑØ
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�9‰9Ð -Ð .ˆ9Ó /Ð/ó c ó — | j « }|d j |¬« j | « |d< d|d< d|j |d |k\ df< d|j |d | k df< |j 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_labelé éÿÿÿÿT©r Úinplace)Úcopyr r
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Úlocr )r r Ú thresholdÚdf_copys r Úcreate_labels_multi_barr
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s¨ € ð �g‰g‹i€Gð ")¨Ñ!1×!<Ñ!<ÀWÐ!<Ó!M×!SÑ!SÐU\ÐT\Ó!]€GÐ Ñ ð "#€GÐ Ñ ØNO€G‡K�K�Ð)Ñ*¨iÑ7Ð9JÐJÑKØOQ€G‡K�K�Ð)Ñ*¨y¨jÑ8Ð:KÐKÑLð ‡N�NÐ,Ð-°t€NÔ<ð
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€Nr c óÔ — | j « }|d j }t j t |« t j
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« }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 sŒd||< n t j || « sŒ{d||< 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_barrierr4 , sõ € ð �g‰g‹i€GØ
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