diff --git a/features/feature_engineering.py b/features/feature_engineering.py index ae6e644..6a70e94 100644 --- a/features/feature_engineering.py +++ b/features/feature_engineering.py @@ -129,11 +129,9 @@ def parkinson_estimator(window: pd.DataFrame) -> float: def moving_parkinson_estimator(df: pd.DataFrame, window_size: int = 30) -> pd.DataFrame: dfc = df.copy() - rolling_vol = pd.Series(dtype="float64", index=dfc.index) - for i in range(window_size, len(dfc)): - w = dfc.iloc[i - window_size : i] - rolling_vol.iloc[i] = parkinson_estimator(w) - dfc["rolling_volatility_parkinson"] = rolling_vol + log_hl_sq = np.log(dfc["high"] / dfc["low"]) ** 2 + rs_sq = log_hl_sq.rolling(window=window_size).sum().shift(1) + dfc["rolling_volatility_parkinson"] = np.sqrt(rs_sq / (4 * math.log(2) * window_size)) return dfc